Agency bullets look attractive to agency MBS while agency callable levels are still rich to agency MBS, point out Citi analysts, after considering the recent extension in mortgages.
Rohit Thapliyal and team at Citi Research note the nominal un-hedged carry to be marginally higher than MBS than on callables
Recent extension in mortgages
The Citi analysts note in their report that mortgages have extended quite a bit over the past year with the 30-year 3.5% TBA currently priced around par with an effective duration of over 7 years and a WAL of 8.5 years. The analysts point out that the 10-year Freddie Mac bullet issued a couple of years ago is the closest in terms of duration and WAL to the 3.5%...
Login required to continue reading.
Setup a free account to get access to this article (no credit card required).
View Full Article
