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Thursday, February 18, 2021
 

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
02/10/21 0.05 0.05 0.06 0.07 0.11 0.19 0.46 0.80 1.15 1.75 1.92
02/11/21 0.05 0.05 0.06 0.07 0.11 0.19 0.46 0.81 1.16 1.77 1.94
02/12/21 0.03 0.04 0.05 0.06 0.11 0.20 0.50 0.85 1.20 1.83 2.01
02/16/21 0.03 0.04 0.06 0.08 0.13 0.23 0.57 0.94 1.30 1.92 2.08
02/17/21 0.03 0.04 0.06 0.07 0.11 0.21 0.57 0.94 1.29 1.92 2.06
                                                                                                                                                                  Source: U.S. Department of Treasury as of 2/17/2021

 
                                                                   Defensive MBS Structure
As a follow up to yesterday’s PMR, we would like to share a structure being discussed with our institutional clients.  We believe this mortgage product provides a combination of stable cash flows with limited extension risk. The FNMA 15yr 1.50% MBS pool shown below, is a defensive structure and option to potentially higher rates in the near future.

Highlights:
  • Very large loan count base of 14,586 loans
  • Low WAC of 2.14% (very little refinancing risk)
  • 0.955% yield to 4.37yr average life
  • Extends less than 2yrs in +300bps rate increase scenario
  • +50bps of spread over the Treasury interpolated curve
  • Settles 3/16/2021



 














































 







If you are interested in this particular pool or a similar structure and think this might be a good consideration for your portfolio, please reach out to your CCB representative to discuss. Keep in mind, the above security is subject to availability and/or changes in price.



 



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