Agency MBS Weekly_ Almost March Madness

28 Feb 2025 12:33:25 ET │ 24 pages Agency MBS Weekly Almost March Madness CITI'S TAKE Mortgages have held up relatively well in the recent risk-off. Rates could revisit December lows, but delta hedging needs have picked up recently and could continue to be supportive. We stay overweight. Agency Floaters Attractive to AAA CLOs — AAA CLOs have recently tightened to 117bp, close to historic tights. At the same time, discount margins on new issue agency CMO floaters are still sitting close to their historic wid ...