After the Major Summer Spread Widening, MBS Snap Back to Fair Value

The third quarter of 1999 began with a major spread widening across market sectors. By early August, the interpolated current coupon pass-through spread to the 10-year Treasury had widened to 180 basis points. Except for six trading days in the turbulent period of October 1998, this represented the widest current coupon spread since 1986.

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