Journal of Finance, Volume 72, Issue 3, June 2017,Pages 1119-1170

特定资产的流动性：抵押贷款证券市场中的指定资产池和“待宣告”交易

作者：Pengjie Gao ( University of Notre Dame), Paul Schultz ( University of Notre Dame), Zhaogang Song (Johns Hopkins University)

摘要：机构抵押贷款证券在特定资产池市场和“待宣告（TBA）”远期市场同时交易。 TBA交易通过允许数千种不同的抵押贷款证券在少数的TBA合同中交易来创造流动性。那些有资格被作为TBA交易的指定资产池，同其他指定资产池相比，其交易成本显著更低。除了具有TBA资格的指定资产池和更低的交易成本这些特征外，本文为TBA资格提供了新的证据。我们发现经纪人通过TBA交易对冲掉指定资产池的库存，同时他们也更倾向于提前安排好那些很难进行对冲的特定资产池的交易。

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

Pengjie Gao ( University of Notre Dame), Paul Schultz ( University of Notre Dame), Zhaogang Song (Johns Hopkins University)

ABSTRACT

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.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/jofi.12496/full

翻译：秦秀婷