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

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