Portfolio Managers Report: What's Happening with MBS Spreads? 04/19/24

Friday, April 19, 2024
MANAGING DIRECTOR: Scott Carrithers PORTFOLIO SALES AND SERVICE: Chris Thompson • Sean Doherty • Kevin Doyle • Mark Tranckino Natalie Regan • Aaron Stoffer • David Farris • Lonnie Harris • Brian Schaff • Jeff Macy Josh Kiefer • Tom Toburen • Todd Czinege

US Treasury Market
Date	1 mo	3 mo	6 mo	1 yr	2 yr	3 yr	5 yr	7 yr	10 yr	20 yr	30 yr
04/12/24	5.38	5.39	5.35	5.14	4.90	4.73	4.56	4.55	4.52	4.75	4.63
04/15/24	5.39	5.38	5.36	5.16	4.92	4.76	4.62	4.62	4.60	4.84	4.72
04/16/24	5.39	5.38	5.37	5.19	4.99	4.84	4.70	4.69	4.67	4.89	4.76
04/17/24	5.39	5.40	5.36	5.16	4.93	4.77	4.62	4.61	4.59	4.82	4.70
04/18/24	5.39	5.40	5.37	5.18	4.99	4.82	4.68	4.66	4.63	4.86	4.73

The data in the table above is static as of the time it was pulled, so rates may have changed. Treat all data in this table and PMR as indications only and availability is always subject to change. This information was pulled manually from sources we believe to be reliable. New source, as of 12/12/2022, Bloomberg, L.L.P. As of: close of business 4/18/2024.

What's Happening with MBS Spreads?

Mortgage-Backed Securities (MBS) spreads continue to remain historically wide offering well over 100bps of spread for both 30yr and most 15yr pools. The spread between MBS and corporate credit continues to remain extremely wide from a relative value perspective. The 30yr MBS index is offering ~152bps of spread vs the AAA 10yr corporate index providing only ~75bps of spread. MBS can offer double the spread with no credit risk as well as the agency guarantee of timely principal and interest.

Below is a near par dollar price 30yr 6% pool with a book price close to par. The yield profile remains very stable no matter the interest rate shock. It is important to note that you do take on WAL volatility with this structure. We believe if you have money to put to work in the 7-10yr portion of the curve 30yr MBS by far offers the best value, plus the added benefit of monthly principal and interest to reinvest if rates remain flat or trend higher.

Please reach out to your CMG representative to discuss options best suited for your portfolio.

This information is intended for institutional investors only. The material provided in this document/presentation is for informational purposes only and is intended solely for private use. Past performance is not indicative of future results. This material is not intended as an offer or solicitation for the purchase or sale of any financial instruments.

•Not FDIC Insured •No Bank Guarantee •May Lose Value