mortgagetape™Reference Tools · TBA Rolls & Drops
What it does
Front-month vs. 2nd-back TBA drop per coupon on UMBS 30-yr and Ginnie II 30-yr, derived from loan-level Optimal Blue mark-to-market prices bucketed by lock-expiration. The drop series tells you what the roll market is pricing in without a Bloomberg terminal open.
What’s in it:
- Coupon stack for the active market — front-month price, 2nd-back price, and the drop (in points) side by side.
- Day-over-day Δ on the drop so you can see which coupons are tightening or widening.
- Trailing 30-day sparkline per coupon — a tiny chart of each coupon’s drop series, inline in the table.
- UMBS vs. G2 toggle — the whole table recomputes against the chosen security universe.
Sample questions this answers in one click:
- “What’s the UMBS 6.0 drop right now?”
- “Which Ginnie II coupons widened most this week?”
- “30-day drop trend on UMBS 5.5.”
Who finds this useful: hedging desks sizing roll risk, lock desks picking coupon on a mandatory delivery, researchers tracking the shape of the drop surface over time.
Methodology: prices are mark-to-market from the Optimal Blue loan-level feed, bucketed by lock-expiration month to approximate front-month and 2nd-back TBA. Spec-pool payups are stripped. These are a lender-feed derivative, not a dealer-side TBA quote.