Wednesday, October 18, 2017
MANAGING DIRECTOR: Scott Carrithers   PORTFOLIO SALES AND SERVICE: Steve Panknin • George Morris • Jeff Goble • Chris Thompson • Sean Doherty Robert Brickson • Kevin Doyle • Lonnie Harris •  Mark Tranckino • Robert Schuyler  Tom Toburen • Josh Kiefer • Nicole Burczyk • Kelley Frye • Natalie Regan • Aaron Stoffer • Chuck Honeywell

US Treasury Market
Date	1 mo	3 mo	6 mo	1 yr	2 yr	3 yr	5 yr	7 yr	10 yr	20 yr	30 yr
10/11/17	1.04	1.10	1.25	1.40	1.51	1.66	1.95	2.17	2.35	2.64	2.88
10/12/17	.99	1.09	1.27	1.41	1.51	1.66	1.95	2.16	2.33	2.62	2.86
10/13/17	.97	1.09	1.26	1.39	1.51	1.64	1.91	2.12	2.28	2.58	2.81
10/16/17	.97	1.10	1.24	1.42	1.54	1.68	1.95	2.15	2.30	2.58	2.82
10/17/17	.99	1.09	1.25	1.41	1.54	1.69	1.97	2.15	2.30	2.58	2.80

                                                                                                               

                                                                                                                Source: U.S. Department of the Treasury, as of 10/17/17   
 

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GNMA ARMs are Worth a New Look

If your bank is tight on liquidity and risk based capital, take a new look at a tried and true tool.  Portfolio managers can utilize GNMA ARMs to lower the overall duration of the portfolio without sacrificing yield and without a risk based capital assessment.

GNMA ARMs tend to have lower dollar prices, slower prepayment speeds and larger pool size compared to their agency counterparts. The ARM below will reset in 3 years and has a current average life of 5 years. The yield of 2.33% compares well with similar duration mortgage products.

GNMA 1/1/5 ARM
G2MA4739
Coupon: 2.00%
Maturity Date: 9/20/2047
Average Life: 5.25
Duration: 4.7
Yield to Average Life: 2.33%
Dollar Price: 100-17+
Reset index: 1 year CMT + 150 basis points (Currently 1 year CMT is 1.42%)
Life Cap: 7%
Annual collar: 1.00%
Next reset date: 10/1/20 and annually thereafter
Loans: 1,242
Geographic Mix:  California 13.5%, Florida 7.9%, Texas 7.3%

Monthly cash flow of principal and interest and a security that will adjust to rising interest rates is a bond your AL Committee can be comfortable with.

This information is intended for institutional investors only. The material provided in this document/presentation is for informational purposes only and is intended solely for private use. Past performance is not indicative of future results. This material is not intended as an offer or solicitation for the purchase or sale of any financial instruments.

•Not FDIC Insured •No Bank Guarantee •May Lose Value