Eaton Vance — Q3 2026 Earnings Presentation
37 slides from Eaton Vance's earnings presentation, September 2026
Slide 1: Agency MBS & Housing Market Monitor
Agency MBS & Housing Market Monitor Mortgage & Securitized Team Q3 2026
Slide 2: Important Information and Disclosure
Important Information and Disclosure The views and opinions and/or analysis expressed are those of the author or the investment team as of the date of preparation of this material and are subject to change at any time without notice due to market or economic conditions and may not necessarily come t
Slide 3: Table of Contents
Table of Contents PERFORMANCE HOUSING MARKET AGENCY MBS MARKET IMPORTANT ADDITIONAL REVIEW UPDATE UPDATE INFORMATION 4 8 18 31 If you are viewing this book on your computer or tablet, click or tap on the title box to jump to the beginning of each section. Data provided is for informational use only.
Slide 4: Performance Review
= EatonVance Performance Review
Slide 5: Agency MBS Performance
PERFORMANCE REVIEW Agency MBS Performance U.S. Treasury yields moved sharply higher during the third quarter of 2026 as rising oil prices, inflation concerns and a hawkish Fed meeting caused markets to price in additional rate hikes for 2026 and 2027. Front end yields rose sharply as markets priced
Slide 6: Agency MBS Annual Returns
PERFORMANCE REVIEW Agency MBS Annual Returns The Agency MBS sector underperformed towards the end of the third quarter of 2026 as higher rates and increased volatility caused current coupon spreads to widen 13 bps in September to +125 bps over Treasuries. The supply/demand picture remains mixed, wit
Slide 7: Treasury Yield Curve and Federal Funds Rate
PERFORMANCE REVIEW Treasury Yield Curve and Federal Funds Rate Treasury yields rose sharply during the third quarter as rising oil prices, inflation concerns and a hawkish Fed pushed markets to price in additional rate hikes for 2026 and 2027. The Fed raised rates by 25 bps in September, while 2-yea
Slide 8: Housing Market Update
= EatonVance Housing Market Update
Slide 9: Mortgage Rates
HOUSING MARKET UPDATE Mortgage Rates Mortgage rates remain well above long-term averages, driven by sharply higher Treasury yields and continued inflation concerns. With 30- year mortgage rates above 7%, refinancing and housing market activity remain limited, keeping MBS supply light and providing s
Slide 10: US Inflation and 30-Year Mortgage Rates
HOUSING MARKET UPDATE US Inflation and 30-Year Mortgage Rates Rising oil prices and inflation concerns pushed Treasury yields higher towards the end of the third quarter. With 30-year mortgage rates above 7%, refinancing and housing market activity remained weak, keeping MBS supply limited. 10.00 US
Slide 11: Home Sales
HOUSING MARKET UPDATE Home Sales Home sales remained weak during the third quarter as high mortgage rates continued to weigh on affordability and buyer demand. Existing homeowners with lower mortgage rates remained reluctant to sell, keeping housing inventory and sales activity limited. MBA Weekly M
Slide 12: Home Sales (continued)
HOUSING MARKET UPDATE Home Sales (continued) Housing supply remained limited during the third quarter as high mortgage rates continued to slow housing turnover and keep new mortgage lending low. Despite slower housing activity, home prices remained stable, supported by strong homeowner equity and he
Slide 13: Home Prices
HOUSING MARKET UPDATE Home Prices Home prices remained stable during the third quarter despite elevated mortgage rates and slower housing activity. Affordability remains pressured, but limited housing supply and strong homeowner equity continue to support home prices and overall housing fundamentals
Slide 14: Adjustable-Rate Mortgages (ARM) Share of Origination
HOUSING MARKET UPDATE Adjustable-Rate Mortgages (ARM) Share of Origination Elevated fixed mortgage rates continued to make ARMs an attractive option for homebuyers seeking lower initial monthly payments during the third quarter. While ARM share has picked up in recent quarters, it remains well below
Slide 15: Refinancing Activity
HOUSING MARKET UPDATE Refinancing Activity The sharp rise in Treasury yields and mortgage rates towards the end of the third quarter continued to weigh on the refinance index, keeping refinancing activity near multi-decade lows. Mortgage supply remained light as elevated rates continued to limit ref
Slide 16: Future Refinancing Potential
HOUSING MARKET UPDATE Future Refinancing Potential Refinancing activity remained subdued during the third quarter as 30-year mortgage rates rose above 7%, leaving over 95% of outstanding mortgages with little incentive to refinance. With most borrowers locked into lower rates, future refinancing pot
Slide 17: Credit Availability
HOUSING MARKET UPDATE Credit Availability Mortgage credit availability remained tight during the third quarter, as higher mortgage rates continued to weigh on the overall lending environment. Higher rates also kept cash-out refinancing activity low, despite strong home prices and growing levels of h
Slide 18: Agency MBS Market Update
= EatonVance Agency MBS Market Update
Slide 19: Prepayment Speeds
AGENCY MBS MARKET UPDATE Prepayment Speeds MBS prepayment speeds remained slow during the third quarter as elevated mortgage rates continued to limit refinancing activity. While prepayment risks remain low overall, speeds may continue to vary depending on the underlying collateral. Mortgage Rates an
Slide 20: Prepayment Speeds
AGENCY MBS MARKET UPDATE Prepayment Speeds Prepayment speeds continued to vary by geography during the third quarter, as regional housing trends and local market conditions influenced refinancing and home purchase activity. With mortgage rates remaining elevated and housing activity slowing, prepaym
Slide 21: Agency MBS Supply
AGENCY MBS MARKET UPDATE Agency MBS Supply After hitting a record high in net issuance in 2021, Agency MBS supply fell dramatically in 2022 and remained low through the third quarter of 2026, as higher mortgage rates continued to dampen refinancing activity and cool the U.S. housing market. Agency M
Slide 22: Federal Reserve MBS Holdings
AGENCY MBS MARKET UPDATE Federal Reserve MBS Holdings The Fed’s agency MBS holdings continued to decline in Q3 2026, though the pace of its balance sheet runoff remained slower than the stated $35 billion/month cap due to slower prepayments. By the end of the quarter, the Fed’s agency MBS holdings f
Slide 23: Federal Reserve MBS Holdings (continued)
AGENCY MBS MARKET UPDATE Federal Reserve MBS Holdings (continued) As the Fed generally focused its quantitative easing (QE) purchases on the coupons where origination was the highest, its MBS portfolio is now dominated by 2% and 2.5% coupon MBS. Fed MBS Holdings by Coupon ($B) 1.5 2.0 2.5 3.0 3.5 4.
Slide 24: Agency MBS Ownership
AGENCY MBS MARKET UPDATE Agency MBS Ownership The Agency MBS market has an extremely diverse investor base. While the Fed has been decreasing the size of its MBS portfolio, money managers and overseas investors have become the marginal buyers of MBS. Agency MBS Holdings ($B) $3,500 Banks Fed/Treasur
Slide 25: Current Valuations
AGENCY MBS MARKET UPDATE Current Valuations Agency MBS valuations became more attractive towards the end of the third quarter as higher rate volatility pushed current coupon spreads 13 bps wider in September to +125 bps over Treasuries. Spreads remain above their 10-year average of +111 bps, offerin
Slide 26: Relative Valuations
AGENCY MBS MARKET UPDATE Relative Valuations Despite heightened interest rate volatility and rising Treasury yields towards the end of the third quarter, Agency MBS spreads remain wider than many other investment grade alternatives. Current coupon spreads widened to +125 bps over Treasuries in Septe
Slide 27: MBS Yields
AGENCY MBS MARKET UPDATE MBS Yields Agency MBS yields followed U.S. Treasury yields higher in the closing month of the quarter, with the Bloomberg US MBS Index yield rising to approximately 5.95%. The current coupon yield, which is more indicative of MBS that are currently being issued, ended the qu
Slide 28: MBS Index Composition
AGENCY MBS MARKET UPDATE MBS Index Composition The coupon breakdown of the MBS index remains heavily weighted in low-coupon bonds following strong mortgage origination in 2020 and 2021. While higher mortgage rates in recent years have led to the issuance of higher-coupon MBS, limited new supply has
Slide 29: Liquidity
AGENCY MBS MARKET UPDATE Liquidity The Agency MBS market is the 2nd most liquid U.S. fixed income market, behind only Treasuries. Average Daily Trading Volume ($B) Treasury $1,203.6 Agency MBS $367.0 Corporate Debt $66.9 Municipal $14.3 Non-Agency MBS $1.8 ABS $2.6 $0 $200 $400 $600 $800 $1,000 $1,2
Slide 30: Credit Quality
AGENCY MBS MARKET UPDATE Credit Quality Not only do Agency MBS currently offer higher yields than parts of the investment-grade corporate bond market, but they also offer higher credit quality. Credit Quality Breakdown Credit Quality Breakdown AAA AA A BBB BA 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 1
Slide 31: Important Information and Disclosure
IMPORTANT ADDITIONAL INFORMATION Important Information and Disclosure INDEX DEFINITIONS: Credit ratings that may be referenced are based on Moody's, S&P or Fitch, as applicable. Credit ratings are based largely on the rating agency's investment analysis at the time of rating and the Bloomberg U.S. M
Slide 32: Important Additional Information
IMPORTANT ADDITIONAL INFORMATION ABOUT ASSET CLASS COMPARISONS: An imbalance in supply and demand in the income market may result in valuation uncertainties and greater volatility, less liquidity, widening credit spreads and a lack of price transparency in the Elements of this report include compari
Slide 33: Risk Considerations
IMPORTANT ADDITIONAL INFORMATION RISK CONSIDERATIONS The value of investments may increase or decrease in response to economic, and financial events (whether real, expected or perceived) in the U.S. and global markets. Investments in income securities may be affected by changes in the creditworthine
Slide 34: Important Additional Information
IMPORTANT ADDITIONAL INFORMATION There is no guarantee that any investment strategy will work under all market conditions, and each This material is a general communication, which is not impartial and all information provided has investor should evaluate their ability to invest for the long-term, es
Slide 35: Important Additional Information
IMPORTANT ADDITIONAL INFORMATION This material is not a product of Morgan Stanley’s Research Department and should not be regarded This material has been issued by any one or more of the following entities: as a research material or a recommendation. EMEA: This material is for Professional Clients/A
Slide 36: Important Additional Information
IMPORTANT ADDITIONAL INFORMATION MIDDLE EAST Latin America: (Brazil, Chile Colombia, Mexico, Peru, and Uruguay) Dubai International Financial Centre: This information does not constitute or form part of any offer This material is for use with an institutional investor or a qualified investor only. A
Slide 37: Important Additional Information
IMPORTANT ADDITIONAL INFORMATION ASIA PACIFIC Japan Hong Kong: This document has been issued by Morgan Stanley Asia Limited, CE No. AAD291, for For professional investors, this material is circulated or distributed solely for informational purposes. use in Hong Kong and shall only be made available