TBAs and Dollar Rolls in BondEdge®

Teri Geske

As of version 5.50, TBA CUSIPs are available in the BondEdge® database, along with the ability to model “dollar roll” strategies for portfolios that hold TBAs. This document describes some of the details and nuances associated with this new capability, including some practical considerations with respect to including these positions in BondEdge portfolios.