| Wednesday, July 12, 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 |
| 07/05/23 | 5.18 | 5.35 | 5.48 | 5.40 | 4.95 | 4.61 | 4.25 | 4.10 | 3.93 | 4.15 | 3.92 |
| 07/06/23 | 5.19 | 5.36 | 5.49 | 5.43 | 4.99 | 4.67 | 4.35 | 4.20 | 4.03 | 4.24 | 4.00 |
| 07/07/23 | 5.24 | 5.36 | 5.48 | 5.41 | 4.94 | 4.67 | 4.36 | 4.23 | 4.07 | 4.27 | 4.05 |
| 07/10/23 | 5.27 | 5.37 | 5.49 | 5.39 | 4.86 | 4.55 | 4.24 | 4.13 | 4.00 | 4.24 | 4.03 |
| 07/11/23 | 5.27 | 5.40 | 5.51 | 5.40 | 4.88 | 4.55 | 4.23 | 4.11 | 3.97 | 4.22 | 4.01 |
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 7/11/2023
FNMA SARMs Offer Value
SARMs (Structured Adjustable-Rate Mortgages) are FNMA DUS bonds that float. The bond shown below floats at SOFR30A plus 58 basis points (bps) plus an additional 11.5 bps for the SOFR / LIBOR transition. At a discount dollar price and coupon of 5.773%, the current yield is 5.93% (Exhibit 1). That is a spread of over 70 bps to current Fed Funds/EBA of 5.15%. If rates move higher, the price risk will be minimal because the coupon resets each month. Also note the high prepayments on this pool caused by a few loans that have prepaid over the last couple of months which will likely increase the return as shown by the 100 V3 prepayment scenario.
Exhibit 2 shows the relationship between SOFR, the Fed Funds Target Rate and SOFR30A. The graph shows that SOFR has tracked Fed Funds closely, so if this relationship continues, this bond should basically perform as a Fed Funds +70 floater with prepayment upside. Another positive is the SOFR30A index lags because it is a 30-day moving average, so it is likely to lag on the way down should short rates begin to decline at some point in the future.
For further information please check with your Country Club Bank Sales Representative. Thank You.
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