Mortgage Backed Securities

Five Minute Maturity

5/22  Good morning, ladies and gentlemen, and happy Friday! There is troubling housing market news. Black Knight issued a report with shocking numbers for April delinquencies on motgage payments. After combining all past due mortgages as delinquent, the data analytics firm found that April had the largest single-month increase in delinquencies ever recorded! The national delinquency rate in April was 6.45%. This more than doubles March’s rate of 3.06%. 3.6 million homeowners were past due on their mortgages at the end of April. The percentage of homes in foreclosure has decreased in recent years and was lower last month than in April of 2019. This can likely be explained by the pre-pandemic bull market. It takes 120 days for a house to enter foreclosure, and an increase is projected that corresponds to the shutdown’s timeline. States with the strictest lockdown procedures will likely be hit the hardest by foreclosures should the government not create a new relief program for affected homeowners. 


For now, MBS markets remain stable. FNMA 30 year 2.50% are priced at $103-16, with a yield of 1.44% and a spread of +120. Prices on treasuries haven’t moved much this morning, three-month and ten-year treasuries are yielding 0.12% and 0.66%. That’s all we have for you on this early-close, preholiday Friday. Remember, we trade MBS, SBA, and a wide variety of whole loan products. If you are looking to enter these markets, give us a call or shoot us an email. We’re back in our office and we’d love to help you navigate these uncertain times. Stay safe and stay healthy. Let’s have a great Memorial Day weekend!

Check out this video regarding Mortgage Backed Securities. 

Hanover Securities Cherry Picks

May 22,  2020

ARMS / FLOATERS

Cost:

Average Life:

Yield:

Speed:

Spread:

Coupon:

WAM:

Loans:

Factor:

Caps:

Floor:

1 Yr. Libor

$10mm+ Fannie Mae 5/1 ARM 3.318% #CA3948 7/49 stated final

$106-05

2.90 yr

1.04%

15% CPB

+80/z curve

3.318%

348

63

.6710

2/2/5

1.604

+1.600

10 YEAR FIXED

Cost:

Average Life:

Yield:

Speed:

Spread:

Coupon:

# Loans:

Origination:

Type:

WAM:

Factor:

$106-16

3.3 yr

0.94%

225 PSA

+74/I curve

3.0%

224

2018/2019

Fannie Major

103

.7544

$1.4mm+ Fannie Mae 10yr am 3.00% #MA3710  6/29 stated final

15 YEAR FIXED

Cost:

Average Life:

Yield:

Speed:

Spread:

Coupon:

# Loans:

Origination:

Type:

WAM:

Factor:

$104-24

3.4 yr

1.02%

409 PSA

+83/I curve

2.5%

10,180

2019

Fannie Major

172

.9377

$10mm+ Fannie Mae Dwarf 2.50% #MA3864 11/34 stated final

20 YEAR FIXED

Cost:

Average Life:

Yield:

Speed:

Spread:

Coupon:

# Loans:

Origination:

Type:

WAM:

Factor:

$106-00

5.3 yr

1.76%

244 PSA

+144/I curve

3.0%

4,760

2019 origination

Fannie Major

233

.9687

$9mm+ 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:

$106-00

2.9 yr

1.31%

534 PSA

+116/I curve

3.5%

20,026

2019

FNMA Major

345

.6814

$10mm Fannie Mae 30 yr am 3.50% #MA3686     6/49 stated final

AGENCY CMBS

Cost:

Average Life:

Yield:

Speed:

Coupon:

Call Protection:

Tier

GEO:

DSCR:

LTV:

OCC:

Factor:

$109-23

9.4 yr

1.72+115/swaps

0% CPY

2.82%

82 mo Yield Maintenance

2

OH

1.28x

73.3%

95.0%

1.0000

$5mm FNMA 10/7  DUS #BL5655

2.82% coupon     2/2030 stated final

AGENCY CMO - 3 YEAR

Cost:

Average Life:

Yield:

Speed:

Spread:

Collateral:

Coupon:

Band:

Avg Life:

      w/ rates +300:

Factor:

$103-15

1.5 yr

0.52%

597 PSA

+40/I curve

FNMA 30yr 3.00%

Sequential

3.00%


4.8 yr 

.8873

$10mm Fannie Mae  Sequential 3.00% 

#FNR 2019-79 CA   1/43 stated final

AGENCY CMO - 5 YEAR

Cost:

Average Life:

Yield:

Speed:

Spread:

Collateral::

Coupon:

Band:

Avg Life:

   w/ rates +300

Factor:

$107-24

4.1 yr

0.99%

319 PSA

+75/I curve

Seasoned 30yr 4%

3.0%

none


7.9 yr 

.8416

$10mm+ Freddie Mac Pass-Thru 3.00% 

#FHR 4905 CA     8/49 stated final

AGENCY CMO - LONG END

Cost:

Average Life:

Yield:

Speed:

Spread:

Collateral:

Coupon:

Band:

Avg Life:

  w/ rates +300

IO till:

Factor:


$110-27

8.7 yr

1.65%

 534 PSA

+105/I curve

New Fannie  30yr 3.50%

3.0%

94-202 PAC


17.6 yr 

9/2026

1.0000

$9mm Fannie Mae  AD PAC 3.00% 

#FNR 4943 MB     1/50 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 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 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.

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