U.S MBS Agency Performance July 2022: Rebound led by lower coupons

The U.S. MBS agency market had another bounce back outing in July, alternating good and bad months since the start of 2022. This time however, the sector employed a slightly different formula owing to the preponderance of lower and discounted coupons that still dominate MBS market share.

For the month, the MBS index gained +183bps versus the riskless Treasury index, and +121bps spread advantage. The main stack gainers were lower 30yr 1.5%s through 3.5%s, with belly 4%s about flat, and fuller 4.5%s and above losing the most as rates rallies run contrary to shorter duration premiums.

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