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Citi MBS analysts urged to "maintain.........>

US MBS
US MBS: Citi MBS analysts urged to "maintain overweight" as "MBS have
outperformed Treasuries by 3-3+ ticks since we went overweight as TBA
origination sales plummeted from $2.3bn to $1.6-1.7bn. The rise in retention
rates indicates a strong bid from large banks for negative convexity risk."
- They added that "the REITs reported earnings so far increased MBS holdings by
$10.8bn in Q2. Annaly issued an additional $515mm of preferred stocks in in
addition to the previous $816mm common stock offering."

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