Strategy Conference Call

Transition to the Single Security in Agency MBS

| February 22, 2019

This document is intended for institutional investors and is not subject to all of the independence and disclosure standards applicable to debt research reports prepared for retail investors. This material does not constitute research.

Between now and June, one of the biggest events in the history of agency MBS is scheduled to happen: the launch of a single TBA market combining Fannie Mae and Freddie Mac securities. Years of work have gone into designing the new Single Security, building systems, addressing tax and accounting issues, aligning prepayment behavior and figuring out the fair value of exchanges. In early March, the first forward contracts in the new security may begin to trade. On this call, senior representatives from Amherst Pierpont, Fannie Mae and Freddie Mac recap highlights of the planning behind this effort, the sprint to June, and the operational, trading and investment implications. All of this affects a market with trading volume second only to US Treasury debt.

SCIB US Strategy Team
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