MBS Owned by the Federal Reserve

Yihai Yu, Miklós Vörös and László Somlai

The Federal Reserve’s purchases of agency mortgage-backed securities (MBS) have been the key driver in the MBS market since the first round of quantitative easing in 2008. With almost USD 700 billion of new emergency MBS purchases since March 2020, the Fed now holds USD 2 trillion of agency MBS, or almost 30% of the outstanding balance. Use our interactive display to explore and gain insight into the Fed’s MBS holdings and purchases. 

WAC = weighted average coupon, OLTV = original-loan-to-value ratio, TPO = third-party origination and CPR = conditional prepayment rate.