Posted To: MBS Commentary

The topic of month-end trading comes up frequently over the years. Reason being: we often see market momentum on the last few days of any given month that can't be easily explained by any other motivation. And while we wouldn't be so naive to think that every noticeable market movement will have an identifiable explanation, month-end trading is definitely a thing and it definitely CAN be one of the best explanations for otherwise unsolvable mysteries. So what is it, exactly? A certain portion of the trading community is required to hold a certain mix of bonds by the end of the month. The mix is determined by indices (such as the Barclays Aggregate Bond Index). The final number is a bit of a moving target right up to the last day of the month. Traders could either be positioned with…(read more)

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Source: Mortgage News Daily