In sharp contrast to most previous crisis episodes, the Treasury market experienced severe
stress and illiquidity during the COVID-19 crisis, raising concerns that the safe-haven status …

This paper reviews the mortgage-backed securities (MBS) market, with a particular
emphasis on agency residential MBS in the United States. We discuss the institutional …

Measured as yield spreads against AAA corporate bonds, the convenience premium for
agency MBS averaged 47 basis points between 1995 and 2021, about half of the long-term …

Mortgage-backed securities are bonds with cash flows tied to the principal and interest
payments on a pool of underlying mortgages. Mortgage securitization has a long history (eg …

Abstract Many of the Federal Reserve's (the Fed's) monetary policy operations involve
trading with primary dealers. We find that, for agency MBS, dealers charge 2.5 cents (per …

We analyze how external and internal constraints impact arbitrageurs during market turmoil
by exploiting the 2020 Treasury market shock. Using hedge fund regulatory filings, we find …

Agency mortgage‐backed securities (MBSs) with diverse characteristics are traded in
parallel through individualized specified pool (SP) contracts and standardized to‐be …

We examine the role of insurance companies as value investors in the corporate bond
market. We show that during the COVID-19 liquidity crisis, insurers acted as “buyers of last …

Auction theory has ambiguous implications regarding the relative performance of three
formats of multiunit auctions: uniform-price, discriminatory-price, and Vickrey auctions. We …

We study the relation between funding liquidity and the valuation of mortgage-backed
securities. Most MBS positions are financed through a trade known as a dollar roll, the …