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Friday, May 18, 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 |
| 5/11/18 | 1.68 | 1.92 | 2.06 | 2.28 | 2.54 | 2.69 | 2.84 | 2.94 | 2.97 | 3.03 | 3.10 |
| 5/14/18 | 1.70 | 1.93 | 2.09 | 2.28 | 2.55 | 2.70 | 2.85 | 2.96 | 3.00 | 3.06 | 3.13 |
| 5/15/18 | 1.69 | 1.92 | 2.09 | 2.31 | 2.58 | 2.75 | 2.92 | 3.04 | 3.08 | 3.14 | 3.20 |
| 5/16/18 | 1.69 | 1.92 | 2.09 | 2.32 | 2.58 | 2.76 | 2.94 | 3.05 | 3.09 | 3.16 | 3.21 |
| 5/17/18 | 1.70 | 1.92 | 2.10 | 2.32 | 2.57 | 2.75 | 2.94 | 3.07 | 3.11 | 3.19 | 3.25 |
Source: U.S. Department of the Treasury, as of 05/1718
“Try not to become a man of success. Rather become a man of value.” – Albert Einstein. We currently believe seasoned 20yr 3.5% pools offer a great value proposition for clients looking to put money to work. When you compare them to new issue 15yr 3.5% you will notice a considerably better prepayment profile: 1) Base Case WAL 4.97 vs 5.52 2) +300bps WAL 5.48 vs 6.21. For a minimal give up of ~3bps we would argue this opportunity provides great value to shorten and tighten your prepayment window, while picking up spread and a high loan count pool to add to your portfolio.
Seasoned 20yr 3.5%
New Issue 15yr 3.5%
Source: Bloomberg 5/18/18 9:50
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