Agency Callables Still Rich To Mortgages: Citi

Agency bullets look attractive to agency MBS while agency callable levels are still rich to agency MBS, point out Citi analysts, after considering the recent extension in mortgages. Rohit Thapliyal and team at Citi Research note the nominal un-hedged carry to be marginally higher than MBS than on callables Recent extension in mortgages The Citi analysts note in their report that mortgages have extended quite a bit over the past year with the 30-year 3.5% TBA currently priced around par with an effective duration of over 7 years and a WAL of 8.5 years. The analysts point out that the…