Mortgage activity was focused primarily on rolls last week as 48-hour notification began on Tuesday for 30-year conventionals. The Fannie Mae 6% roll to carry collapsed, while 6.5s came to a tick plus below fail. Salomon Smith Barney notes that the July/August 6.5 roll is already trading at nearly two ticks over carry; however, they don't believe the roll will get as hot as it did this past month.

Buying activity came mainly from money managers, reinvesting paydowns, and hedge funds. With yields lower, the focus was in 6s and 6.5s on outright buying and moves down-in-coupon. Banks and arbitrage accounts were quiet on the week. Originator selling was limited and less than the $1 billion plus per day seen in the previous week. Overall, spreads were essentially unchanged over the Wednesday-to-Wednesday period.

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