By allowing different agency mortgage-backed securities (MBS) to be traded based on limited characteristics, the to-be-announced (TBA) market generates liquidity and benefits the MBS market broadly. We quantify effects of the TBA structure on mortgage borrowers. Exploiting discontinuities in TBA...

We study optimal securitization when the secondary market has cheapest-to-deliver pricing. More specifically, we study theoretically and empirically how lenders pool mortgages to create agency mortgage-backed securities (MBS) taking into account how To-Be-Announced (TBA) markets operate. First,...