Favors 30s over 15s.Based on CSFB’s regression model, 15s are cheaper across the coupon stack. However, the market is re-pricing 15-/30-year swaps to a new interest rate regime, contributing to CSFB’s favoring 30s. Move into 15-years once a stable outlook for curve shape and level of rates is achieved. Maintains overweight on current coupons (30-year 5s and 15-year 4.5s). 5s remain only viable choice in 30s. Rich dollar roll valuations on 5.5s make them especially vulnerable. A 10-15bp rally in mortgage rates could significantly weaken dollar rolls on 30-year 5.5s. Fifteen-year 4.5s will likely benefit from CMO demand and buying from indexed investors.
Access to a full range of industry content, analysis and expert commentary.
No credit card required. Access coverage of the securitization marketplace, including breaking news updated throughout the day.
Have an account? Sign In