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Repair of Fair

- Neutral Duration — "With the recent rise, 10yr Treasury yields are near our fair value. We recommend selling the 5yr versus 2yr and 10yr Treasuries."
- Fair Value Model Review — "We review recent performance of our fair value model and make an adjustment to address unusual Fed accommodation."
- Citi Strength Indicator Explained — "The Citi Strength Indicator is made up of four auction metrics and can be used to enhance trading strategies post auction."
- MBS Market Overpricing Government Refis — "A government manufactured refi wave remains a remote probability in our view, although we find market-implied probabilities of such an event are 50-75%."
- Agency Debt — "Two multi-billion dollar five-year agency/supranational deals have printed so far in September. We find the five-year Freddie Mac deal attractive."
- US Rate Strategy Model Portfolio — "The portfolio is down 0.1% month-to-date."




Citigroup_US_Rate_&_MBS_Strategy_20100910

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