Explaining The MBS Settlement Process
Posted To: MBS Commentary
10yr Notes progressively improved into the PM , ending 5 ticks better on the day with a yield of 3.70. MBS fought off much of the AM weakness in tsy's, and rallied just as well into the PM, reaching 101-15 at 4pm. But then we ended 4 ticks down on the day at 101-01! WHAT?!?!? So you're tellin' me MBS effectively erased all gains from the past two days?! Not exactly… I'll let AQ explain… ——————————————– If you haven't read the following description of the agency MBS settlement process…please don't skip over it as it may save you from having to change your pants when next month's settlement rolls around. If you have read it…go over it one more time just to make sure the underlying logic is clear. The March FN 4.5 MBS coupon has…(read more)
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