TRADING METHODS AND TRADING COSTS FOR AGENCY MORTGAGE-BACKED SECURITIES

被引：0
|
作者：
Gao, Pengjie [1 ]
Schultz, Paul [1 ]
Song, Zhaogang [2 ]
机构：
[1] Univ Notre Dame, Mendoza Coll Business, Finance, Notre Dame, IN 46556 USA
[2] Johns Hopkins Univ, Carey Business Sch, Finance, Baltimore, MI 21218 USA
来源：
JOURNAL OF INVESTMENT MANAGEMENT | 2018年 / 16卷 / 04期
关键词：
Mortgage-backed securities; trading costs; liquidity;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Investors can trade individual agency mortgage-backed securities (MBS) as specified pools (SPs), or trade them through TBA forward contracts. Sellers in the TBA market deliver the cheapest possible pool that fulfills the contracts, so they are traded on a cheapest to deliver basis. More valuable mortgage-backed securities are traded as SPs. We show that trading costs are far, far lower for TBA trades. Trading costs are lower for large trades, for trades with more active dealers, for trades of MBS with a large balance outstanding, and for trades where dealers act as brokers rather than commit capital.
引用
收藏
页码：29 / 46
页数：18
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