Friday, September 29, 2023 |
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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 |
| 09/22/23 | 5.38 | 5.48 | 5.54 | 5.46 | 5.11 | 4.80 | 4.56 | 4.52 | 4.44 | 4.71 | 4.53 |
| 09/25/23 | 5.39 | 5.47 | 5.53 | 5.45 | 5.12 | 4.83 | 4.61 | 4.60 | 4.53 | 4.83 | 4.65 |
| 09/26/23 | 5.39 | 5.46 | 5.55 | 5.46 | 5.12 | 4.82 | 4.60 | 4.59 | 4.53 | 4.86 | 4.67 |
| 09/27/23 | 5.39 | 5.48 | 5.56 | 5.48 | 5.13 | 4.89 | 4.68 | 4.68 | 4.60 | 4.91 | 4.72 |
| 09/28/23 | 5.38 | 5.46 | 5.54 | 5.46 | 5.05 | 4.81 | 4.62 | 4.63 | 4.57 | 4.90 | 4.70 |
The data in the table above is static as of the time it was pulled, so rates may have changed. Treat all data in this table and PMR as indications only and availability is always subject to change. This information was pulled manually from sources we believe to be reliable. New source, as of 12/12/2022, Bloomberg, L.L.P. As of: close of business 09/28/2023
6% Yield - Monthly Capless Reset
Country Club Bank has long been an advocate of the barbell strategy. As banks attempt to take advantage of 10yr+ high in yields by extending duration, we believe it is prudent to compliment the extension risk with short monthly floaters to balance out this barbell approach in case rates stay or go higher for longer.
By far the best value currently remains in capless Fannie Mae SARMs at discounted dollar prices. Below is an example of a SARM we currently own at a point discount with a 6% yield. In the event of an early prepayment, you would book a gain as you are paid off at par. Worst case scenario is holding the bond to maturity (0 CPP) at 30-day average SOFR rate (index) + 0.61% (margin).
By far the best value currently remains in capless Fannie Mae SARMs at discounted dollar prices. Below is an example of a SARM we currently own at a point discount with a 6% yield. In the event of an early prepayment, you would book a gain as you are paid off at par. Worst case scenario is holding the bond to maturity (0 CPP) at 30-day average SOFR rate (index) + 0.61% (margin).
For those looking to implement both sides of the barbell trade we like adding 30yr MBS with call protection (200k or less loan balance pools). If rates continue to rise the SARM will reset with a higher coupon. If rates should fall, the loan balance 30yr pool will tend to have slower CPRs than average (keep more above market book yields on your balance sheet).
Source: Bloomberg
Offerings are subject to change and availability without notice, treat as indications only
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