Mortgage Dollar Roll
Mortgage dollar roll, the most common financing strategy for agency MBS, 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...
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| Format: | Article |
| Language: | English |
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Oxford University Press (OUP)
2021
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| Online Access: | https://hdl.handle.net/1721.1/130389 |