June 5, 2017


  • When they sell the roll are they rolling out the worst to deliver (TBA) bonds in their portfolio, because what they get back the following month will certainly be worst to deliver. Rolling is a good strategy but is the credit union making sure they are not rolling out bonds that are better than worst to deliver.....ie specified pools with attractive characteristics that dealers "pay up" for?
    Eric Salzman
  • My apologies. I missed this “Laying out carefully established stipulations in counter-party agreements ensure you do not end up taking delivery of securities that might not be as attractive as the bond you sold,” Coon says. I would just add that when rolling you should always look at the implied cost of funding from the roll versus your internal funding. Like the above article says, sometimes it is advantageous to roll and sometimes not.
    Eric Salzman
  • Thank you for taking the time to comment, Eric, and for your observations.
    Marc Rapport