ARM Update

July 17, 2017

Z-spreads for new-issue hybrid ARMs were mostly unchanged last week, even with the rally in Treasuries.  Z-spreads on 10/1s widened by 1 to 2 bps over the past few weeks, reflecting stronger supply levels.  Conventional 10/1 issuance has increased substantially this year, outpacing 5/1 issuance over the past three months ($1.84bn vs $1.60bn). This has caused 10/1 spreads to lag versus the shorter reset types.

Activity last week included the following:


Metrics for some commonly traded structures are below:

Michael S. Erhardt, CPA

Senior Vice President

Investment Strategist

Vining Sparks, IBG

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