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...
| প্রধান লেখক: | |
|---|---|
| অন্যান্য লেখক: | |
| বিন্যাস: | প্রবন্ধ |
| ভাষা: | English |
| প্রকাশিত: |
Oxford University Press (OUP)
2021
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| অনলাইন ব্যবহার করুন: | https://hdl.handle.net/1721.1/130389 |
| _version_ | 1826211335181959168 |
|---|---|
| author | Zhu, Haoxiang |
| author2 | Sloan School of Management |
| author_facet | Sloan School of Management Zhu, Haoxiang |
| author_sort | Zhu, Haoxiang |
| collection | MIT |
| description | 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 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. Received February 3, 2016; editorial decision July 30, 2018 by Editor Itay Goldstein. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online. |
| first_indexed | 2024-09-23T15:04:17Z |
| format | Article |
| id | mit-1721.1/130389 |
| institution | Massachusetts Institute of Technology |
| language | English |
| last_indexed | 2024-09-23T15:04:17Z |
| publishDate | 2021 |
| publisher | Oxford University Press (OUP) |
| record_format | dspace |
| spelling | mit-1721.1/1303892022-09-29T12:28:43Z Mortgage Dollar Roll Zhu, Haoxiang Sloan School of Management 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 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. Received February 3, 2016; editorial decision July 30, 2018 by Editor Itay Goldstein. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online. 2021-04-06T15:00:15Z 2021-04-06T15:00:15Z 2019-08 2021-04-06T12:52:43Z Article http://purl.org/eprint/type/JournalArticle 0893-9454 https://hdl.handle.net/1721.1/130389 Song, Zhaogang and Haoxiang Zhu. “Mortgage Dollar Roll.” Review of Financial Studies, 32, 8 (August 2019): 2955–2996 © 2019 The Author(s) en 10.1093/RFS/HHY117 Review of Financial Studies Creative Commons Attribution-Noncommercial-Share Alike http://creativecommons.org/licenses/by-nc-sa/4.0/ application/pdf Oxford University Press (OUP) SSRN |
| spellingShingle | Zhu, Haoxiang Mortgage Dollar Roll |
| title | Mortgage Dollar Roll |
| title_full | Mortgage Dollar Roll |
| title_fullStr | Mortgage Dollar Roll |
| title_full_unstemmed | Mortgage Dollar Roll |
| title_short | Mortgage Dollar Roll |
| title_sort | mortgage dollar roll |
| url | https://hdl.handle.net/1721.1/130389 |
| work_keys_str_mv | AT zhuhaoxiang mortgagedollarroll |