Agency MBS Curve

Agency MBS curves represent parity spreads—how yields align across key duration buckets—extracted directly from active dealer bid sheets, not consensus averages. These spreads determine how loan pools trade relative to par, especially when comparing 90-day quick-sell programs to 30-year bulk sales. For underwriters, deviations from standard curve assumptions often signal inventory buildup or demand shifts before price adjustments appear in broader indices. Our curve reflects actual quoted levels, including floor/ceiling bids used by top-tier dealers for specific coupon classes.

Portfolio managers use this curve to calibrate sale strategies across loan aging bands. A widening between 15-year and 30-year parity spreads may indicate improved refinancing demand ahead of seasonal cycles, allowing teams to accelerate or delay bulk deliveries for optimal spread capture. The 90-day band is particularly sensitive to seasonal GSE purchase windows and agency allocation timing, making it useful for daily cash flow forecasting in loan servicing portfolios. Teams managing TBA commitments rely on these curves to assess roll value and delivery options in real time.

The curve is reconstructed weekly from anonymized dealer submissions and updated only after verification against actual tradeable bids. This removes noise from informal broker chats or press-released estimates. Analysts use it to validate pricing variances in loan pool feedback reports—especially when a 25-basis-point deviation emerges and needs root cause analysis. For treasury-plus spread modeling, this curve provides a clean, tradeable baseline unclouded by off-screen liquidity assumptions or vendor smoothing algorithms.