US ABS – A Month In Review By Market (August 2010)

Agency MBS pass-throughs came under pressure in August after rallying over the past couple of months as lower overall mortgage rates hurt higher coupons. Lower coupon Fannie 30-year To-Be-Announced bonds, namely 4.0’s, 4.5’s rose by 0.50–1.00 pts, but 5.0–6.5’s were lower by anywhere from 0.38–1 pts. Prices for IOS.FN30 dropped across the board, falling by 1.25–3 pts across the various coupons/cohorts.