Publication Type
Journal Article
Version
submittedVersion
Publication Date
2-2026
Abstract
Measured as yield spreads against Treasury securities and AAA corporate bonds, the convenience premium of newly issued agency MBS averages more than half of the long-term Treasury convenience premium. The agency MBS convenience premium and issuance amount vary negatively with mortgage rate, consistent with a prepayment-driven channel. Placing agencies into conservatorship in 2008 and introducing liquidity regulations in 2013 significantly affected MBS convenience premium, consistent with government guarantee and regulatory treatment channels. Analyses of dispersion of dealers’ prepayment forecasts, seasoned MBS, and investors’ MBS holdings deliver further economic implications for agency MBS as safe assets.
Discipline
Finance | Finance and Financial Management
Research Areas
Finance
Areas of Excellence
Growth in Asia
Publication
Review of Financial Studies
Volume
39
Issue
2
First Page
387
Last Page
426
ISSN
0893-9454
Identifier
10.1093/rfs/hhaf052
Publisher
Oxford University Press
Citation
HE, Zhiguo and SONG, Zhaogang.
Agency MBS as safe assets. (2026). Review of Financial Studies. 39, (2), 387-426.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/7915
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
External URL
https://api.elsevier.com/content/abstract/scopus_id/105028219737
Additional URL
https://doi.org/10.1093/rfs/hhaf052