Blog | U.S. MBS Agency Performance April 2022: Fed Minutes weakened the market

U.S. MBS lagged its respective benchmarks and indices for the month of April, weighed down by talk of Fed MBS bond sales and the more real prospect of Quantitative Tightening.

The Yield Book 30yr current coupon spread to 5&10yr Treasury blend widened 11 basis points (110.3 to 121.2), with OAS levels moving from 56.8 OAS to 67.3 OAS. The MBS Index mirrored that tone, lagging its comparable “riskless” Treasury Index by 44 basis points (Yield Book analytics). Prices along the index fell 3.5 points (month/month), OAS widened out 11.9bps, with yields on the 30yr CC and MBS index both rising 54bps. In that same timeframe, 10yr U.S. Treasury yields pushed higher +61bps (2.32% to 2.93%), the 2s10s yield curve steepened (from negative levels to +21), with Vols (3m10y) spiking higher (+106 to +123) as constant talk of Fed MBS sales and convexity problems plagued mortgages.

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