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- W3159694628 abstract "Investors can trade individual agency mortgage-backed securities 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." @default.
- W3159694628 created "2021-05-10" @default.
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- W3159694628 date "2018-05-30" @default.
- W3159694628 modified "2023-09-23" @default.
- W3159694628 title "Trading Methods and Trading Costs for Agency Mortgage Backed Securities" @default.
- W3159694628 hasPublicationYear "2018" @default.
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