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Internet Appendix for “Defragmenting Markets: Evidence from Agency MBS” Haoyang Liu, Zhaogang Song, and James Vickery A Historical Development of Agency MBS & TBA Trading The first U.S. mortgage-backed securities were issued in 1970 by Ginnie Mae. Freddie Mac followed shortly thereafter, issuing its first mortgage pass-through security in 1971, while Fannie Mae began issuing MBS in 1981. As this chronology suggests, Freddie Mac was an early adopter of MBS financing relative to Fannie Mae, which instead tended to retain and finance mortgages on balance sheet. Even so, Fannie Mae was the older and more established of the two GSEs1 and always bore the credit risk of a larger total volume of mortgages than its competitor. Over time, Fannie Mae overtook Freddie Mac in terms of the volume of MBS issued and outstanding, and, as a result of this larger flow and stock, became the benchmark for trading agency MBS in the TBA market.
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