Spread Product

May 30th, 2014 11:02 am | by John Jansen |

Mortgages are unchanged to a tad better against swaps in the higher coupons but lagging in the lower coupons. So FNMA 4 1/2s are about a tick better than swaps while the FNMA 3s are lagging by about 3 ticks and 4 1/2s are lagging swaps by a plus. I have heard of real money selling yesterday as well as this morning. I would suggest that the underperformance is temporary as the constant theme in MBS is that there is not enough supply and whatever is out there is quickly taken down by the Fed.

Swap spreads are wider by 1/4 basis point to 1/2 basis point across the stack.

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