The production coupons (30-year 5s, 15-year 4.5s) look fairly priced vs. non-mortgage alternatives. With dollar rolls special, overweight this sector, at the expense of the 5-year part of the Treasury or Agency curve. Neutral on higher coupon mortgages (6s and above). They look cheap, but offer little carry at speeds expected the next few months. Duration on these securities is low or negative; they will do phenomenally well in a rate backup. Likes GNMA 5.5s much better than conventional counterparts. With 30-year [6 + 6.5]s representing almost 60% of 30-year outstandings, pay up for specified pools in these coupons.
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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.
11h ago -
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