Mortgage Dollar Roll
研究了抵押贷款美元滚动（机构MBS最常见的融资策略）的“特殊性”，发现其受最便宜交割期权价值、一级交易商杠杆、提前还款风险暴露和MBS回报的影响，且美联储量化宽松操作中的美元滚动销售会降低这种特殊性。
Abstract 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.