FRM Update

June 11, 2018

Fixed-rate MBS underperformed Treasuries this past week, likely influenced by the elevated rate volatility experienced during the past two weeks.  15-year MBS yield spreads ended the week 3bps wider to Treasuries, while 30-year MBS yield spreads widened 4bps.

An unsurprising pickup in prepayment speeds occurred during May. May prepayments get a seasonal push and the day count for this May was one day longer than April. Housing turnover and its seasonal pickup drove prepayments, with interest rates exerting only minor influence on the prepayment pickup. For additional prepayment commentary and charts, please see our May MBS Prepayment Commentary.


There was a modest pickup in MBS activity last week and it was primarily focused on the following:






Mortgage Rates and Refinance Activity



Michael S. Erhardt, CPA

Senior Vice President

Investment Strategist

Vining Sparks, IBG




Kevin A. Smith, CFA

Manager, Strategic Analytics

Vining-Sparks IBG LP

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