Last week's highlight was the explosion of the 6% and FNMA 6.5% rolls. Monday was pool notification and both the FNMA and Gold FHLMC rolls moved as high as 6/32s, and FNMA 6.5s went to 10/32s. This encouraged flows to move up in coupon over the week.
While supply is increasing in 6s, there's likely still to be an imbalance next month, market participants said. As a result, the roll is expected to remain firm. A similar situation is expected with 6.5s.