High mortgage rates are have a negative effect on Agency mortgage-back securities performance relative to Treasuries, and the Fed's quantitative tightening may make it worse due to changes in sector allocations in the Bloomberg Aggregate Bond Index.

In this Macro Matters edition of the FICC Focus Podcast, BI Chief US Interest Rate Strategist Ira Jersey is joined by Chief Agency Mortgage Strategist Erica Adelberg and BI North American Rates Strategist Angelo Manolotos who discuss the mortgage market, Canadian interest rates, and how central bank balance sheet runoff could affect the relative returns of several asset classes.