Mortgage Dollar Roll

• 成果类型: Article
• 署名作者: Song, Zhaogang; Zhu, Haoxiang
• 署名单位: Johns Hopkins University; Massachusetts Institute of Technology (MIT)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy117
• 发表日期: 2019
• 页码: 2955
• 关键词: BACKED SECURITIES; MARKET; valuation; liquidity; RISK; PREPAYMENT

摘要

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.