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MBS Day Ahead: Why Were MBS Almost a Quarter of a Point Weaker This Morning?!

Posted To: MBS Commentary

There's nothing quite like the visual (and visceral) impact of opening up MBS Live in the morning only to see a big drop in the blue line. Today is one of those days. For those who haven't gotten around to it yet, let's get it out of the way. The sooner we do, the sooner I can explain why this isn't as bad as it looks. In fact, it's not bad at all… The first clue here is that the chart shows 0-00 as the day-over-day change and he previous close price is the same as the current price (despite the line on the chart looking like it's MUCH lower than the previous close price). This is not an error. It's the roll! The word "roll" has a few meanings around here. For those who participate in MBS markets at a higher level, "dollar rolls" are actual…(read more)

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