المدربA to-be-announced trade (TBA) is a forward trade in agency pass-throughs in which the buyer and the seller agree on six parameters (agency, coupon, maturity, price, face value and settlement month), but not on the pools: two business days before the monthly settlement date the seller names pools that meet the industry’s good-delivery guidelines. A specified pool is a pool traded by its identifier, at a price above the TBA price (a pay-up) when its loans are expected to prepay more slowly. A dollar roll is the sale of a TBA for one settlement month together with the purchase of the same TBA for a later month.
أمثلة
Example 12.6 (A roll)
The 6% TBA trades at 100.50 for the front month and 100.25 for the next, a drop of a quarter point; the pool pays down 1.16% a month. The roll finances at 2.95% a year. With repo at 4%, holding the securities and financing them in repo costs more than rolling: the roll is special, as the dealers say, and the drop that would make the two equivalent is 0.16. A roll trades special when securities for the front month are scarce, for instance when a large buyer is taking delivery of many pools; the Federal Reserve has itself used rolls in its operations, including in 2020.