The 30-year FNMA and Gold 5s have in recent months seen a severe squeeze, causing the coupons to significantly richen and resulting in a considerable dislocation in the TBA roll. As of late last week, the fate of the July and August rolls remained uncertain, with buysiders waiting for Friday's release of Federal Reserve data on June bank purchases that would disclose whether dealers are controlling the coupon or not.
According to analysts, the squeeze could have been caused by the imbalance in dealer and investor passthrough trading positions, specifically in light of the significant creation of Fannie Mae Mega and Freddie Mac Giant pools. Concerns have been raised about the concentration of these pools in certain institutions, causing the persistence of the squeeze. This could have a lasting effect on the MBS market's liquidity and pricing, as well as introduce volatility in the sector, analysts theorized.