Tuesday, January 12, 2021 |
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MANAGING DIRECTOR: Scott Carrithers PORTFOLIO SALES AND SERVICE: George Morris • Chris Thompson • Sean Doherty • Kevin Doyle • Mark Tranckino Jeff Goble • Nicole Burczyk • Natalie Regan • Aaron Stoffer • David Farris • Lonnie Harris Brian Schaff • Josh Kiefer • Robert Schuyler • Tom Toburen • Aaron Hemphill |
| 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 |
| 01/05/21 | 0.08 | 0.09 | 0.09 | 0.10 | 0.13 | 0.17 | 0.38 | 0.66 | 0.96 | 1.49 | 1.70 |
| 01/06/21 | 0.09 | 0.09 | 0.09 | 0.11 | 0.14 | 0.20 | 0.43 | 0.74 | 1.04 | 1.60 | 1.81 |
| 01/07/21 | 0.09 | 0.09 | 0.09 | 0.11 | 0.14 | 0.22 | 0.46 | 0.78 | 1.08 | 1.64 | 1.85 |
| 01/08/21 | 0.08 | 0.08 | 0.09 | 0.10 | 0.14 | 0.24 | 0.49 | 0.81 | 1.13 | 1.67 | 1.87 |
| 01/11/21 | 0.09 | 0.08 | 0.10 | 0.10 | 0.14 | 0.22 | 0.50 | 0.84 | 1.15 | 1.68 | 1.88 |
Source: U.S. Department of Treasury as of 01/11/2021
Capture the Premium
Capture the Premium
According to an article from “Inside Mortgage Finance”, residential lenders delivered over $1 trillion of single-family loans to agency MBS platforms during the fourth quarter of 2020 alone.
Overall, Fannie Mae, Freddie Mac and Ginnie Mae issued $3.153 TRILLION of single-family MBS to investors. This volume easily broke the previous annual record of $2.13 trillion back in 2003.
Below are the prepayment speed comparisons between November and December on current 15, 20 and 30 year pools. As you can see, in spite of the fact that they have been high, most continue to inch even higher.
This has been the main motivator for our many calls in recent PMRs to carefully monitor your MBS holdings and selectively capture premiums, and with that profits, before they erode.
If you need help in analyzing your current MBS holdings, please reach out to your CCB representative.
Overall, Fannie Mae, Freddie Mac and Ginnie Mae issued $3.153 TRILLION of single-family MBS to investors. This volume easily broke the previous annual record of $2.13 trillion back in 2003.
Below are the prepayment speed comparisons between November and December on current 15, 20 and 30 year pools. As you can see, in spite of the fact that they have been high, most continue to inch even higher.
This has been the main motivator for our many calls in recent PMRs to carefully monitor your MBS holdings and selectively capture premiums, and with that profits, before they erode.
If you need help in analyzing your current MBS holdings, please reach out to your CCB representative.
| 20yr CPR By Coupon | |||
| Coupon | DEC | NOV | % CHG |
| 1.50% | 1.90 | 1.4 | 35.7% |
| 2.00% | 9.80 | 6.9 | 42.0% |
| 2.50% | 33.00 | 30.3 | 8.9% |
| 3.00% | 37.10 | 34.3 | 8.2% |
| 3.50% | 35.50 | 33.4 | 6.3% |
| 4.00% | 34.30 | 32.7 | 4.9% |
| 4.50% | 27.30 | 24.7 | 10.5% |
| Source:eMBS | |||
| 15yr CPR By Coupon | |||
| Coupon | DEC | NOV | % CHG |
| 2.00% | 16.10 | 13.1 | 22.9% |
| 2.50% | 26.20 | 24.1 | 8.7% |
| 3.00% | 29.40 | 26.6 | 10.5% |
| 3.50% | 30.40 | 27.6 | 10.1% |
| 4.00% | 30.00 | 26.6 | 12.8% |
| 4.50% | 24.70 | 21.5 | 14.9% |
| Source:eMBS | |||
| 30yr CPR By Coupon | |||
| Coupon | DEC | NOV | % CHG |
| 2.00% | 6.90 | 5.1 | 35.0% |
| 2.50% | 28.36 | 23.2 | 22.2% |
| 3.00% | 43.80 | 40.3 | 8.7% |
| 3.50% | 45.10 | 42.9 | 5.1% |
| 4.00% | 43.40 | 41 | 5.9% |
| 4.50% | 38.20 | 36 | 6.1% |
| 5.00% | 31.50 | 28.2 | 11.7% |
| 5.50% | 21.60 | 19.8 | 9.1% |
| 6.00% | 18.70 | 17.2 | 8.7% |
| 6.50% | 16.80 | 15.9 | 5.7% |
| 7.00% | 16.60 | 14.7 | 12.9% |
| Source:eMBS | |||
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