By William F. McCoy, a director with Derivative Solutions Inc., a leading provider of analytical software for fixed income, with an emphasis on mortgage and asset-backed securities. For more information, please see their Web site at www.dersol.com
Over the past year, yields on Treasuries have fluctuated more in response to supply considerations than other macro-economic influences. In response, some investors have considered the LIBOR curve1 as the benchmark for valuation. The situation, as always, is more complicated for mortgage-backed security investors.