MTGE may be a bit tougher because of their non-agency component. All MBS pay monthly.. so that makes sense.. but non-agency is a bit tough because of other factors like deliquency rates.
Yeah, they buy the future month and sell the front (in this case, september). The front is more expensive than the future months.. The price diff is the drop.
What's the risk? The risk is that you are delivered securities that are shatty in their characteristics.. The opposite of a specified pool. But that doesn't really matter now.
If the implied financing rate is lower than repo costs.. thats called on special.. Specialness can also be attributed to the CYS tsy trade in which the (in this case) 5 yr can be bought with leverage and lent out to short sellers and the total borrowing rate becomes negative.
no no.. TBA drop being extremely lucrative as of late. as in the drop in price from month to month. ie Oct 4.0 105.5, Nov 4.0 105.2, Dec 4.0 104.9 based on weighted average price.
that was related to a lawsuit being thrown out regarding payments to the treasury made by the 'entities' during their 'recovery' (use that one lightly) from the crisis.. something of that nature.
Have a look at the risk sharing deals. Those got whacked pretty hard recently. lower than 7/31/2014 for sure.
finra slash marketdata slash bonds. you'll find the weighted average top 5 and bottom 5 prices for each coupon for each settlement.
OAKS remarked on how the insane the drop is on TBA.. I audibly sssh'd them, as no one seems to have a clue about what drop income actually is (WMC board).
check out the weighted average transaction price per coupon on finra for each settlement.
30yr was down in yield.. 5yr was jacked up.. (aka flattening). A lot of noise related to the departure of Bill Gross from PIMCO. Most of it wrong.. Ivacysyn has been carrying PIMCO on his shoulders for quite some time now. Kind of a funny call saying "heading down" about a day or two before ex. Yea, you could be on to something there. I really don't think you should be counting on div-run ups in the middle of stock market vola.. or even div run ups at all. I think those div-chasing muppets are all dead.. There are plenty of muppets, just that rare breed has gone extinct.
I hope nickspinner capital management (going to 10) is not long this stock now.
Sell the 7.50 april strike for ~.70c-.75c.. 7.50 oct strike (if it is still .20c bid).. these are calls I'm speaking of. Yes, it could very well shoot above the strike and you have to deliver.. but making $ isn't a bad thing, no?
When Goldman comes out and tells it's muppets to sell.. it's usually a nice indication of being close/near the bottom.. barring any short-term muppetty-sales. Unless they are doing the double-agent recco in which they know that there are some who do the opposite of what they say and they actually do from time to time make a decent recco (and make it sound stupid so people will fire against it).. I don't care.. Too much of a spotlight on SDRL lately.
The TBA data is out there, published every day.. Right now there is a .3 drop month-to-month for the fed-playground coupons (3.5 and 4.0)
I hear Argentina has good yields too.. Seriously, you better hope they're not bluffing.. they need to break the cycle of this circular blame game of "we have deflation cuz you have inflation so lets print money", rinse wash repeat... verse chorus verse. It's a World Wide Wiemar and many are just like "I like monay" (idiocracy, good movie).