With the MBA Refi Index at a whopping 1572.1 last week (see story, p.1) and prepayment risk encroaching, prudent participants in the MBS world were rolling down in coupon and looking to seasoned issues and structured product for convexity, sources said.

"Structure and collateralized mortgage obligations are a place to hide," said one investor. "There have been three CMO deals announced over the last 24 hours. Mortgage originators are selling, and supply is coming in, but this is certainly not the easiest of times. And we're probably in for some tougher times."

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