Relative value has little meaning as investors need to protect capital and get back on-sides given the dramatic market movement in past few sessions. Greenwich took down its basis position (though still has small long vs. swaps). Keeps its exposures light until things settle down. Trades that make sense are those offering the best hedge adjusted carry. In this vein, lower loan balance cuspy coupons and newer production paper offer the best opportunities. 15-year and 20-year MBS have massively underperformed 30-year of late but don’t seem appealing given Greenwich’s view on carry. GNMAs still outstrip conventionals and remain a better fade.

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