| Wednesday, August 23, 2017 | ||||||||
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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 |
| 8/16/17 | .97 | 1.02 | 1.13 | 1.24 | 1.33 | 1.49 | 1.79 | 2.04 | 2.23 | 2.58 | 2.81 |
| 8/17/17 | .95 | 1.00 | 1.11 | 1.24 | 1.32 | 1.46 | 1.76 | 2.01 | 2.19 | 2.54 | 2.78 |
| 8/18/17 | .97 | 1.02 | 1.13 | 1.24 | 1.33 | 1.47 | 1.77 | 2.01 | 2.19 | 2.54 | 2.78 |
| 8/21/17 | .95 | 1.00 | 1.11 | 1.23 | 1.32 | 1.46 | 1.76 | 2.00 | 2.18 | 2.52 | 2.77 |
| 8/22/17 | .93 | 1.00 | 1.13 | 1.24 | 1.33 | 1.48 | 1.80 | 2.04 | 2.22 | 2.55 | 2.79 |
Source: U.S. Department of the Treasury, as of 8/22/17
Zero Percent Risk Based GNMA at Fannie/Freddie Prices…..
As highlighted in yesterday’s PMR the 10YR Treasury had been inching closer to the recent support level of 2.13% however something happened which caused the 10YR to reverse course. As of late Tuesday the 10YR was trading 4 BPS higher in yield at 2.22%.
In to this weakness our trading desk stumbled upon an opportunity to capture 2% on a seasoned 15YR 2.50% Coupon GNMA to a 4.35YR average life and less than 1YR extension in a +300 BPS rate shock. This is a rare opportunity in that you are not being charged for the zero percent risk weighting.
Those who are frequent readers of the PMR are certainly aware of how much we like seasoned 15YR paper. Primarily because of the strong consistent cash flow which deviates very little from the initial expectations illustrated by the cash flow table below.
Whether you are familiar with the advantages of owning seasoned Agency pass thru’s or you are interested in learning more about what they could do for your portfolio, I encourage you to reach out to your CCB investment representative and discuss this and other opportunities in this space.
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