Posted To: MBS Commentary
What's Up With Today's MBS Volatility? MBS prices suffered from two infrequent sources of volatility today. The first was easier to pinpoint and understand as it resulted from the regularly-scheduled settlement process. In fact, this is really only optical volatility for reasons outlined in our primer on the roll. The other source of volatility was more confounding. The problem, in a word, was illiquidity (there's a primer for that too, incidentally). It results in huge moment-to-moment swings in bid prices but only one side of the swing is in line with actual trades. Fortunately, that was the higher end of the range this morning. Unfortunately, the entire bond market lost ground heading into the afternoon and several lenders ended up repricing for the worse. Econ Data / Events…(read more)
Source: Mortgage News Daily
