Measured as yield spreads against AAA corporate bonds, the convenience premium of agency MBS averages 47 basis points over 1995 - 2021, about half of the long-term-Treasury convenience premium. Both MBS convenience premium and issuance amount depend on mortgage rate negatively, consistent with a...

Agency mortgage backed securities (MBS) with diverse characteristics are traded in parallel with individualized contracts in the specified pool (SP) market and with standardized contracts in the to-be-announced (TBA) market. We find that this unique parallel trading environment significantly...

Mortgage dollar roll is the most common financing strategy for agency MBS. Effectively a collateralized loan, it differs from repos in two important ways: the returned collateral can differ from those received, and the MBS ownership changes hands in the funding period. Therefore, dollar roll...

Agency mortgage-backed securities 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...

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...

We examine the introduction of mandatory post-trade reporting in the TBA mortgage-backed securities market. With post-trade reporting, trading costs fell for institutional investors. Trading costs declined more for investors' trades with peripheral dealers than for their trades with core...