| Wednesday, April 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 |
| 04/05/23 | 4.46 | 4.82 | 4.78 | 4.44 | 3.78 | 3.57 | 3.37 | 3.35 | 3.31 | 3.68 | 3.57 |
| 04/06/23 | 4.33 | 4.84 | 4.81 | 4.47 | 3.80 | 3.57 | 3.35 | 3.32 | 3.28 | 3.65 | 3.53 |
| 04/07/23 | 4.46 | 4.86 | 4.92 | 4.61 | 3.98 | 3.75 | 3.50 | 3.45 | 3.40 | 3.73 | 3.61 |
| 04/10/23 | 4.42 | 4.99 | 4.93 | 4.66 | 4.01 | 3.78 | 3.52 | 3.47 | 3.42 | 3.74 | 3.63 |
| 04/11/23 | 4.11 | 4.99 | 4.96 | 4.67 | 4.03 | 3.78 | 3.53 | 3.48 | 3.43 | 3.74 | 3.62 |
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 04/11/2023
A Bank Recently Asked...Where is the Value in the MBS Space?
We believe there are two great MBS opportunities currently: 15YR 5.00% Coupon Pool and the 5/1 Agency ARM. As for the pools, the table below highlights different Agency MBS pools across the curve. As you can see the 15YR 5.00% coupon pool stands out with its much higher 126 BPS spread compared to the sub 100 BPS spreads in similar lower coupon pools.
A close second favorite would be the GNMA 30YR 5.00% Coupon pool if you are willing to go out on the curve. The GNMA stands out because it is currently priced nearly the same as a FNMA and FHLMC while having a zero percent risk weighting. Typically, you have to pay up for the zero-risk weighting.
Lastly would be the 5/1 ARM. Agency ARMs are always a bank portfolio crowd pleaser due to the adjustable coupon. They are especially nice now due to the possibility of capturing a 5%+ yield in the base case. In addition to the strong yields, this particular 5/1 ARM is currently offered at a deep discount making prepayments painless.
Please see the details below on the pools and the ARM opportunity and reach out with any questions.
A close second favorite would be the GNMA 30YR 5.00% Coupon pool if you are willing to go out on the curve. The GNMA stands out because it is currently priced nearly the same as a FNMA and FHLMC while having a zero percent risk weighting. Typically, you have to pay up for the zero-risk weighting.
Lastly would be the 5/1 ARM. Agency ARMs are always a bank portfolio crowd pleaser due to the adjustable coupon. They are especially nice now due to the possibility of capturing a 5%+ yield in the base case. In addition to the strong yields, this particular 5/1 ARM is currently offered at a deep discount making prepayments painless.
Please see the details below on the pools and the ARM opportunity and reach out with any questions.
Here is a list of Agency MBS Pools with my two favorites in Blue
Indications only / All pools are subject to change and availability
Favorite Agency ARM which happens to be a GNMA
Highlights….
- Ideal GNMA ARM for a zero percent risk weighting and ability to lag in a declining rate environment
- 51 Months to the weighted reset
- 4.89% to 5.27YR Avg. Life in the Base Case
- Will reset at 1YR Treasury + 150 BPS in 51 months then every year thereafter
- Can only reset 100 BPS/ reset which is great to buy when near the highs yet still has a 500 BPS lifetime CAP
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