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
11/14/19	1.59	1.57	1.58	1.55	1.58	1.59	1.63	1.73	1.82	2.15	2.31
11/15/19	1.59	1.57	1.59	1.54	1.61	1.61	1.65	1.75	1.84	2.16	2.31
11/18/19	1.59	1.57	1.58	1.54	1.60	1.59	1.63	1.73	1.81	2.14	2.30
11/19/19	1.58	1.57	1.58	1.54	1.60	1.59	1.63	1.71	1.79	2.11	2.26
11/20/19	1.57	1.57	1.58	1.54	1.56	1.55	1.58	1.66	1.73	2.05	2.20

                                                                                                                                                   Source: U.S. Department of the Treasury, as of 11/20/2019

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                                         Asset Allocation: Agency MBS 15 Year 2.5% Coupon
 
On Tuesday we touted the merits of a US agency 2% 15yr (final) MBS.  Since there was much interest from our reading public, today we’ll delve further into the same structure but with a 2.5% coupon (vs the 2.0% coupon). This is of particular interest for those who prefer a slightly higher coupon to pair with the original offering.

The specific bond offered is a FannieMae  2.5% 15yr (final) MBS with a 2.5% coupon; offered @ 101.531 (a low premium) which produces a base case yield of 2.09% and duration of 4.0 years at the current speed.  The offering sheet below illustrates necessary details to thoroughly vet this security.   Of note, the 39 WALA (wtd avg loan age) demonstrates that 3yrs of seasoning has morphed this bond into a class which compares closer to a new issue 10yr MBS.  Scheduled settlement is 12-17-2019, or T+3 with a very slight increase in price.  Please call with questions or comments. 







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