Midwest Buyer Moves To Reduce Prepay Risk
Fort Washington Investment Advisors plans to buy $800 million worth of high- and low-coupon gross-weighted jumbos to take on stable yields and convexity.
The fund now holds 40% of its assets in 15-year pass-throughs, which Weston plans to reduce to half that level. He says jumbos are less sensitive to prepayments, making them safer in the current interest-rate environment. Currently, the fund allocates about 30% in low gross-weighted jumbo structured securities and another 30% in high gross-weighted structured jumbos; Weston plans to increase these levels to 40% apiece.