Trading Desk (901) 261-5950

Good morning and happy Friday! Yesterday afternoon, Ward’s total vehicle sales for the month of March came in at an annualized rate of 17.75 million units, a significant jump from February’s 15.67 million units. The street was expecting a much more moderate increase to 16.4 million units, but they sure missed the mark on that one! In other news, yesterday the Consumer Financial Protection Bureau issued a broad warning to mortgage firms about doing what they can to limit avoidable foreclosures. Recall, there has been a moratorium in place on foreclosures since the beginning of the pandemic; as a result, we could be facing a barrage of foreclosures later in the year. The CFPB is expecting mortgage servicers to reach out to struggling homeowners before then to discuss possible loan changes. Mortgage servicers that do not comply will face some form of consequence.

The 10yr. T-note is -14/32 to yield 1.72%, and the UMBS 30yr. 2.5% is trading at $102-17 to yield 2.01% with a +80 spread over the treasury curve. Thanks, and for those celebrating, have a wonderful Easter weekend.

Cherry Picks

ARMS / FLOATERS

Cost
Average Life
Yield
Speed
Spread
Coupon
WAM
MTR
Loans
Factor
Caps
Floor
Cap
1 Yr. Libor
$104-31+
3.0 yr
0.75%
15% CPB
+10/z curve
2.492%
352
52
34
.8773
2/2/5
1.62%
7.492%
+1.62
$1.5mm+ Fannie Mae 5/1 ARM 2.492% #BP6432 7/50 stated final

10 Year Fixed

Cost
Average Life
Yield
Speed
Spread
Coupon
# Loans
Origination
Type
WAM
Factor
$103-26
3.1 yr
.71%
414 PSA
+36/I curve
2.00%
1,430
2020/2021
Fannie Major
116
.9911
$5mm+ Fannie Mae 10yr am 2.00% #MA4285 3/31 stated final

15 Year Fixed

Cost
Average Life
Yield
Speed
Spread
Coupon
# Loans
Origination
Type
WAM
Factor
$103-18
4.4 yr
1.14%
293 PSA
+43/I curve
2.00%
18,315
2020
Fannie Major
170
.8350
$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
$104-31
3.5 yr
1.47%
384 PSA
+99/I curve
3.00%
2,944
2019
Fannie Major
222
.5437
$2mm+ Fannie Mae 20yr am 3.00% #MA3890 1/40 stated final

30 Year Fixed

Cost
Average Life
Yield
Speed
Spread
Coupon
# Loans
Origination
Type
WAM
Factor
$106-12
3.6 yr
1.60%
406 PSA
+109/I curve
3.50%
4,196
2019
Fannie Major
343
.5020
$10mm Fannie Mae 30 yr am 3.50% #MA3906 1/50 stated final

Agency CMBS

Cost
Average Life
Yield
Speed
Coupon
Call Protection
Tier
GEO
DSCR
LTV
OCC
Factor
Interest Only
$103-31
10.6 yr
1.87% + 20/swaps
0% CPY
2.26%
127mo Yield Maintenance
2
CO
1.33x
63.4%
95.0%
1.0000
49 Months
$4.7mm FNMA 12/11.5 DUS #BL6356 2.26% coupon 4/2032 stated final

Agency CMO – 3 Year

Cost
Average Life
Yield
Speed
Spread
Collateral
Coupon
Band
Avg Life w/ rates +300
Factor
$106-11
3.3 yr
.98%
376 PSA
+55/I curve
FNMA Jumbo 30yr 3.00%, Seasoned
3.00%
245-315 PAC
5.5 yr
.4741
$10mm Fannie Mae "PAC" 3.00% #FNR 2016-80 JA 3/46 stated final

Agency CMO – 5 Year

Cost
Average Life
Yield
Speed
Spread
Collateral
Coupon
Band
Avg Life w/ rates +300
Factor
$107-08
6.4 yr
1.76%
359 PSA
+60/I curve
New 30yr 3.00%
3.00%
Sequential
14.7 yr
1.0000
$20mm+ Freddie Mac "Sequential" 3.00% #FHR 4957 W 2/50 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. This information is for institutional investors only, 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.

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.