Agency MBS Weekly | North America: Kicking Some Ideas Around

Research evidence excerpt

Agency MBS Weekly | North America: Kicking Some Ideas Around

Idea

July 10, 2026 11:26 PM GMT

Morgan Stanley & Co. LLCMAgency MBS Weekly | North America Jay Bacow

Strategist

Kicking Some Ideas Around Jay.Bacow@morganstanley.comJanie Xue +1 212 761-2647

Janie.Xue@morganstanley.com +1 212 761-6051

The market has been relatively quiet with 5-year notes spending

the last two months in a 20bp range as investors keep one eye

on the Golden Boot race in the World Cup. But do the moves in

Japan and possible news from the balance sheet task force mean

we could get post July 4th fireworks? Table of Contents

Key Takeaways Market Recap

June CMO Update: $30.7bn of Issuance

We think potential Fed balance sheet headlines, high JGB yields, and market

2Q26 Origination Landscape

pricing of the Fed path are slightly bearish forces for mortgages right now

Latest Weeklies

Our expectation is that we could see further headlines around the Fed's task Appendix

force, discussing mortgage sales in some form

Heavy supply in corporate credit has us concerned that IG widening could weigh

on mortgage spreads; risk assets in general are still snug

On the stack, premiums look to be on the richer side, but seem reasonable given

FNCL G2SF FNCI Specs

the combination of carry profile and a benign rate environment for prepays

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Strong technicals, reasonable valuations on swap, rolls trading well, and 2.5 - - - -

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regulatory tailwinds should provide some support for mortgages otherwise

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Income Survey – we are running in the RMBS-Agency, Agency CMOs Derivatives, Source: Morgan Stanley Research