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GSE Credit Risk Transfer (CRT): Duration Matters

by Greg Parsons, on Feb 28, 2018

In May 2017, Semper contended that there are many compelling reasons to focus on the CRT market, offering investors an opportunity to achieve attractive risk-adjusted returns while accessing various parts of post-crisis mortgage credit and origination. Through 2017, this asset class was among the top performers in our sector and continues to represent a strong value investment today. One of the continuing reasons for our focus and expectation for outperformance is the product’s relationship to interest rates: CRT outperforms with raising rates. Today, we believe there are many merits to CRT and it remains a strong focus for our positioning.

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