MBS ALERT: FOR SHORT TIMERS

Don't worry Mr. Zickert!.... Although my words may make me seem frustrated by Barry, it ain't you! First of all, the "rollover" or what educated market participants call "48 hour Class A Settlement," is really a 3 day affair. As adam said, today was merely notification and net-out. These bad boys will continue to trade on Monday, but DTCC's process to net out over 97% of the market in order to act as a central counterparty, thereby reducing risk and expenses for market participants, began today. This notification phase is merely the exchange of information between seller and buyer on the mortgages that will be comprising the securities, BUT, they ARE NOT delivered today. So even if they did magically zap 31bps (I assume, in the same way Davinci tries to interpret kindergarten fingerpaintings, that bps in this case are mistakenly used to refer to PRICE as opposed to what the actual MBS market always uses bps to express--YIELD, thus we must be talking about 10/32nds), out of the MBS market, it wouldn't be today. It wouldn't even really be Monday as trading continues as allocations are executed. The checks aren't written until Tuesday. We'll provide a detailed definition of the roll, and get more into net-out, allocation, and settlement, but for now, the moral of the story is there is more going on here than a cliche dog-training milestone and an imaginary 10 tick loss. We'll explain why in the context of our "TBA" knowledge base article which will roll out shortly, but we promise, it will never roll over. Adam and I are dealers only of the "red pill." And if you accompany us on this journey, be prepared to explore all nooks of the rabbit hole.