Cheapest-to-deliver pricing, optimal MBS securitization, and welfare implications
研究了机构抵押贷款支持证券市场中，最便宜可交割定价导致的逆向选择如何影响贷款池的构成，以及不同池化政策在效率与公平之间的权衡。
We study optimal securitization in the agency mortgage-backed securities (MBS) market. Many MBS are traded in the liquid to-be-announced (TBA) market, which however induces adverse selection due to cheapest-to-deliver pricing. We find that lenders pool high-value loans separately and trade them in a less liquid market. We estimate a model of MBS pooling and trading to study welfare implications of pooling policies. TBA market structure produces a trade-off between efficiency and equity; broader pooling increases liquidity and average welfare, but results in a larger cross-subsidy from smaller loans to larger loans. Minimizing costs or limiting strategic pooling results in a more regressive redistribution.