Nearly 50% of those surveyed see no impact to MBS spreads from what's expected to be the Fed's balance sheet reduction announcement this week. In fact, 10% of respondents expect spreads to tighten (not an absurd expectation given that investors have had many weeks to price in the news).
Forty-six percent see a modest increase in spreads.
The survey also shows 60% of investors as being overweight MBS, one of the highest levels in years, according to JPMorgan.
Source: Bloomberg's Alexandra Harris
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