Notes from the Agency MBS Desk: Waiting in the Wings

Jul 8, 2022 · In short, as the Fed’s heavy-handed efforts to slay the inflation beast bifurcated the agency MBS basis, we see the most compelling opportunities waiting in the “wings.” For active …

$8
OFF

THE ADVANTAGES OF AGENCY MORTGAGE-BACKED …

2 weeks from now

The Agency MBS Investable Universe The agency MBS sector offers more than one million securities, including pass-through pools amounting to a market size of $8.2 trillion with monthly …

westernasset.com

FAQs about Notes from the Agency MBS Desk: Waiting in the Wings Coupon?

How will the desk conduct operations in Agency MBS?

The Desk will conduct operations in agency MBS in the secondary market via FedTrade, the Desk's proprietary trading system. FedTrade operations will be conducted using multiple-price, competitive auctions with approved counterparties. ...

What is an agency MBS?

Agency MBS are created when residential mortgage loans that meet agency underwriting guidelines are securitized into a pass-through security. Investors in pass-through securities receive the underlying loans’ principal and interest net of servicing and guarantee fees. Exhibit 1 illustrates the MBS securitization process. ...

How did the FOMC reinvest in Agency MBS?

Specifically, the FOMC directed the Open Market Trading Desk (the Desk) at the Federal Reserve Bank of New York to reinvest into agency MBS the amount of principal payments from the Federal Reserve's holdings of agency debt and agency MBS received each month that exceed the cap amount for that month. ...

How are small value transactions conducted in Agency MBS?

Small value transactions in Agency MBS may be conducted in specified pools or recently produced coupons in 30-year and 15-year fixed rate To-Be-Announced (TBA) securities. How will agency MBS operations be conducted? The Desk will conduct operations in agency MBS in the secondary market via FedTrade, the Desk's proprietary trading system. ...

What are Agency MBS Reinvestment purchases?

Agency MBS reinvestment purchases will be conducted in the secondary market and will generally be concentrated in recently produced coupons in 30-year and 15-year fixed rate To-Be-Announced (TBA) securities. The Desk may conduct reinvestments in other agency MBS if market conditions warrant. ...

When will the desk reinvest $14.5 billion in Agency MBS?

An announcement will be made on or around the ninth business day of that month indicating that the Desk will reinvest $14.5 billion of agency MBS, with operations starting on the following business day and running through the ninth business day of the following month. ...