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Cooljas · 2024年04月19日

可以详细解释下吗?谢谢

NO.PZ2023091701000061

问题如下:

Consider an investor who wants to finance the purchase of a mortgage pool over a one month period. One alternative is to sell an MBS repo, in which case the investor could sell the pool today while simultaneously agreeing to repurchase it after a month. This trade has the same economics as a secured loan: the investor effectively borrows cash today by posting the pool as collateral, and upon paying back the loan with interest after a month, retrieves the collateral. An alternative is the “dollar roll”. In the dollar roll, the buyer of the roll sells a TBA for one settlement month (the “earlier month”) and buys the same TBA for the following settlement month (the “later month”).

For example, the investor who just purchased a 30-year 4% FNMA pool might sell the FNMA 30-year 4% January TBA and buy the FNMA 30-year 4% February TBA. Delivering the pool just purchased through the sale of the January TBA, which raises cash, and purchasing a pool through the February TBA, which returns cash, is very close to the economics of a secured loan.

But there are two important differences between dollar roll and repo financing:

I. The buyer of the roll may not get back in the later month the same pool delivered in the earlier month. The buyer of the roll delivers a particular pool, for example, in January but will have to accept whatever eligible pool is delivered in the next February. By contrast, an MBS repo seller is always returned the same pool that was originally posted as collateral.

II.The buyer of the roll does not receive any interest or principal payments from the pool over the roll. For example, the buyer of the Jan/Feb roll, who delivers the pool in January, does not receive the January payments of interest and principal. By contrast, a repo seller receives any payments of interest and principal over the life of the repo. While the prices of TBA contracts reflect the timing of payments, so that the buyer of a roll does not, in any sense, lose a month of payments relative to a repo seller, the risks of the two transactions are different. The buyer of a roll does not have any exposure to prepayments over the month being higher or lower than what had been implied by TBA prices while the repo seller does.

Which of these two differences is (are) correct?

选项:

A.Neither is correct. B.I is true but II is incorrect. C.I is incorrect but II is true. D.Both are correct.

解释:

Both are correct.



1 个答案

李坏_品职助教 · 2024年04月19日

嗨,从没放弃的小努力你好:


本题考查的是dollar roll与repo financing的区别:

dollar roll指的是卖出一份TBA,同时买入一份近似的更长期限(比卖出的TBA期限长1个月)的TBA,这样可以把TBA展期。


参考上面截图的two important differences下面的第一条:在dollar roll的时候,你在第二个TBA合约里面买入的securities可能与卖出的那份TBA不一样,也就是题目的陈述1里面说的“may not get back in the later month the same pool delivered in the earlier month”。而repo是不存在这个问题的,所以陈述1是正确的。


陈述2对应的也就是我上面截图的two important differences里面的第二条:dollar roll的时候,你会损失掉1个月的利息收入。比如你是卖出一份Jan(1月份到期)的TBA并且买入一份Feb(2月份)到期的TBA,那么你会损失掉1月份那个合约的利息。这也就是陈述2所说的“ does not receive the January payments of interest and principal”。而MBS repo不存在这个问题。


所以两个陈述都是正确的。

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