TBA trading and security issuance in the agency MBS market
研究了TBA合约交易如何影响机构MBS发行人的证券设计，发现发行人将低质量贷款打包成少量TBA MBS，从而增加销售收入约55%的交易成本节省，且小发行人受益较少。
Abstract In addition to the standard individual‐security‐based specified pool (SP) contract, agency mortgage‐backed securities (MBS) are actively traded via the to‐be‐announced (TBA) contract that sets a uniform price for a cohort of heterogeneous securities. We provide empirical support for the economic impact of TBA trading on MBS issuers' security design: issuers pick low‐quality loans and pool them together into few TBA MBS. We then conduct a quantitative analysis and show that TBA‐trading‐induced strategic MBS design increases issuers' selling revenue by about 55% of the SP transaction costs. Finally, we show that smaller issuers are less able to package low‐quality loans separately from high‐quality ones and hence benefit less from TBA trading.