ARM Update

September 18, 2017

Yield spreads for new-issue hybrid ARMs to Treasuries tightened 1 to 2 bps as the broader bond market experienced a sell-off.  For the week, the 5-year Treasury increased 17 bps from 1.64% to 1.81%, the largest weekly increase since early March, and a fairly substantial move for a market plagued by low levels of implied volatility.  Yield spreads on fixed-rate MBS tightened 5 to 8 bps on the week, which has left ARMs looking slightly more compelling on a relative value basis.

Activity in the market was focused on 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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