Agency MBS #primers

In these clips, we'll explain exactly what an agency MBS is, how its produced, describe the MBS market, and the special pricing risks:

> Agency MBS
> MBS Market & size
> MBS production; supply & demand
> MBS market structure & TBA
> Prepayment risk & negative convexity
> Mortgage REITs (Real Estate Investment Trusts)
> Case Studies
> 2020 mREIT Implosion
> 2022 QT
> Convexity Hedging

For those who prefer text, here is the slideshow PDF. In addition, all of this is available as text in Central Banking 101.

Additional Readings:
• “The Prepayment Risk of Mortgage-backed Securities.” FRB Kansas.
• “Fixed Income Market Structure: Treasuries vs. Agency MBS.” FEDS Note.
• “Basics of Fannie Mae Single-Family MBS.” Fannie Mae Publication.
• “Why Haven’t Mortgage Rates Fallen Further?” FRB St Louis Blog.
• “The Rescue of Fannie Mae and Freddie Mac.” FRBNY Staff Report.
• “Mortgage-Backed Securities.” FRBNY Staff Report.
• “MBS Real Estate Investment Trusts: A Primer.” FRB Richmond.