Trading Desk (901) 261-5950

Good morning, folks, and happy Friday! March trading factors came out yesterday afternoon, and prepayment speeds increased 3% in February for a CPR of 31.8%. Although we are down from 2020’s peak prepayment speeds, 31.8% is nothing to smile about; the underlying loans in MBS are still paying off at a high rate relative to historical norms. In other news, having increased about 30 bps over the last week, mortgage rates have finally broken through the 3% barrier for the first time since July 2020. It looks like the UMBS 2.5% coupon – whose price and yield we always update you on – might be making a comeback!

Currently, it is trading at $103-07 to yield just under 1.87% with a +88 spread over the treasury curve. The 10yr. T-note is -7/32 to yield 1.58%. Let us take a look at your portfolio and see what we can do! Give us a call or send us an email. Thanks, and have a great weekend!

Cherry Picks

ARMS / FLOATERS

Cost
Average Life
Yield
Speed
Spread
Coupon
WAM
MTR
Loans
Factor
Caps
Floor
1 Yr. Libor
$105-05+
3.0 yr
0.71%
15% CPB
+30/z curve
2.491%
353
53
34
.8801
2/2/5
1.62%
+1.62
$1.5mm+ Fannie Mae 5/1 ARM 2.491% #BP6432 7/50 stated final

10 Year Fixed

Cost
Average Life
Yield
Speed
Spread
Coupon
# Loans
Origination
Type
WAM
Factor
$104-24
2.3 yr
-.11%
542 PSA
-24/I curve
2.00%
384
2020
Fannie Major
106
.7595
$5mm+ Fannie Mae 10yr am 2.00% #MA4009 5/30 stated final

15 Year Fixed

Cost
Average Life
Yield
Speed
Spread
Coupon
# Loans
Origination
Type
WAM
Factor
$104-22
3.4 yr
0.59%
386 PSA
+34/I curve
2.00%
18,979
2020
Fannie Major
171
.8764
$10mm+ Fannie Mae Dwarf 2.00% #MA4095 8/35 stated final

20 Year Fixed

Cost
Average Life
Yield
Speed
Spread
Coupon
# Loans
Origination
Type
WAM
Factor
$105-24
2.6 yr
.74%
555 PSA
+59/I curve
3.00%
1,931
2019/2020
Fannie Major
220
.4501
$2mm+ Fannie Mae 20yr am 3.00% #MA3800 10/39 stated final

30 Year Fixed

Cost
Average Life
Yield
Speed
Spread
Coupon
# Loans
Origination
Type
WAM
Factor
$107-00
3.3 yr
1.25%
470 PSA
+101/I curve
3.50%
3,214
2019/2020
Fannie Major
345
.5799
$10mm Fannie Mae 30 yr am 3.50% #MA3961 3/50 stated final

Agency CMBS

Cost
Average Life
Yield
Speed
Coupon
Call Protection
Tier
GEO
DSCR
LTV
OCC
Factor
$102-28
10.4 yr
1.47% + 20/swaps
0% CPY
1.47%
136mo Yield Maintenance
2
TX
1.56x
68.5%
97.2%
.9972
$1.96mm FNMA 12/11.5 DUS #BL9966 1.75% coupon 12/2032 stated final

Agency CMO – 3 Year

Cost
Average Life
Yield
Speed
Spread
Collateral
Coupon
Band
Avg Life w/ rates +300
Factor
$106-19
3.5 yr
1.01%
389 PSA
+75/I curve
FNMA 30yr 4.50%
3.00%
Pass-Thru
6.9 yr
.4042
$10mm Fannie Mae "Pass-Thru" 3.00% #FNR 2018-36 A 6/48 stated final

Agency CMO – 5 Year

Cost
Average Life
Yield
Speed
Spread
Collateral
Coupon
Band
Avg Life w/ rates +300
Factor
$108-12
5.0 yr
1.21%
389 PSA
+75/I curve
New 30yr 3.00%
3.00%
Sequential
15.2 yr
1.0000
$20mm+ Freddie Mac "Sequential" 3.00% #FHR 4957 W 2/50 stated final

Agency CMO – Long End

Cost
Average Life
Yield
Speed
Spread
Collateral
Coupon
Band
Avg Life w/ rates +300
IO till
Factor
$94-01
14.3 yr
1.98%
293 PSA
+55/I curve
New Freddie Jumbo 30yr 1.50%
1.50%
"Busted" Pac Band
18.4 yr
5/2031
1.0000
$10mm Freddie Mac "AD PAC" 1.50% #FNR 5028 PW 10/50 stated final

Jim Tait is a registered representative with and offers securities through Hanover Securities, Inc. (Hanover), Member FINRA & SIPC. Although this information has been obtained from sources we believe reliable, we do not guarantee its accuracy, and it may be incomplete or condensed. This is for information purposes only and is not intended as an offer or solicitation with respect to the purchase or sale of any security. Securities that may be shown are subject to availability and changes in price. Past performance is not indicative of future results. Changes in any assumptions may have a material effect on projected results.

 This information from Hanover Securities is for your private use and does not constitute an offer or solicitation with respect to the sale of any security. This information was obtained from sources we believe to be reliable but we do not represent that it is accurate or complete, and it should not be relied on as such. Certain transactions may give rise to substantial risk and are not suitable for all investors. This information was based on current market indicators which may vary over time. We may from time to time buy or sell, or have long or short positions in securities identical or related to those identified herein. 

Although this information has been obtained from sources we believe reliable, we do not guarantee its accuracy, and it may be incomplete or condensed. This is for information purposes only and is not intended as an offer or solicitation with respect to the purchase or sale of any security. Loans and/or Securities which may be shown are subject to availability and changes in price. Past performance is not indicative of future results. Changes in any assumptions may have a material effect on projected results. This information from Banes Capital Group (BCG) and/or Hanover Securities is for your private use, and was obtained from sources we believe to be reliable. However, we do not represent that this information is accurate or complete, and it should not be relied on as such. This information is for institutional investors only, and as such certain transactions may give rise to substantial risk and are not suitable for all investors. This information was based on current market indicators which may vary over time. We may from time to time buy or sell, or have long or short positions in loans or securities identical or related to those identified herein. 

The pricing of loans or any Level II or III asset is inherently an exercise in quantifying uncertain variables. As such, great care should be taken when pricing loans for reporting purposes. The information included herein should never be taken as the sole method, or even a method to be relied on, for the pricing of loans or other Level II or III assets as this is for informational purposes only.