On Tue, Aug 12, 2008 at 5:18 PM, Andrew wrote:
AGY MBS UPDATE: 08/12/08
General Themes:
- Mortgages were weaker to dealer hedge ratios – versus CXLs they were down only -5cents
- The small CXL daily price change masks what was a pretty bad performance for mortgages
- Dealer OAS’s are back to the wides of last week – Lehman has FN5.5 LOAS at +90bps
- What could help mortgages?
- Asian buying returning
- Capital raising by the GSE’s, (or capital injection by Tsy)
- Reduced capital surplus guidelines from OFHEO
- Convexity led rally in rates
not to mention investors recognizing value vs tsy’s, atraight agency paper, quality AAA corporates, libor, and other lower yielding paper
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