RMBS Market Commentary
Agency MBS
Agency mortgage-backed securities pass-throughs performed well over the course of June, outperforming swaps. Lower-coupon Fannie Mae 30-year TBA’s -- namely 4.0’s, 4.5’s and 5.0’s -- rose by 1.25 – 2 pts. Higher-coupon TBA’s rose by anywhere from 0.5-1 pt. IOS.FN prices continue to come under pressure over the course of June, as mortgage rates continued to rally. IOS.FN prices dropped by 1-3 pts across the board. Mid-June saw the introduction of the PO.FN index for the same six coupons as the already issued IOS.FN sub-indices. While trading activity for the PO index was said to be light by market participants, prices since the launch of the index have risen by about 1-2 pts across the various coupons/cohorts. ....