Agency MBS: Asset swap for Greenland?

Research evidence excerpt

Agency MBS: Asset swap for Greenland?

We reinvested the proceeds into

securities with yields approximately 120 basis points higher than the securities sold."

"We've got a lot of fixed rate asset repricing that goes well into '27 and beyond."

Source: J.P. Morgan, earnings transcripts

Florida spec review

Florida remains an interesting story in the spec landscape; realized speeds during post-

COVID prepayment waves were far slower than the call protection implied by their just

55bp in upfront taxes, and turnover speeds have been beneficial in deep discounts. Against

that backdrop, their payups have lagged more than comparable tiers of loan balance during

the recent underperformance in spec that we highlighted in our recent weekly writeup.

Payups in 6s show how the speeds on FL pools in late 2024 helped the story gain on payup

relative to loan balance at that point in time, and subsequently priced between 250k max and

300k max until the pullback in payups in the last few months (Figure 5Floridapayupsbenefitedfromtheirspedperformanceduring2024,buthavefalenmoresharplythancomparableloanbaltiersduringthepastfewmonths).

Figure 5: Florida payups benefitted from their speed performance during 2024, but have fallen more

sharply than comparable loan bal tiers during the past few months

Payups on spec 6s across various pool types

80 200k Spec 6 Payups

250k

300k 60

FL

Jul 23 Nov 23 Mar 24 Jul 24 Nov 24 Mar 25 Jul 25 Nov 25 Mar 26 Jul 26

Source: J.P. Morgan

When we compare where market payups were on Florida 5.5s and 6s relative to what our

model would have expected at even-OAS, they were well above 100% (like other spec) until

April (Figure 6MarketpayupsonFL5.5sand6swerehigherthanwhatourmodelimplieduntilApril…). However, the drop against the model has been more substantial for FL