Halister News

(Bloomberg) -- Investors should reduce their positions in the MBS basis to neutral from overweight after recent outperformance, BofAML Agency MBS strategist team led by Satish Mansukhani writes in note.

• Nominal spreads, yield ratios have tightened to middle of recent range
  • OAS metrics remain in negative territory
• Currency coupon nominal spread over 10Y yield at +76bp, touching levels last seen just before Brexit vote
  • Sees no more than 5bp tightening left in nominal basis
• ZV spreads have steadily widened, “implying options costs have increased while volatility has steadily declined toward multi-decade lows”