Trading Desk (901) 261-5950

Good morning and happy early-close Friday! Eyes were on the all-important jobs report that we got at 7:30am CST. Little more than that has been discussed since the close yesterday. As we didn’t have any competing housing releases scheduled for today, we took a back seat and watched along with the rest of the investment community to one of the ugliest sets of economic data to be released in ages! The pundits missed by ½ a million on the Non-Farm Payroll number and were it not for some strong revisions from July, this would have been a total wash-out! This will be analyzed for days! Just a reminder that the Fed clearing wire closes today at 1:00pm CST, so if you have a CUSIP-driven security it would be best to get that cleared early this morning. After they pop the corks at 1:00pm, you won’t be able to execute a trade for love or money!

Bonds today are off, with the 10yr T-Note -10/32 to yield 1.32%. In MBS, 30yr FNMA 2.50% are unchanged and yield 1.51%, which is +87 to the 4.2yr treasury curve. Have a great weekend and call or email if you need help with MBS. See you Tuesday!

Cherry Picks

ARMS / FLOATERS

Cost
Average Life
Yield
Speed
Spread
Coupon
MTR
Loans
Caps
Floor
1 Yr. Libor
WAM
Factor
$104-22
2.8 yr
0.71%
15% CPB
+10/z curve
2.497%
47
30
Periodic 2/2/5, Lifetime 7.465%
1.62%
+1.62%
347
.7842
$1.56mm Fannie Mae 5/1 ARM 2.497%, #BP6432, 7/50 stated final

10 Year Fixed

Cost
Average Life
Yield
Speed
Spread
Coupon
# Loans
Origination
Type
WAM
Factor
$104-01
3.1 yr
.63%
396 PSA
+20/I curve
2.00%
2,191
2021
Fannie Major
115
.9615
$10mm+ Fannie Mae 10yr am 2.00%, #MA4368, 5/31 stated final

15 Year Fixed

Cost
Average Life
Yield
Speed
Spread
Coupon
# Loans
Origination
Type
WAM
Factor
$103-26
4.4 yr
1.07%
288 PSA
+41/I curve
2.00%
15,841
2021
Fannie Major
177
.9841
$5mm Fannie Mae Dwarf 2.00%, #MA4383, 7/36 stated final

20 Year Fixed

Cost
Average Life
Yield
Speed
Spread
Coupon
# Loans
Origination
Type
WAM
Factor
$102-18
4.9 yr
1.42%
269 PSA
+67/I curve
2.00%
6,205
2020/2021
Fannie Major
233
.9643
$5mm+ Fannie Mae 20yr am 2.00%, #MA4287, 3/41 stated final

30 Year Fixed

Cost
Average Life
Yield
Speed
Spread
Coupon
# Loans
Origination
Type
WAM
Factor
$106-16
4.0 yr
1.72%
412 PSA
+113/I curve
3.50%
85
2020/2021
Fannie Major
352
.8648
$10mm Fannie Mae 30 yr am 3.50%, #MA4296, 2/51 stated final

Agency CMBS

Cost
Average Life
Yield
Speed
Coupon
Call Protection
Tier
GEO
DSCR
LTV
OCC
Factor
$101-27
10.3 yr
1.57% + 25/swaps
0% CPY
1.75%
137mo Yield Maintenance
2
OH
--
78.9%
97%
.9983
$6.0mm+ FNMA 12/11.5 DUS #BS2592, 1.75% coupon, 7/2033 stated final

Agency CMO – 3 Year

Cost
Average Life
Yield
Speed
Spread
Collateral
Coupon
Band
Avg Life w/ rates +300
Factor
$103-25
3.4 yr
1.29%
412 PSA
+80/I curve
New Fannie 30yr 3.50%
2.50%
Busted PAC
8.8 yr
.6197
$5mm Freddie Mac "Busted PAC" 2.50%, FHR 4926 BL, 10/48 stated final

Agency CMO – 5 Year

Cost
Average Life
Yield
Speed
Spread
Collateral
Coupon
Band
Avg Life w/ rates +300
Interest Only until
Factor
$106-10
4.9 yr
1.62%
645 PSA
+85/I curve
New FNMA 30yr Jumbo 3.00%
3.00%
AD Busted PAC
20.1 yr
7/24
1.0000
$6.6mm+ Fannie Mae "AD Busted PAC" 3.00%, #FNR 20-11 JW, 3/50 stated final

Agency CMO – Long End

Cost
Average Life
Yield
Speed
Spread
Collateral
Coupon
Band
Avg Life w/ rates +300
Interest Only until
Factor
$97-08
18.3 yr
2.18%
243 PSA
+40/I curve
New 30yr Jumbo 2.00%
2.18%
104-272 PAC
18.5 yr
5/36
1.0000
$4.7mm Freddie Mac "AD PAC" 2.00%, #FHR 5055 PL, 12/50 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.