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Wednesday, April 24, 2019
 
MANAGING DIRECTOR:
Scott Carrithers
 
PORTFOLIO SALES AND SERVICE:
Steve Panknin • George Morris • Jeff Goble • Chris Thompson • Sean Doherty
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
04/17/19 2.43 2.43 2.47 2.45 2.41 2.38 2.41 2.50 2.60 2.81 2.99
04/18/19 2.44 2.42 2.47 2.44 2.38 2.36 2.38 2.46 2.57 2.78 2.96
04/19/19 2.44 2.42 2.47 2.44 2.38 2.36 2.38 2.46 2.57 2.78 2.96
04/22/19 2.44 2.44 2.47 2.46 2.38 2.36 2.39 2.49 2.59 2.82 2.99
04/23/19 2.43 2.45 2.46 2.43 2.36 2.34 2.36 2.46 2.57 2.81 2.98
                                                                                                                                        Source: U.S. Department of the Treasury, as of 04/23/2019

 MBS:  The Very Accurately Defined Maturity

The invention of collateral mortgage obligations, (CMO’s) was to categorize pre-payments of mortgage backed pools into groups, they were named tranches. The Very Accurately Defined Maturity, VADM  tranche was designed to reduce pre-payment and extension risk.

An attractive offering of a VADM tranche CMO, with Accretion Directed (AD), Planned Amortization (PAC) structure is FNR 2018 QV.  A slightly seasoned CMO on 30 year loans. The yield tables, including the historical are below.

  Highlights
  • Y I E L D:  Base case yield 2.839% at +50 bp to the curve
  • Low Extension:  5.57 Weighted Average Life, (WAL) at a ZERO pre-paymemt speed
  • Steady Pre-Pay History: All historical WAL’s in the 5 year range
  • Seasoned for 25 months
  • Short Final Maturity:  2029 on 30 year loans
 


 
Please contact your portfolio representative for questions and current market availability on CMO’s.

<All Details are subject to change and should be viewed as indications only, as of 04/24/2019>
 
 
 


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