JPM MBS analysts Matthew Jozoff and Brian....>

US MBS: JPM MBS analysts Matthew Jozoff and Brian Ye said MBS last week "nearly

kept up with Treasuries as the 10yr" note yield "dipped to its lowest level

since before the election. The first set of LCR disclosures came out from the

eight US G-SIBs, showing their second quarter HQLA holdings and details on their

net cash outflow calculation. These banks are currently well above the threshold

and are unlikely to need to buy MBS to replace the run-off in reserves in the

first stages of the Fed's balance sheet normalization process."

- They said US "Senator Warren's letter to Ginnie Mae highlighted the elevated

refinancing activity in the VA loan program; she asked for responses to her

inquiry by September 22nd. A forceful solution by Ginnie Mae would be very

supportive of high coupon Ginnie/Fannie swaps."