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Thursday, August 2, 2018 |
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MANAGING DIRECTOR: |
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US Treasury Market |
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| Date | 1 mo | 3 mo | 6 mo | 1 yr | 2 yr | 3 yr | 5 yr | 7 yr | 10 yr | 20 yr | 30 yr |
| 7/26/18 | 1.89 | 1.99 | 2.19 | 2.41 | 2.69 | 2.78 | 2.86 | 2.95 | 2.98 | 3.05 | 3.10 |
| 7/27/18 | 1.90 | 2.00 | 2.20 | 2.43 | 2.67 | 2.76 | 2.84 | 2.92 | 2.96 | 3.03 | 3.09 |
| 7/30/18 | 1.91 | 2.04 | 2.21 | 2.43 | 2.66 | 2.77 | 2.85 | 2.94 | 2.98 | 3.05 | 3.11 |
| 7/31/18 | 1.94 | 2.03 | 2.21 | 2.44 | 2.67 | 2.77 | 2.85 | 2.92 | 2.96 | 3.03 | 3.08 |
| 8/1/18 | 1.93 | 2.03 | 2.22 | 2.45 | 2.67 | 2.78 | 2.87 | 2.96 | 3.00 | 3.07 | 3.13 |
Source: U.S. Department of the Treasury, as of 08/1/2018
MBS: Up in Coupon, Up in Value
Mortgage backed pass through pools continue to be one investment option we recommend in this market. A current pool we offer is FN AL4692, a seasoned 15YR pool with a 4.00% coupon. We are seeing more supply and good value in 4% coupons as interest rates have moved higher. This pool has a nice combination of yield, low extension risk and diverse loans.
Please see the details of the pool below.
Highlights:
Source: Bloomberg 8/2/18, as of 9:32AM
FFIEC: High Risk Test
Mortgage backed pass through pools continue to be one investment option we recommend in this market. A current pool we offer is FN AL4692, a seasoned 15YR pool with a 4.00% coupon. We are seeing more supply and good value in 4% coupons as interest rates have moved higher. This pool has a nice combination of yield, low extension risk and diverse loans.
Please see the details of the pool below.
Highlights:
- Y I E L D: Base case yield is 3.06% with a 3.66 year weighted average life (WAL). Current valuation is shown by the +27 bps in the Treasury spread.
- Low Extension: The WAL is projected to extend only 0.29 years to 3.95.
- Seasoned Loans: The weighted average loan age is 55 months (4.58 years).
- Diverse Collateral: Loan count at 508 with TX at 14% the largest state.
- Passes FFIEC: Nice to have in the file.
Yield Table
Source: Bloomberg 8/2/18, as of 9:32AM
FFIEC: High Risk Test
Source: Bloomberg 8/2/18, as of 9:33AM
Currently approximately 3.5MM current face available (subject to change). Please contact your portfolio representative for questions and current offering details on this and other mortgage pools.
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