The Bond Coupon Rollover is a monthly occurrence during which the current month's coupon is closed out and any new loans are placed with next month's coupon. As an example today's price is significantly lower that yesterday's price even though the bond only dropped 9 basis points. Although the difference compared to the day moving averages seems larger, the real effect is only the 9 basis points. The market will watch this month's new bond until the next monthly rollover.
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