Agency CRT bonds rally to kick off 2018

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By Max Adams
08 Jan 2018

Agency credit risk transfer (CRT) RMBS has started 2018 in rally mode, with the secondary market performance of bonds across triple-B, double-B and unrated classes surpassing analysts' expectations.

According to data from JP Morgan, class M2 bonds from 2017 Freddie Mac STACR and Fannie Mae CAS transactions tightened below 200bp on the very first trading day of the year. This defied the bank’s expectation that buyers would baulk at spreads below that level.

“Since we ...

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