Agency mortgage-backed securities (MBSs) with diverse characteristics are traded in parallel through individualized specified pool (SP) contracts and standardized to-be-announced (TBA) contracts with delivery flexibility. This parallel trading environment generates distinctive effects on MBS pricing and trading: (i) Although cheapest-to-deliver (CTD) issues are present in TBA trading and absent from SP trading by design, MBS heterogeneity associated with CTD discounts affects SP yields positively, with the effect stronger for lower-value SPs; (ii) high selling pressure amplifies the effects of MBS heterogeneity on SP yields; and (iii) greater MBS heterogeneity dampens SP and TBA trading activities but increases their ratio.

中文翻译：

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MBS 市场中基于队列交易的资产定价

具有不同特征的机构抵押贷款支持证券（MBS）通过个性化的指定池（SP）合约和具有交付灵活性的标准化待公告（TBA）合约并行交易。这种平行交易环境对 MBS 定价和交易产生了独特的影响：(i) 尽管 TBA 交易中存在最便宜交割 (CTD) 问题，而 SP 交易在设计上不存在，但与 CTD 折扣相关的 MBS 异质性会对 SP 收益率产生积极影响，对价值较低的 SP 的影响更强；(ii) 高抛售压力放大了 MBS 异质性对 SP 收益率的影响；(iii) 更大的 MBS 异质性抑制了 SP 和 TBA 的交易活动，但增加了它们的比率。