Asset Pricing with Cohort-Based Trading in MBS Markets

• 成果类型: Article
• 署名作者: Fusari, Nicola; Li, Wei; Liu, Haoyang; Song, Zhaogang
• 署名单位: Johns Hopkins University; Federal Reserve System - USA; Federal Reserve Bank - Dallas
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13180
• 发表日期: 2022
• 页码: 3249-3287
• 关键词: mortgage-backed securities; PREPAYMENT RISK; QUALITY OPTION; valuation; COSTS; TRANSPARENCY; arbitrage; liquidity; implicit; credit

摘要

Agency mortgage-backed securities (MBSs) with diverse characteristics are traded in parallel through individualized specified pool (SP) contracts and standardized to-be-announced (TBA) contracts with delivery flexibility. This parallel trading environment generates distinctive effects on MBS pricing and trading: (i) Although cheapest-to-deliver (CTD) issues are present in TBA trading and absent from SP trading by design, MBS heterogeneity associated with CTD discounts affects SP yields positively, with the effect stronger for lower-value SPs; (ii) high selling pressure amplifies the effects of MBS heterogeneity on SP yields; and (iii) greater MBS heterogeneity dampens SP and TBA trading activities but increases their ratio.