CMO activity remains strong and has picked-up significantly in Golds, said a JPMorgan Securities report released on Friday. Nearly $11 billion in Gold 5s CMOs priced in July. Some industry participants are referring to this event as Freddie Mac’s “revenge.”
JPMorgan stated that the Gold 5 roll is now 1/8 higher compared to the FNMA roll for July/August and the Gold/FNMA 5 swap closed positive for July settle. The float in Gold 5s is slightly above $30 billion through the end of June (net of CMO issuance). And the float has doubled this month, which is more than $18 billion in Gold 5s.