FRM Update

November 22, 2021



Current Yield Spreads

MBS yield spreads were mixed last week. Nominal yield spreads on current-coupon 15-year MBS to Treasurys widened 4 bps to 20 bps, while 30-year MBS spreads tightened 1 bp to 52 bps. Tight valuations on 15-year passthroughs have led many investors to shift buying activity to more defensive positions (10-year passthroughs) or to move further out on the curve where more yield spread can be found in 20- and 30-year passthroughs.



Trading Activity

The summary below reflects customer purchase activity from the previous week. UMBS 20-year 2.0’s led activity but were closely followed by UMBS 10-year 1.5s.  10-year passthroughs have soared in popularity during the last several weeks as yields have risen above 1.00%.  There’s also been an increase in selling activity with depositories cleaning up odd-lots and selling fast paying collateral.

TBA-Eligible Securities:

Non-Deliverable Securities:

Specified Pools:


Mortgage Rates and Applications

Bankrate’s most recent survey shows mortgage rates rose last week. 15-year rates increased by 11 bps to 2.51%, while 30-year rates climbed 13 bps to 3.20%. Mortgage applications for the week ending November 12 fell 2.8% as purchases applications gained 1.5% but refi applications fell 5.1%.  Despite mortgage rates grinding higher since late July, purchase applications have also trended higher during that period.



Michael S. Erhardt, CPA

Senior Vice President, Investment Strategies

Vining Sparks

INTENDED FOR INSTITUTIONAL INVESTORS ONLY.
The information included herein has been obtained from sources deemed reliable, but it is not in any way guaranteed, and it, together with any opinions expressed, is subject to change at any time. Any and all details offered in this publication are preliminary and are therefore subject to change at any time. This has been prepared for general information purposes only and does not consider the specific investment objectives, financial situation and particular needs of any individual or institution. This information is, by its very nature, incomplete and specifically lacks information critical to making final investment decisions. Investors should seek financial advice as to the appropriateness of investing in any securities or investment strategies mentioned or recommended. The accuracy of the financial projections is dependent on the occurrence of future events which cannot be assured; therefore, the actual results achieved during the projection period may vary from the projections. The firm may have positions, long or short, in any or all securities mentioned. Member FINRA/SIPC.
Copyright © 2021
Member FINRA/SIPC
This is a publication of Vining-Sparks IBG, LLC
775 Ridge Lake Blvd., Memphis, TN 38120