Liquidity in a Market for Unique Assets: Specified Pool and To-Be-Announced Trading in the Mortgage-Backed Securities Market

被引：18

作者：

Gao, Pengjie ^{[1
]}

Schultz, Paul ^{[1
]}

Song, Zhaogang ^{[2
]}

机构：

[1] Univ Notre Dame, Mendoza Coll Business, Notre Dame, IN 46556 USA

[2] Johns Hopkins Univ, Baltimore, MD 21218 USA

来源：

JOURNAL OF FINANCE | 2017年 / 72卷 / 03期

关键词：

D O I：

10.1111/jofi.12496

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Agency mortgage-backed securities (MBS) trade simultaneously in a market for specified pools (SPs) and in the to-be-announced (TBA) forward market. TBA trading creates liquidity by allowing thousands of different MBS to be traded in a handful of TBA contracts. SPs that are eligible to be traded as TBAs have significantly lower trading costs than other SPs. We present evidence that TBA eligibility, in addition to characteristics of TBA-eligible SPs, lowers trading costs. We show that dealers hedge SP inventory with TBA trades, and they are more likely to prearrange trades in SPs that are difficult to hedge.

引用

页码：1119 / 1170

页数：52

共 22 条

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Jaffee, Dwight
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REVIEW OF FINANCIAL STUDIES, 2009, 22 (07): : 2457 - 2494
[2] What moves the mortgage-backed securities market?
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[4] Market risk of mortgage-backed securities with consistent measures
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[5] Market Risk of Mortgage-Backed Securities with Consistent Measures
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[6] Credit Ratings and the Evolution of the Mortgage-Backed Securities Market
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[9] Hedge funds, systemic risk and the market for mortgage-backed securities
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CAMBRIDGE JOURNAL OF ECONOMICS, 2023, 47 (06) : 1187 - 1206
[10] TRADING METHODS AND TRADING COSTS FOR AGENCY MORTGAGE-BACKED SECURITIES
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Schultz, Paul
Song, Zhaogang
JOURNAL OF INVESTMENT MANAGEMENT, 2018, 16 (04): : 29 - 46

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