| Friday, November 1, 2019 |
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|---|---|---|---|---|---|---|---|---|
| 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 |
| 10/25/19 | 1.73 | 1.66 | 1.66 | 1.60 | 1.63 | 1.62 | 1.62 | 1.71 | 1.80 | 2.10 | 2.29 |
| 10/28/19 | 1.74 | 1.65 | 1.65 | 1.60 | 1.64 | 1.64 | 1.66 | 1.75 | 1.85 | 2.16 | 2.34 |
| 10/29/19 | 1.66 | 1.63 | 1.64 | 1.59 | 1.64 | 1.65 | 1.66 | 1.74 | 1.84 | 2.15 | 2.33 |
| 10/30/19 | 1.61 | 1.62 | 1.62 | 1.59 | 1.61 | 1.60 | 1.61 | 1.69 | 1.78 | 2.08 | 2.26 |
| 10/31/19 | 1.59 | 1.54 | 1.57 | 1.53 | 1.52 | 1.52 | 1.51 | 1.60 | 1.69 | 2.00 | 2.17 |
Short is sometimes very sweet! G2 MA5088 1/1/5 Cap
This is certainly the case with the Seasoned GNMA CMT ARM, a 3% coupon and 1/1/5 Caps with just 41 months to the reset. As you can see below the offering price is 102.375 which is projected to yield 2.32% to maturity at 20 CPR and 1.89% at the same CPR with only a 2.3 WAL. Wow, that is short, but keep in mind prepayment speeds do vary, so review both yield tables (one to maturity and one to the reset) considering potential prepayment speeds, yields, and WAL depending on the actual prepayments. Also keep in mind this is a GMNA, which is zero risk based capital. As you review, please note the cashflow, pool size and the geographic characteristics of the mortgage holders.The reset is restricted to 1% per reset, either up or down, and it resets every year after the initial reset, plus it cannot exceed a 5% increase over the life of the bond.
Give us a call if you have interest, thanks.
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