| Wednesday, February 5, 2025 |
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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 |
| 01/29/25 | 4.33 | 4.29 | 4.30 | 4.16 | 4.22 | 4.25 | 4.33 | 4.43 | 4.53 | 4.83 | 4.77 |
| 01/30/25 | 4.32 | 4.29 | 4.30 | 4.16 | 4.21 | 4.25 | 4.32 | 4.42 | 4.52 | 4.81 | 4.76 |
| 01/31/25 | 4.31 | 4.28 | 4.30 | 4.15 | 4.19 | 4.23 | 4.32 | 4.44 | 4.54 | 4.84 | 4.78 |
| 02/03/25 | 4.32 | 4.29 | 4.32 | 4.19 | 4.25 | 4.28 | 4.36 | 4.46 | 4.55 | 4.84 | 4.79 |
| 02/04/25 | 4.31 | 4.31 | 4.29 | 4.18 | 4.21 | 4.24 | 4.31 | 4.41 | 4.51 | 4.80 | 4.74 |
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 2/04/2025.
MBS Sector: Opportunities Beyond Current Coupons
The Mortgage-Backed Security (MBS) sector has a little something for everyone: Yield, Spread, Duration and Cashflow. At different parts of the interest rate cycle, certain structures from a price, coupon and collateral standpoint become more or less appealing.
Current Coupons or New Production pools are pools of brand new underwritings and typically priced close to 100. As rates move, coupons move on new production and the price moves on seasoned pools – in opposite directions. Opportunities arise as rates both rise and fall. In the current environment, where we are still near cycle highs and expect possibly lower rates in the next few years, many portfolio managers look for call protection or limited cashflow on new purchases.
Even though all MBS have monthly principal payments (cashflow), there are two attributes that can limit prepayments:
If you blend the two, you’re pumping the brakes even harder.
Here is an example of a pool with both attributes. Let us know if you would like to explore this sector further.
150k Max Seasoned 20YR 1.50% @ 83-18
Current indicative price - subject to change.
Yield Table - Historical
Source: Bloomberg, LP
Yield Table – BAM (Bloomberg Agency MBS Model) – Pool specific details taken into account for prepay modeling
Source: Bloomberg, LP
Please reach out to your Country Club Bank Capital Markets representative to discuss the best possible strategy for your bank.
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