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Mortgage Dollar Roll

delete2018-11-16
delete11
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OA
AI
Z
Zhaogang Song *
H
Haoxiang Zhu
DOI：10.1093/rfs/hhy117delete
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摘要

摘要

En 中文
Mortgage dollar roll, the most common financing strategy for agencyMBS, differs from repo in that the returned collateral can differ from those received. Also, MBS ownership changes hands in the funding period. We show that dollar roll specialness, how much implied financing rates fall below MBS repo rates, (1) increases in the value of the cheapest-to-deliver option, (2) decreases in the leverage of primary dealers, (3) decreases in prepayment risk exposure during the financing period, and (4) decreases in MBS returns. The Federal Reserve's dollar roll sales in quantitative easing operations are associated with lower specialness.
Keyword:
BACKED SECURITIES
MARKET
VALUATION
LIQUIDITY
RISK
PREPAYMENT
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期刊

Review of Financial Studies 封面图
Review of Financial Studies
IF:
5.4
论文数:
2.8K
被引数:
3.0W

机构

J
Johns Hopkins University
学者数:
10.2W
论文数: 8.8W
被引数: 13.0W
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