Recommends FNMA 5s and especially Dwarf 4.5s over 5s/10s agency debentures. FNMA 5s benefit from the special roll (about 5/32s a month better than funding) and the potential for a decline in volatility after the recent spike. While the front month OAS on FNMA 5s are at tight level, they have little meaning, in the firm's view, as the two month rolls are through fail. When/if FNMA 5s appear rich two months forward, then analysts will take their basis trade off. Being short the basis in this environment may be very costly, as the basis resets cheaper for July. There are simply not enough 30-year 5s to go around
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Both pools have exposures to large dealers, so losses could be more pronounced if one dealer goes bankrupt, while both series have revolving periods, when noteholders will not receive any principal.
May 3 -
The Federal Reserve, Federal Deposit Insurance Corp. and Office of the Comptroller of the Currency issued a 30-page guidebook on managing affiliate risks. The report builds on formal guidance issued last year.
May 3 -
In talks with OCC officials, "it became obvious that we would not gain near-term approval given their recent experience with multifamily and CRE positions," FirstSun CEO Neal Arnold says. The companies announced other revisions to their deal, too.
May 3 -
Subordination provides credit enhancement to the notes, as well as deposits in the reserve and redemption accounts.
May 3 -
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.
May 2 -
The company's branches and loan officers will transition to ML Mortgage but operations staff are not part of the deal.
May 2