Posted To: MBS Commentary
The title of tonight's close couldn't be a better combination of truth and deception. On the true side, the 4.5 just over 101-20 was indeed at higher levels late in the say compared to the 101-20 where it opened the day. And it was indeed in the last minute of the chart below that MBS "fell" 101-10, but the truths end there. Hopefully such a remarkable downward spike in prices occurring with ostensible regularity at end of the first third of any given month has become recognizable as the settlement of the "front month" coupon where charts pick up the first "off the run" coupon as the new impending delivery. (read more!) In other words, the price difference between the in-the-process-of-settling December coupons and the still-have-a-month-to-trade January…(read more)