AVG Inv 4.25% Note Rate Price Vs FN 3.5 Basis Spread ... · 0.2 0.25 0.3 0.35 0.4 0.45 0.5 Security Price AVG Inv 4.25% Note Rate Price Vs FN 3.5 Basis Spread ... FHLMC30 0.10 0.170.14

0

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0.35

AVG Inv 4.75% Note Rate Price Vs FN 4.0 Basis Spread

Average Note Rate vs Coupon Spread

97

97.5

98

98.5

99

99.5

100

100.5

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0.25

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Security PriceAVG Inv 4.25% Note Rate Price Vs FN 3.5 Basis Spread

Average Note Rate vs Coupon Spread FNMA 3.5 Price

97.5

98

98.5

99

99.5

100

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0

Average 3.75 - 4.5 % Investor Note Rate vs FNMA30 3.5 Basis Spreads

Average Note Rate vs Coupon Spread FNMA 3.5 Price

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AVG Inv 3.75% Note Rate Price Vs GNII 3.5 Basis Spread

Average Note Rate vs Coupon Spread

30 year Fannie Mae is up slightly today versus FNMA Securities. A note that on 5/25 we adjusted the G-Fee downward on the 30 year security. This is why the drop ocurred.

Generally, if cash price is below the zero line and are trending down it is not a good time to sell loans via the cash window, however the trend is what is most important.

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8-May 9-May 10-May 11-May 14-May 15-May 16-May 17-May 18-May 21-May 22-May 23-May 24-May 25-May 29-May 30-May 31-May 1-Jun 4-Jun

FN30 0.53 0.54 0.54 0.47 0.50 0.49 0.52 0.49 0.48 0.49 0.56 0.52 0.52 0.42 0.45 0.41 0.41 0.41 0.42

FN15 0.54 0.54 0.39 0.42 0.54 0.53 0.47 0.48 0.46 0.46 0.52 0.52 0.52 0.54 0.56 0.55 0.55 0.55 0.55

FN20 0.38 0.37 0.37 0.31 0.34 0.35 0.35 0.29 0.28 0.29 0.34 0.31 0.31 0.48 0.47 0.39 0.39 0.42 0.43

FN10 0.31 0.30 0.29 0.31 0.30 0.30 0.29 0.30 0.30 0.30 0.36 0.36 0.36 0.42 0.45 0.37 0.36 0.43 0.44

FNMA Cash Vs. FNMA Security Price Spreads

Freddie 30 is up slightly today vs FHLMC Securities. A note that on 5/25 we adjusted the G-Fee downward on the 30 year security. This is why the drop ocurred.

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FHLMC30 0.89 0.87 0.88 0.95 0.96 0.96 1.01 1.00 1.01 0.94 0.96 0.94 0.93 0.80 0.83 0.79 0.74 0.73 0.74

FHLMC15 0.58 0.59 0.56 0.62 0.60 0.59 0.55 0.53 0.57 0.54 0.56 0.55 0.55 0.57 0.61 0.57 0.55 0.50 0.52

FHLMC Cash Vs. FHLMC Security Price Spreads

Freddie 30 year is down slightly today vs. FNMA cash this morning.

Retained vs Retained pricing

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FHLMC30 0.18 0.16 0.13 0.17 0.16 0.17 0.19 0.22 0.20 0.16 0.12 0.13 0.12 0.13 0.14 0.12 0.10 0.11 0.10

FHLMC15 0.30 0.30 0.29 0.31 0.30 0.29 0.28 0.29 0.30 0.29 0.35 0.35 0.35 0.39 0.42 0.36 0.35 0.42 0.42

FHLMC Cash Vs. FNMA Cash Price Spreads

30 Year Freddie cash is up slightly today vs FNMA Securities this morning. A note that on 5/25 we adjusted the G-Fee downward on the 30 year security. This is why the drop

ocurred.

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FHLMC30 0.80 0.79 0.79 0.86 0.87 0.89 0.93 0.92 0.93 0.86 0.88 0.86 0.84 0.72 0.75 0.71 0.66 0.64 0.66

FHLMC15 0.64 0.65 0.47 0.53 0.64 0.64 0.58 0.58 0.58 0.59 0.60 0.59 0.58 0.61 0.63 0.60 0.59 0.55 0.55

FHLMC Cash Vs. FNMA Security Price Spreads

FNMA Spreads are up slightly this morning.

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Product Spreads BE Vs Mandatory

FN30

GNI30

GNII30

Avg All

Spreads are mixed this morning.

We adjusted the rate to 4.25% for the pricing on conforming and to 4.0% for GNMA.

97.75

98

98.25

98.5

98.75

99

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99.5

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100.25

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101

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Investor Conforming Mandatory Pricing Spreads

Wells

FAMC

DiTech

PNMC

Chase

Homeward

NSM

TMS

Impac

97.597.75

9898.2598.5

98.7599

99.2599.5

99.75100

100.25100.5

100.75101

101.25101.5

101.75102

102.25102.5

102.75

GNII Investor Pricing Spreads

Wells

FAMC

PNMC

Chase

NSM

Impac

TMS

Rate Spread Rate Spread Rate Spread Rate Spread

4.000 0.45 2.750 0.62 3.625 0.42

4.125 0.45 2.875 0.59 3.750 0.31 2.750 0.56

4.250 0.31 3.000 0.55 3.875 0.56 2.875 0.53

4.375 0.31 3.125 0.53 4.000 0.57 3.000 0.51

4.500 0.48 3.250 0.58 4.125 0.46 3.125 0.43

4.625 0.49 3.375 0.56 4.250 0.36 3.250 0.43

4.750 0.37 3.500 0.52 4.375 0.48 3.375 0.41

4.875 0.38 3.625 0.50 4.500 0.45 3.500 0.39

5.000 0.44 3.750 0.54 4.625 0.38 3.625 0.32

5.125 0.52 3.875 0.57 4.750 0.28 3.750 0.41

4.000 0.53 3.875 0.39

4.125 0.52

AVG HI LOW AVG HI LOW AVG HI LOW AVG HI LOW

0.42 0.52 0.31 0.55 0.62 0.50 0.43 0.57 0.28 0.44 0.56 0.32

Date avg Hi Low avg Hi Low avg Hi Low avg Hi Low

8-May 0.53 0.64 0.38 0.54 0.58 0.52 0.38 0.58 0.23 0.31 0.39 0.21

9-May 0.54 0.68 0.38 0.54 0.58 0.52 0.37 0.58 0.23 0.30 0.39 0.21

10-May 0.54 0.66 0.39 0.39 0.56 -0.20 0.37 0.57 0.24 0.29 0.37 0.20

11-May 0.47 0.59 0.33 0.42 0.57 -0.11 0.31 0.52 0.19 0.31 0.40 0.21

14-May 0.50 0.62 0.36 0.54 0.58 0.52 0.34 0.53 0.20 0.30 0.39 0.22

15-May 0.49 0.65 0.30 0.53 0.57 0.52 0.35 0.48 0.22 0.30 0.38 0.21

16-May 0.52 0.66 0.38 0.47 0.50 0.44 0.35 0.54 0.21 0.29 0.32 0.22

17-May 0.49 0.56 0.34 0.48 0.49 0.44 0.29 0.40 0.16 0.30 0.36 0.24

18-May 0.48 0.57 0.32 0.46 0.51 0.42 0.28 0.39 0.21 0.30 0.34 0.25

21-May 0.49 0.59 0.34 0.46 0.49 0.41 0.29 0.43 0.20 0.30 0.33 0.25

22-May 0.56 0.70 0.41 0.52 0.54 0.50 0.34 0.44 0.25 0.36 0.43 0.29

23-May 0.52 0.63 0.39 0.52 0.54 0.49 0.31 0.43 0.22 0.36 0.42 0.30

24-May 0.52 0.62 0.38 0.52 0.54 0.48 0.31 0.45 0.23 0.36 0.42 0.30

25-May 0.42 0.50 0.30 0.54 0.58 0.50 0.48 0.67 0.33 0.42 0.52 0.31

29-May 0.45 0.52 0.34 0.56 0.61 0.51 0.47 0.70 0.31 0.45 0.55 0.33

30-May 0.41 0.51 0.31 0.55 0.62 0.50 0.39 0.62 0.23 0.37 0.44 0.30

31-May 0.41 0.52 0.30 0.55 0.61 0.49 0.39 0.62 0.24 0.36 0.43 0.29

1-Jun 0.41 0.52 0.27 0.55 0.63 0.47 0.42 0.61 0.27 0.43 0.50 0.34

4-Jun 0.42 0.52 0.31 0.55 0.62 0.50 0.43 0.57 0.28 0.44 0.56 0.32

Positive values indicate cash better than securities, conversely, negative values indicate cash worse than securities.

FNMA Cash versus FNMA security pricingFNMA30 FNMA15 FNMA20 FNMA10

FN30 FN15 FN20 FN10

Rate Spread Rate Spread

4.000 0.12

4.125 0.04 2.750 0.56

4.250 0.09 2.875 0.53

4.375 0.18 3.000 0.51

4.500 0.18 3.125 0.43

4.625 0.03 3.250 0.43

4.750 0.02 3.375 0.41

4.875 0.11 3.500 0.39

5.000 0.12 3.625 0.32

5.125 0.10 3.750 0.41

3.875 0.39

4.000 0.37

4.125 0.30

AVG HI LOW AVG HI LOW

0.10 0.18 0.02 0.42 0.56 0.30

Date avg Hi Low avg Hi Low

8-May 0.18 0.26 0.11 0.30 0.39 0.21

9-May 0.16 0.23 0.10 0.30 0.39 0.21

10-May 0.13 0.19 0.05 0.29 0.37 0.20

11-May 0.17 0.28 0.08 0.31 0.40 0.21

14-May 0.16 0.22 0.09 0.30 0.39 0.22

15-May 0.17 0.27 0.12 0.29 0.38 0.21

16-May 0.19 0.26 0.10 0.28 0.32 0.22

17-May 0.22 0.31 0.14 0.29 0.36 0.24

18-May 0.20 0.31 0.13 0.30 0.34 0.25

21-May 0.16 0.28 0.10 0.29 0.33 0.25

22-May 0.12 0.26 0.07 0.35 0.43 0.29

23-May 0.13 0.24 0.05 0.35 0.42 0.30

24-May 0.12 0.24 0.06 0.35 0.42 0.30

25-May 0.13 0.25 0.07 0.39 0.52 0.23

29-May 0.14 0.27 0.05 0.42 0.55 0.25

30-May 0.12 0.23 0.05 0.36 0.44 0.23

31-May 0.10 0.22 0.02 0.35 0.43 0.23

1-Jun 0.11 0.22 0.03 0.42 0.50 0.33

4-Jun 0.10 0.18 0.02 0.42 0.56 0.30

FHLMC30 FHLMC15

FHLMC30

Freddie Cash versus Fannie Cash pricing

FHLMC15


3.750 0.70

3.875 0.74 2.750 0.27

4.000 0.99 2.875 0.39

4.125 0.89 3.000 0.50

4.250 0.69 3.125 0.63

4.375 0.77 3.250 0.63

4.500 0.93 3.375 0.58

4.625 0.73 3.500 0.47

4.750 0.50 3.625 0.54

4.875 0.60 3.750 0.64

5.000 0.66 3.875 0.60

5.125 0.74 4.000 0.44

4.125 0.51


0.74 0.99 0.50 0.52 0.64 0.27


8-May 0.89 1.22 0.73 0.58 0.77 0.31

9-May 0.87 1.19 0.71 0.59 0.75 0.28

10-May 0.88 1.18 0.72 0.56 0.70 0.27

11-May 0.95 1.30 0.76 0.62 0.78 0.34

14-May 0.96 1.31 0.77 0.60 0.73 0.33

15-May 0.96 1.27 0.79 0.59 0.73 0.30

16-May 1.01 1.34 0.83 0.55 0.70 0.24

17-May 1.00 1.28 0.78 0.53 0.65 0.26

18-May 1.01 1.28 0.81 0.57 0.69 0.29

21-May 0.94 1.20 0.74 0.54 0.69 0.24

22-May 0.96 1.23 0.76 0.56 0.68 0.25

23-May 0.94 1.21 0.74 0.55 0.69 0.24

24-May 0.93 1.16 0.73 0.55 0.72 0.24

25-May 0.80 1.06 0.59 0.57 0.75 0.28

29-May 0.83 1.06 0.62 0.61 0.79 0.26

30-May 0.79 1.03 0.56 0.57 0.74 0.27

31-May 0.74 0.97 0.51 0.55 0.72 0.29

1-Jun 0.73 0.98 0.50 0.50 0.62 0.22

4-Jun 0.74 0.99 0.50 0.52 0.64 0.27

Freddie Cash versus FHLMC Security pricingFHLMC15FHLMC30

FHLMC30 FHLMC15


3.750 0.62

3.875 0.67 2.750 0.29

4.000 0.91 2.875 0.41

4.125 0.70 3.000 0.52

4.250 0.62 3.125 0.57

4.375 0.71 3.250 0.69

4.500 0.86 3.375 0.64

4.625 0.57 3.500 0.53

4.750 0.44 3.625 0.52

4.875 0.54 3.750 0.67

5.000 0.60 3.875 0.68

5.125 0.55 4.000 0.52

5.250 0.31 4.125 0.52


0.66 0.91 0.44 0.55 0.69 0.29


8-May 0.80 1.10 0.63 0.64 0.82 0.34

9-May 0.79 1.07 0.61 0.65 0.83 0.35

10-May 0.79 1.08 0.62 0.47 0.79 -0.47

11-May 0.86 1.19 0.67 0.53 0.83 -0.37

14-May 0.87 1.22 0.68 0.64 0.84 0.34

15-May 0.89 1.22 0.69 0.64 0.82 0.33

16-May 0.93 1.29 0.73 0.58 0.78 0.26

17-May 0.92 1.24 0.68 0.58 0.74 0.27

18-May 0.93 1.22 0.71 0.58 0.75 0.26

21-May 0.86 1.13 0.64 0.59 0.76 0.27

22-May 0.88 1.16 0.67 0.60 0.77 0.29

23-May 0.86 1.14 0.64 0.59 0.76 0.28

24-May 0.84 1.12 0.63 0.58 0.75 0.27

25-May 0.72 1.00 0.53 0.61 0.81 0.32

29-May 0.75 1.00 0.56 0.63 0.85 0.34

30-May 0.71 0.96 0.50 0.60 0.80 0.33

31-May 0.66 0.90 0.45 0.59 0.79 0.33

1-Jun 0.64 0.91 0.44 0.55 0.69 0.27

4-Jun 0.66 0.91 0.44 0.55 0.69 0.29

Freddie Cash versus FNMA Security pricingFHLMC30 FHLMC15

FHLMC30 FHLMC15

Positive value indicates GNMAII are pricing higher

than GNMA Securities

Negative value indicates GNMAII are pricing worse

than GNMA Securities

Be cautious of the liquidity issues that can arise when

trading GNMAII Securities. Bid/Ask spreads can

widen during certain times in the month that will

eat into margins

Date 3 3.5 4 4.5

7-May -0.09 -0.03 0.08 0.47

8-May -0.06 -0.14 -0.11 0.23

9-May -0.33 -0.17 -0.11 0.23

10-May -0.16 -0.02 0.02 0.11

11-May -0.09 0.13 0.13 0.44

14-May -0.30 -0.08 -0.08 0.14

15-May -0.59 -0.41 -0.30 -0.02

16-May -0.19 -0.11 -0.11 0.08

17-May -0.09 0.02 -0.02 0.19

18-May -0.05 -0.02 0.00 0.03

21-May -0.08 -0.03 0.03 0.03

22-May -0.05 0.05 0.03 0.08

23-May -0.11 -0.03 0.36 0.19

24-May -0.06 0.00 0.11 0.05

25-May -0.09 -0.02 0.19 0.08

29-May -0.06 0.02 0.03 -0.25

30-May -0.41 -0.22 -0.19 -0.17

31-May -0.06 -0.02 -0.02 -0.02

1-Jun -0.34 0.05 -0.02 -0.13

GNMA II Spread

GNMA vs GNMAII Spreads

GNIIs are trading mixed to GNIs and remain the security of choice for hedging purposes.

-0.65

-0.55

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8-May 9-May 10-May 11-May 14-May 15-May 16-May 17-May 18-May 21-May 22-May 23-May 24-May 25-May 29-May 30-May 31-May 1-Jun

3 Coupon -0.06 -0.33 -0.16 -0.09 -0.30 -0.59 -0.19 -0.09 -0.05 -0.08 -0.05 -0.11 -0.06 -0.09 -0.06 -0.41 -0.06 -0.34

3.5 Coupon -0.14 -0.17 -0.02 0.13 -0.08 -0.41 -0.11 0.02 -0.02 -0.03 0.05 -0.03 0.00 -0.02 0.02 -0.22 -0.02 0.05

4 Coupon -0.11 -0.11 0.02 0.13 -0.08 -0.30 -0.11 -0.02 0.00 0.03 0.03 0.36 0.11 0.19 0.03 -0.19 -0.02 -0.02

4.5 Coupon 0.23 0.23 0.11 0.44 0.14 -0.02 0.08 0.19 0.03 0.03 0.08 0.19 0.05 0.08 -0.25 -0.17 -0.02 -0.13

GNMA vs GNMAII GNMA vs GNMAII SpreadsVs GNMAII Spreads

The FNMA High Bal Spread compares the cash price for FNMA high balance loans and compares it to the standard FNMA cash prices. The price is actually different for each note rate so we

have averaged the price based on how the note rate fits into a security. The purpose of the spread graph is for clients to make determinations whether to sell or wait for spreads to narrow

before selling. It can also be used as an indication for setting pricing for high balance loans based on the spreads.

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-1.05

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3 Coupon -0.81 -0.86 -0.85 -0.84 -0.81 -0.81 -0.68 -0.68 -0.68 -0.68 -0.68 -0.68 -0.68 -0.68 -0.68 -0.68 -0.68 -0.68 -0.68

3.5 Coupon -0.88 -0.92 -0.91 -0.91 -0.89 -0.90 -0.83 -0.82 -0.82 -0.82 -0.82 -0.82 -0.82 -0.82 -0.84 -0.85 -0.85 -0.85 -0.84

4 Coupon -1.12 -1.13 -1.12 -1.11 -1.12 -1.10 -1.10 -1.08 -1.08 -1.08 -1.10 -1.08 -1.08 -1.07 -1.08 -1.08 -1.09 -1.09 -1.09

GNMA vs GNMAII FNMA High Balance SpreadsGNMAII Spreads

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1

1.2

8-May 10-May 12-May 14-May 16-May 18-May 20-May 22-May 24-May 26-May 28-May 30-May 1-Jun


3 1.0469 1.0469 1.0000 1.0313 1.0469 1.0938 1.0781 1.0781 1.0469 1.0625 1.1094 1.0938 1.0469 1.0156 0.8906 0.9219 0.9219 1.0156

3.5 0.9063 0.9063 0.8750 0.8906 0.9063 0.9531 0.9688 0.9531 0.9219 0.9219 0.9844 0.9531 0.9063 0.8594 0.7500 0.8125 0.8125 0.8906

4 0.5313 0.5313 0.5000 0.5313 0.5313 0.6250 0.6094 0.5781 0.5625 0.5469 0.6094 0.5938 0.5469 0.5156 0.4063 0.4531 0.4375 0.5469

4.5 -0.3125 -0.3125 -0.3125 -0.3438 -0.3125 -0.2031 -0.2344 -0.2500 -0.2656 -0.2813 -0.2188 -0.2344 -0.2813 -0.3281 -0.4219 -0.3750 -0.3750 -0.2656

GNMAII30 vs FNMA Prices Spreads

-1.00

-0.50

0.00

0.50

1.00

1.50

2.00

8-May 10-May 12-May 14-May 16-May 18-May 20-May 22-May 24-May 26-May 28-May 30-May 1-Jun


3 1.1094 1.3750 1.1563 1.1250 1.3438 1.6875 1.2656 1.1719 1.0938 1.1406 1.1563 1.2031 1.1094 1.1094 0.9531 1.3281 0.9844 1.3594

3.5 1.0469 1.0781 0.8906 0.7656 0.9844 1.3594 1.0781 0.9375 0.9375 0.9531 0.9375 0.9844 0.9063 0.8750 0.7344 1.0313 0.8281 0.8438

4 0.6406 0.6406 0.4844 0.4063 0.6094 0.9219 0.7188 0.5938 0.5625 0.5156 0.5781 0.2344 0.4375 0.3281 0.3750 0.6406 0.4531 0.5625

4.5 -0.5469 -0.5469 -0.4219 -0.7813 -0.4531 -0.1875 -0.3125 -0.4375 -0.2969 -0.3125 -0.2969 -0.4219 -0.3281 -0.4063 -0.1719 -0.2031 -0.3594 -0.1406

GNMA30 vs FNMA Price Spreads

-1.00

-0.50

0.00

0.50

1.00

1.50

2.00

2.50

3.00

7-May 8-May 9-May 10-May 11-May 14-May 15-May 16-May 17-May 18-May 21-May 22-May 23-May 24-May 25-May 29-May 30-May 31-May 1-Jun 4-Jun

3 -0.4449 -0.2993 -0.2032 -0.3427 -0.1352 -0.1251 0.2624 0.3258 0.2317 0.0565 0.1395 0.2196 0.2010 -0.2111 -0.2852 -0.3283 -0.6017 -0.5505 -0.3341 -0.2679

3.5 0.6842 0.7667 0.7677 0.7271 0.8396 0.8548 0.9056 0.8386 0.6757 0.7812 0.7397 0.7999 0.8485 0.7783 0.7759 0.7863 0.7892 0.7828 0.8102 0.7917

4 1.7728 1.8198 1.8769 1.7823 1.9263 1.9523 1.9712 1.8375 1.7695 1.8880 1.8291 1.8838 1.8937 1.8227 1.8409 1.8369 1.8289 1.8267 1.8657 1.8671

4.5 2.2093 2.2451 2.3014 2.1948 2.3597 2.3805 2.4189 2.2975 2.2566 2.3736 2.2575 2.2980 2.3211 2.2714 2.2965 2.3501 2.3127 2.2658 2.2597 2.2501

FNMA30 LB SPREADS BY COUPON

-1.00

-0.50

0.00

0.50

1.00

1.50

2.00

2.50

3.00


3 0.0947 0.2324 0.2579 0.0798 0.3870 0.2739 0.4660 0.5322 0.3506 -0.0091 0.2201 0.3090 0.1555 -0.2201 -0.3353 -0.6038 -0.6474 -0.3553 0.0015 0.0429

3.5 -0.3562 -0.2859 -0.2816 -0.3226 -0.2142 -0.2013 -0.1599 -0.1768 -0.3708 -0.2634 -0.3032 -0.2352 -0.1814 -0.2443 -0.0828 -0.1809 -0.1886 -0.1960 -0.1178 -0.1382

4 0.0313 0.0742 0.1107 0.0297 0.1931 0.2070 0.2245 0.1472 0.0334 0.1536 0.1061 0.1571 0.1947 0.1519 0.2274 0.1779 0.1440 0.1501 0.1847 0.1676

4.5 2.3773 2.4440 2.5833 2.4164 2.6031 2.5492 2.7708 2.6088 2.5614 2.6000 2.5033 2.5761 2.4843 2.2479 2.2671 2.1524 2.0464 2.1587 2.3232 2.3367


-0.60

-0.40

-0.20

0.00

0.20

0.40

0.60

0.80

1.00

1.20

1.40

1.60


2 -0.0704 -0.0900 -0.0313 0.2460 0.1155 0.0105 0.1018 0.2086 0.1852 0.4028 0.2781 0.4560 0.0264 0.2919 0.1351 0.2752 -0.0878 0.0500 -0.1408 -0.0879

2.5 -0.3392 -0.3109 -0.2983 -0.3014 -0.3055 -0.2538 -0.2498 -0.2843 -0.3251 -0.2975 -0.3156 -0.2465 -0.2010 -0.2178 -0.2649 -0.2379 -0.3020 -0.2743 -0.2304 -0.2855

3 0.2469 0.2852 0.3220 0.2859 0.3294 0.3495 0.3867 0.3449 0.2772 0.3473 0.3057 0.3574 0.4088 0.3590 0.3272 0.3339 0.3120 0.3208 0.3767 0.3370

3.5 0.9387 0.9806 0.9907 0.9776 1.0499 1.0803 1.3417 1.3259 1.3108 1.3355 1.3078 1.3130 1.3095 1.1953 1.1722 1.1849 1.1698 1.2479 1.2403 1.2211


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AVG Inv 4.25% Note Rate Price Vs FN 3.5 Basis Spread ... · 0.2 0.25 0.3 0.35 0.4 0.45 0.5 Security Price AVG Inv 4.25% Note Rate Price Vs FN 3.5 Basis Spread ... FHLMC30 0.10 0.170.14