Covered bonds and mortgage-backed securities both allow mortgages to be financed with duration-matched bonds. Given the …

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

the late-2000s. For example, models that assigned credit ratings to mortgage-backed securities (MBS) predicted relative … was in the mid-2000s that competitive pressure spiked among mortgage originators and securitisers, as measured by … mortgage types like no-documentation loans, improving the efficiency of back office processing of mortgages, reducing quality …

We study the relationship between funding liquidity and the valuation of mortgage-backed securities. Most of the … financing for mortgage-backed securities occurs through a trade known as a dollar roll, the simultaneous sale and purchase of … forward contracts on mortgage-backed securities that is analogous to a repurchase agreement. We develop a four-factor no …