GNMA CMO July Issuance 7/26/2021

GNMA CMO July Issuance 7/26/2021Rich Park

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© 2021 Performance Trust Capital Partners, LLC (which, along with its affiliates, is referred to as “Performance Trust”). All Rights Reserved. This material is for your internal use only and may not be disclosed to third parties. The content is the proprietary and confidential material of Performance Trust and so designated pursuant to a confidentiality agreement between the intended recipient and Performance Trust. The research and other information provided herein has been prepared for informational purposes only and is not an offer or solicitation to purchase or sell securities. Performance Trust may make a market, or have a position in the securities discussed herein and may purchase or sell the same on a principal basis or as an agent. Investing involves risks, including the potential for principal loss. There is no guarantee that the strategies and services will be successful or outperform other strategies and services. Certain assumptions may have been made in connection with the analysis presented herein, and changes to the assumptions may have a material impact on the analysis or results. Past performance is no guarantee of future results. The investments discussed herein may be unsuitable for investors depending on their specific investment objectives and financial position. Investors should independently evaluate each investment discussed in the context of their own objectives, risk profile and circumstances. The information contained herein has been obtained from sources considered to be reliable, and is subject to change without notice. Performance Trust does not guarantee its accuracy, adequacy or completeness and is not responsible for any errors or omissions or for the results obtained from the use of such information. FOR INSTITUTIONAL USE ONLY.

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Performance Trust Video Guide

• 7/09/2021 - June CMO Issuance Conventional https://vimeo.com/573458505/3792b91629

• 7/19/2021 – Agency MBS Weekly https://vimeo.com/576544026/a7b24b89b9

• 7/20/2021 – Structuring Series PAC/SUPhttps://vimeo.com/577960751/48c6986300

• 7/26/2021 – Agency MBS Weeklyhttps://vimeo.com/579246738/53b942353f

• 7/26/2021 – June CMO Issuance Ginniehttps://vimeo.com/579797198/c33f777855

* Contact [email protected] or your Sales Team for Slides* Data Sources: Yieldbook, Bloomberg, RiskSpan

https://vimeo.com/573458505/3792b91629

https://vimeo.com/576544026/a7b24b89b9

https://vimeo.com/577960751/48c6986300

https://vimeo.com/579246738/53b942353f

https://vimeo.com/579797198/c33f777855

mailto:[email protected]


Total CMO Issuance

• June Total CMO Issuance at 30.5 billion• 2nd highest volumes of the year (Jan – 37 bln++)• GNMA June Issuance at 18.2 billion


June Issuance Breakdown


Account X

• There is one account responsible for 25%-40% of all issuance in any given month

• Same Structure in GN: Stripdown + 6.5 cap Floater (20DM)Ex) GNR 21-98 KA, 1.25% stripdown off Generic G2 3.0’s

GNR 21-98 KF


Account X Structure

G2 3.0

6.5% Premium

1.25% Stripdown

6.5+20 Floater

6.3x IIO


Account X

• 6.5+20 Floater is cheap to collateral. On a stand-alone basis, 4.0 cap floaters are being used for 20-25 DM.

• Combo Trade• Generic 3.0/3.5, Higher LB, but can change Month to Month


Floater Spreads

Cap DM

2.5 70-75

3.0 45-55

3.5 35-45

4.0 20-25


June GNMA Issuance by Coupon


June Issuance – GNMA 2.0

• Out of 18 billion, just 165mm or 1% of issuance in 2.0’s

• 1 stripdown Deal off 15yr 2.0-GNR 21-105 AB– 1.0x2.0 Stripdown off 15yr 2.0’s

• 3 MJM 2.0 Deals – All Re-Remics



• 30% of all GNMA deals were off 2.5’s: ~5.5 billion in size

• ~1.5 billion, 25% of 2.5 issuance were 3-4 yr Seq- GNR 21-96 EC 1.5x2.5 Front Seq 3-4yr in base, similar to the

1.5x2.5 Front Seqs we saw in conventional space off NY 2.5;Many Seqs used Floater/IIO to strip coupon instead of IO

• ~1.3 billion in floaters issued 3.0+40



• G2 2.5 (LB/Rural) – 1.5x2.5 Front Seq; 3.9-4yr in base; similar to conventional 1.5x2.5 seq off ny2.5 90//

• Stripping Coupon with floater/iio







• ~1.5 billion in PAC/SUP, mostly MJM 2.5ex) GNR 21-105 EN/ZE



• [150-300] PAC off of MJM 2.5; 1.25-1.75 coupons 70//• 3-Tranche Structure; Full coupon 2.5x2.5 Support Z, PAC, PAC IO



• Can use Arb Spreadsheet from our Structuring Video • Resize PAC/Z and normalize IO coupon







• ~1.5 billion in PAC/SUP, mostly MJM 2.5ex) GNR 21-105 EN/ZE

• ~2 billion in stripdowns, variety of collateralex) GNR 21-107 QA/QI 2.0x2.5 (Rural)



• ~50% of all GNMA deals were off 3.0’s: ~9.5 billion in size

• Floaters – 3.0cap L+40-55

• 5 billion PAC/SUP created:-Most of collateral backed by generic G2 3.0 ~11ish wala: (Multi)2-4yr, 1.25, 1.50 cpns. 3x3 Support Z usedEx: GNR 21-103 KD [380-440] *-IO’s trade frequently off Multi

*Structurally, these PACs have more supports than the bands call for*



• 2yr in base, 5.5yr +300 1.0x3.0 PAC, Pool: G2 MA6766

• *[380-440] bands call for only 5.6% supports but deal uses 14%..let’s look at the support





• ~50% of all GNMA deals were off 3.0’s: ~9.5 billion in size

• Floaters – 3.0cap L+40-55

• 5 billion PAC/SUP created:-Most of collateral backed by generic G2 3.0 ~11ish wala: (Multi)2-4yr, 1.25, 1.50 cpns. 3x3 Support Z usedEx: GNR 21-103 KD [380-440] *-IO’s trade frequently off Multi

*Structurally, these PACs have more supports than the bands call for*

• ~2.5 billion in stripdowns (RG , gen 3.0)


June Issuance – GNMA 3.5+

• ~3 billion in issuance for 3.5’s and up

• 6.5 cap floater + Stripdown Combo

• Continued Use of RG Collateral

© 2021 Performance Trust Capital Partners, LLC (which, along with its affiliates, is referred to as “Performance Trust”). All Rights Reserved. This material is for your internal use only and may not be disclosed to third parties. The content is the proprietary and confidential material of Performance Trust and so designated pursuant to a confidentiality agreement between the intended recipient and Performance Trust. The research and other information provided herein has been prepared for informational purposes only and is not an offer or solicitation to purchase or sell securities. Performance Trust may make a market, or have a position in the securities discussed herein and may purchase or sell the same on a principal basis or as an agent. Investing involves risks, including the potential for principal loss. There is no guarantee that the strategies and services will be successful or outperform other strategies and services. Certain assumptions may have been made in connection with the analysis presented herein, and changes to the assumptions may have a material impact on the analysis or results. Past performance is no guarantee of future results. The investments discussed herein may be unsuitable for investors depending on their specific investment objectives and financial position. Investors should independently evaluate each investment discussed in the context of their own objectives, risk profile and circumstances. The information contained herein has been obtained from sources considered to be reliable, and is subject to change without notice. Performance Trust does not guarantee its accuracy, adequacy or completeness and is not responsible for any errors or omissions or for the results obtained from the use of such information. FOR INSTITUTIONAL USE ONLY.

500 West Madison, Suite 450Chicago, IL 60661www.performancetrust.com

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GNMA CMO July Issuance 7/26/2021