Tuesday, October 22, 2019 |
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| MANAGING DIRECTOR: Scott Carrithers PORTFOLIO SALES AND SERVICE: Steve Panknin • George Morris • Jeff Goble • Chris Thompson • Sean Doherty 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 |
| 10/15/19 | 1.74 | 1.67 | 1.67 | 1.65 | 1.61 | 1.60 | 1.59 | 1.68 | 1.77 | 2.06 | 2.23 |
| 10/16/19 | 1.71 | 1.66 | 1.64 | 1.59 | 1.58 | 1.57 | 1.57 | 1.65 | 1.75 | 2.05 | 2.23 |
| 10/17/19 | 1.74 | 1.66 | 1.63 | 1.59 | 1.60 | 1.57 | 1.57 | 1.66 | 1.76 | 2.05 | 2.24 |
| 10/18/19 | 1.75 | 1.66 | 1.63 | 1.58 | 1.58 | 1.56 | 1.56 | 1.66 | 1.76 | 2.06 | 2.25 |
| 10/21/19 | 1.76 | 1.67 | 1.65 | 1.59 | 1.62 | 1.59 | 1.61 | 1.70 | 1.80 | 2.10 | 2.28 |
CMO – Rare Value in the Two-Year Range
The slope of the Treasury yield curve has made it difficult to find bonds with value in the two year maturity range. It also has been hard to find value in mortgage-backed securities with a short average life (WAL) in all scenarios; the base case, +/- 300 bp projections and importantly the historic yield table.
FNR 2014-20 DA is a seasoned sequential class CMO of 15 year pools, all the loans were issued in 2012 (86 months). The CMO currently has a short WAL with good yield in all scenarios, as per the chart below.
Highlights and yield tables are below.
The slope of the Treasury yield curve has made it difficult to find bonds with value in the two year maturity range. It also has been hard to find value in mortgage-backed securities with a short average life (WAL) in all scenarios; the base case, +/- 300 bp projections and importantly the historic yield table.
FNR 2014-20 DA is a seasoned sequential class CMO of 15 year pools, all the loans were issued in 2012 (86 months). The CMO currently has a short WAL with good yield in all scenarios, as per the chart below.
Highlights and yield tables are below.
- Base Case Yield: 2.017% with a 2.22 WAL at +41 bp to the curve
- Yield at 1.78%, positive to U.S. Treasuries in the -300 bp scenario
- Each yield greater than 2.00% and +40 bp to the curve in the historical yield table
Source: Bloomberg
Historical Yield Table
Source: Bloomberg
Please contact your CCB Capital Markets Group representative for details on the current availability of this security or similar bonds for your portfolio.
Please contact your CCB Capital Markets Group representative for details on the current availability of this security or similar bonds for your portfolio.
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