We study the optimal recursive refinancing problem where a borrower minimizes his lifetime mortgage costs by repeatedly … results in prepayment being delayed significantly relative to traditional models. Furthermore, mortgage values can exceed par … by much more than the cost of refinancing. Applying the recursive model to an extensive sample of mortgage …

Investors can trade individual agency mortgage-backed securities as specified pools (SPs), or trade them through TBA … traded on a cheapest to deliver basis. More valuable mortgage-backed securities are traded as SPs. We show that trading costs …

Agency mortgage-backed securities trade simultaneously in a market for specified pools (SPs) and in the to …