Last night was Class A Settlement for MBS--aka "the roll." If the roll causes any confusion (which it tends to do until it clicks for you), try thinking of it like an assembly line. Every box on the assembly line is like every month of the year.
As the boxes roll down the line, they become more valuable because they're closer to beginning to make payments to investors. During that time, MBS sellers fill the first few boxes with loans. It doesn't make much sense to allocate loans to boxes more than 3 months out because lenders really don't know how things will look by then in terms of rates and volume.
When the box at the front of the line runs out of room, any remaining loans required to fill the box (whatever the seller committed to the buyer) are put in the box and the box is closed. It falls off the line and the factory shifts its primary focus to filling the next box in line.
"MBS Prices" almost anywhere you find them, will be referring to the "lead box" on that assembly line--the first box in line to be sent out the door. When the lead box falls off the line, "MBS Prices" are now referring to the new lead box, which is simply the next box in line. Having always been destined to begin paying investors a month later than the recently shipped box, the new lead box has always traded at a slightly lower price.
That price experiences no adjustment at the time of the roll! In other words, if this month's relevant MBS coupon was priced at 103 and next month's is priced at 102.5, the drop in MBS prices will simply be from 103 to 102.5.
In some cases, the roll will have a large visible impact on intraday prices. In the current case, if you just look at a short term chart, the move down to 104-07 in Fannie 4.0s from yesterday's 104-20 highs will look quite large. Not only have I hopefully just conveyed that the size of that gap doesn't matter to rate sheet changes, it also doesn't do anything overly exciting in the bigger picture.
There are more sometimes-significant events on today's data calendar than Monday or Tuesday ("2" versus "0"). The two events in question are the 10yr Treasury auction at 1pm and the FOMC Minutes at 2pm. Keep in mind that "Minutes" are different than the "Announcement" which we saw on March 19th. The Minutes recount the 2-day meeting that resulted in the Announcement. They're not a direct statement of policy, but may provide clues as to how policy can evolve.
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