Eaton Vance Global Macro Absolute Return Fund Cl C · NASDAQ:ECGMX
Eaton Vance Global Macro Absolute Return Fund Cl C — Eaton Vance — Q3 2025 Earnings Presentation
37 slides from Eaton Vance Global Macro Absolute Return Fund Cl C's earnings presentation, September 2025
Slide 1: Agency MBS & Housing Market Monitor
Agency MBS & Housing Market Monitor Mortgage & Securitized Team Q3 2025
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 fell and the yield curve steepened in the third quarter of 2025. The 2-year yield fell by 11 bps while the 10-year and 30- year Treasury yields were down 8 bps and 4 bps, respectively. At its September meeting the U.S. Federal Reserve cu
Slide 6: Agency MBS Annual Returns
PERFORMANCE REVIEW Agency MBS Annual Returns The agency MBS market posted its best quarterly return in the last year during Q3 2025, and it is now up more than 6.6% YTD. The sector has benefited from a combination of higher coupon income and falling interest rates in recent months. ICE BofA US MBS I
Slide 7: Treasury Yield Curve and Federal Funds Rate
PERFORMANCE REVIEW Treasury Yield Curve and Federal Funds Rate Over the course of the last several months, the market began pricing in a higher likelihood of the Fed resuming its rate-cutting cycle, and this was reflected in the steepening of the yield curve, in which short-term yields fell while lo
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 due in large part to stubbornly high long-end Treasury yields. While expectations for a more accommodative Federal Reserve in the coming quarters have persisted for several quarters, mortgage rates only just beg
Slide 10: US Inflation and 30-Year Mortgage Rates
HOUSING MARKET UPDATE US Inflation and 30-Year Mortgage Rates Falling inflation typically coincides with lower mortgage rates, yet that historically trend has not played out in recent quarters. US CPI has cooled dramatically since peaking a few years ago, while mortgage rates remain extremely high r
Slide 11: Home Sales
HOUSING MARKET UPDATE Home Sales Home sale activity remains extremely depressed relative to history. However, while new and existing home sales remain below-trend, mortgage applications have begun to inflect higher. MBA Weekly Mortgage Applications Index 1 New & Existing Home Sales2 1,500 Existing H
Slide 12: Home Sales (continued)
HOUSING MARKET UPDATE Home Sales (continued) Housing supply also remains quite low, but contrary to home sales activity, the tightness in supply appears to be easing. The number of single-family homes available for sale has been increasing, as have the months of supply of single-family homes. Year-o
Slide 13: Home Prices
HOUSING MARKET UPDATE Home Prices Home prices have continued to rise, but that pace of growth has slowed as more supply has hit the market. The low level of housing affordability may also be impacting demand, which may put further pressure on home prices nationally. S&P/Case-Schiller U.S. National H
Slide 14: Adjustable-Rate Mortgages (ARM) Share of Origination
HOUSING MARKET UPDATE Adjustable-Rate Mortgages (ARM) Share of Origination As housing has become less affordable, an increasing number of homebuyers are turning to adjustable-rate mortgages, as rates on those products are (for a period of time) lower. While this figure has increased in recent quarte
Slide 15: Refinancing Activity
HOUSING MARKET UPDATE Refinancing Activity The MBA Refinance Index had been extremely depressed for the last several years, but it recently began surging higher in response to the rally in mortgage rates. MBA Refinance Index 8,000 7,000 6,000 5,000 4,000 3,000 2,000 1,000 0 2005 2009 2013 2017 2021
Slide 16: Future Refinancing Potential
HOUSING MARKET UPDATE Future Refinancing Potential The fall in refi activity has likely caught few people off guard given how uneconomical it is for most homeowners to refinance their mortgages. The average 30-year fixed-rate mortgage is still higher than nearly 20% of all outstanding conventional m
Slide 17: Credit Availability
HOUSING MARKET UPDATE Credit Availability Mortgage credit availability has increased in recent quarters but remains near 10-year lows, as higher mortgage rates have negatively impacted the overall mortgage credit landscape. Higher rates also led to falling cash-out refinance activity, which had prev
Slide 18: Agency MBS Market Update
= EatonVance Agency MBS Market Update
Slide 19: Prepayment Speeds
AGENCY MBS MARKET UPDATE Prepayment Speeds MBS prepayment speeds have picked up recently, but they remain incredibly slow following the rise in mortgage rates in 2021 and 2022. Importantly, there are noticeable differences depending on the underlying collateral. Mortgage Rates and Prepayment Speeds
Slide 20: Prepayment Speeds
AGENCY MBS MARKET UPDATE Prepayment Speeds Prepayment speeds also often vary by geography, as some states may experience greater refinancing or home purchase activity depending on regional housing trends or even state and local regulations. Interestingly, the cooling of the housing market has caused
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 as higher mortgage rates dampened refinancing activity and cooled the U.S. housing market. Issuance has been below the 20-year average for several years now. Ag
Slide 22: Federal Reserve MBS Holdings
AGENCY MBS MARKET UPDATE Federal Reserve MBS Holdings The Fed continued its balance sheet reduction in the first quarter, reducing its MBS holdings by nearly $45 billion. With the Fed now easing monetary policy through cuts to the Fed Funds rate, many market participants are wondering how much longe
Slide 23: Federal Reserve MBS Holdings (continued)
AGENCY MBS MARKET UPDATE Federal Reserve MBS Holdings (continued) As the Fed generally focused its quantitative easing (QE) purchases on the coupons where origination was the highest, its MBS portfolio is still dominated by 2% and 2.5% coupon MBS. Fed MBS Holdings by Coupon ($B) 1.5 2.0 2.5 3.0 3.5
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 is decreasing the size of its MBS portfolio, money managers have picked up some of that slack. In addition, bank holdings, which had been muted for much of the last few years, ar
Slide 25: Current Valuations
AGENCY MBS MARKET UPDATE Current Valuations Agency MBS spreads tightened sharply in the third quarter as lower interest rate volatility and strong demand propelled the sector. On a historical basis, agency MBS spreads remain nearly 20 bps wider than their average over the last 10 years. Agency MBS S
Slide 26: Relative Valuations
AGENCY MBS MARKET UPDATE Relative Valuations On a relative basis, agency MBS appear even more attractive than other investment-grade sectors, such as IG corporates. As noted earlier, agency MBS are still cheaper than long-term averages, whereas IG corporate spreads are near their tightest levels in
Slide 27: MBS Yields
AGENCY MBS MARKET UPDATE MBS Yields The YTD rally in interest rates, coupled with tightening MBS spreads over that period, has pushed MBS yields lower. With that said, MBS yields remain attractive by historical standards. The yield of the Bloomberg US MBS Index ended the quarter at 4.74%, while the
Slide 28: MBS Index Composition
AGENCY MBS MARKET UPDATE MBS Index Composition The coupon breakdown of the MBS index has changed dramatically since before the pandemic. The sharp drop in mortgage rates combined with a spike in origination of low-coupon MBS in 2020 and 2021 caused the index to become heavily weighted in low-coupon
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 $1,071.8 Agency MBS $345.1 Corporate Debt $58.8 Municipal $15.6 Non-Agency MBS $1.7 ABS $2.2 $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 than the bulk of the IG corporate universe. Credit Quality Breakdown AAA AA A BBB 0% 10% 20% 30% 40% 50% 60
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: MSIM Ltd (Representative Office, Unit Precinct 3-7th Floor-Unit 701 and 702, Level 7, Gate This material is for use with an institutional investor or a qualified investor only. All
Slide 37: Important Additional Information
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