Game for the Weekend

Find a set of Mortgage-Backed Securities that are (1) still rated AAA by S&P, (2) have a WAL the same as (close to) an on-the-rin US Treasury, and (3) still have a Factor within 5% of the expectation of a generic MBS of that maturity  (that is, are not clearly impaired).

Post the CUSIP(s) in comments, along with that of the reference UST, and let’s track relative values on a regular basis for the next several months.

Anyone betting on where the relative value will be?