Last week saw relatively quiet trading conditions with many participants out for the Thanksgiving break. Mortgage flows were mixed in the only two full trading days - Monday and Tuesday - with Monday seeing better buying and Tuesday, better selling. In general, Asian investors remained steady buyers in the overnight sessions, while domestic activity included servicer, some banks and other real money investors. Interest remains centered in the belly of the coupon stack. Weighing particularly on Tuesday's session was above average originator selling - over $1.5 billion focused in 5.5s and 6s.

Month to date through Tuesday, Nov. 21, mortgages have recorded an impressive performance. According to Lehman Brothers, the MBS Index is up 32 basis points versus Treasurys, and brings year to date excess returns to 120 basis points. This compares to 103 basis points year-to-date on the U.S. Credit Index, 83 basis points over for ABS, and 139 basis points over for investment grade CMBS.

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