Dollar Rolls

Definition

Refers to transactions using TBA contracts with the intent of financing a security or pool of collateral.

Refers to transactions using TBA contracts with the intent of financing a security or pool of collateral. Report transactions where the reporting entity has agreed to sell the TBA contract and buy it back at a later date.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Reporting Notes

Report transactions where the reporting entity has agreed to sell the TBA contract and buy it back at a later date.

Version History

2025-02-26

Current version