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Wednesday, January 10, 2018

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
1/3/18 1.29 1.41 1.59 1.81 1.94 2.02 2.25 2.37 2.44 2.62 2.78
1/4/18 1.28 1.41 1.60 1.82 1.96 2.05 2.27 2.38 2.46 2.62 2.79
1/5/18 1.27 1.39 1.58 1.80 1.96 2.06 2.29 2.40 2.47 2.64 2.81
1/8/18 1.30 1.45 1.60 1.79 1.96 2.07 2.29 2.41 2.49 2.65 2.81
1/9/18 1.27 1.44 1.60 1.78 1.98 2.09 2.33 2.46 2.55 2.72 2.88

                                                                                       Source: U.S. Department of the Treasury, as of 1/9/18  

 This Security Works if Rates Go Up or Down

Do you think higher rates are coming? If so, this initially fixed rate mortgage backed security, will begin resetting annually in January 2021 at a margin of 150 basis points over the 1 year treasury.  With a 7% lifetime cap and a 1% annual collar, this bond pays monthly principal and interest throughout its life with a yield of 2.65% to the 5 year average life.

Do you think we will repeat last year and have lower rates? This same bond is fixed until 1/01/21. Thereafter, if rates are still low, you’ll have a 150 basis points spread versus the 1 year treasury to create a margin.  That should be attractive versus lower deposit costs. And if prepay speeds accelerate, your realized yield will likely be higher because you can buy it at a discount.

Zero Risk Weighted
1/1/5 Cap Structure
G2MA4798
Current Coupon 2.00%
Maturity date 10/20/2047
Average Life is 5.26 years
Duration is 4.68
Yield to average life is 2.65%
Dollar price is 99-27/32nds
Reset date is 1/1/21 –3 years and annually thereafter
Reset index is 1 year CMT + 150 basis points
Life cap is 7.00%
Annual collar is 1.00%
691 loans
Weighted average loan size is $241,000
Geographic mix:  California 17%, Florida 7.3%, Texas 12.6%
Weighted average credit score is 691
Issued 10/1/17

We own and offer 5 million for January 24th settlement



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