April 16, 2018
Last week, Agency yields rose across the curve, particularly for shorter-term maturities, which flattened the curve. The movement in rates came after various geopolitical risk and volatility, followed by some relief in risk assets. Two-year Agency yields moved higher by 10 bps to 2.45%, the 5-year Agency yield increased 9 bps to 2.79%, and the yield on the 10-year Agency was up 6 bps to 3.13%.
Yield spreads for Agency bullets compared to Treasuries were unchanged, while spreads on Agency callables tightened, depending on the structure and call tenor. Spreads for callable Agencies tightened 6 to 8 bps on the short end of the curve (2- and 3-year finals) and 3 to 9 bps on maturities of 5 years and greater.
The following table reflects last week’s total issuance and call activity across GSE issuers:
On Wednesday, Fannie Mae announced that it priced its new $2B three-year benchmark note due on April 13, 2021 at +9bp to the three-year Treasury. The highlights of the agency coupon calendar in the upcoming week will be Freddie Mac’s announcement tomorrow of any plans to sell reference notes and Fannie Mae’s announcement on Thursday of any plans to sell benchmark notes.
Notable agency activity last week included:
Ricky Brillard, CPA
Vining Sparks, IBG