Favors 30- over 15-years, primarily due to outlook for a flatter curve and low volatility. Maintains overweight on current coupons (30-year 5s and 15-year 4.5s). Though range of available coupons seems wide, actual alternatives are limited. CSFB’s near-term prepay forecasts imply a negative carry on 30-year 6.5s; potential for further negative prepay surprises on 6s partly drives negative view despite sector’s cheapness. 30-year 5.5s and 15- year 5s have well-entrenched index investor base, but are at the cusp of strong jumps in speeds. CSFB’s rate and volatility outlook, expected bank demand and CMO desk interest and potential Agency demand form basis for recommendations on current coupons.
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The capital structure features initial exchangeable notes among the class A, mezzanine and B1 notes. The super senior and senior support tranches will repay noteholders on a pro-rata basis.
3h ago -
Note payments are linked to two tranched credit default swap (CDS) transactions, one related to the reference obligation between the issuer and SoFi Bank and SoFi Lending and the Issuer.
May 1 -
The Federal Open Market Committee held the federal funds rate at current levels, citing "lack of further progress" toward meeting inflation goals.
May 1 -
During this week's Federal Open Market Committee meeting, officials voted to lower the cap on the amount of Treasury securities that can roll off the central bank's books each month from $60 billion to $25 billion.
May 1 -
The fixed, tax-exempt notes have about 137.5% in expected senior bond parity and 124.1% in subordinate bond parity levels.
May 1 -
Moody's took note of several credit strengths in the portfolio, including that on a weighted average (WA) basis, the contracts have a weighted average FICO score of 767 and only a point higher for the upsized pool.
April 30