| Wednesday, July 23, 2025 |
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MANAGING DIRECTOR: |
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US Treasury Market |
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| Date | 1 mo | 3 mo | 6 mo | 1 yr | 2 yr | 3 yr | 5 yr | 7 yr | 10 yr | 20 yr | 30 yr |
| 07/16/25 | 4.30 | 4.34 | 4.27 | 4.08 | 3.89 | 3.87 | 3.99 | 4.21 | 4.46 | 5.01 | 5.01 |
| 07/17/25 | 4.30 | 4.34 | 4.28 | 4.10 | 3.91 | 3.88 | 3.99 | 4.21 | 4.45 | 5.01 | 5.01 |
| 07/18/25 | 4.29 | 4.34 | 4.26 | 4.07 | 3.87 | 3.84 | 3.95 | 4.17 | 4.42 | 4.98 | 4.99 |
| 07/21/25 | 4.30 | 4.33 | 4.27 | 4.07 | 3.86 | 3.82 | 3.92 | 4.13 | 4.38 | 4.94 | 4.95 |
| 07/22/25 | 4.29 | 4.32 | 4.23 | 4.06 | 3.83 | 3.78 | 3.87 | 4.10 | 4.35 | 4.90 | 4.92 |
The data in the table above is static as of the time it was pulled, so rates may have changed. Treat all data in this table and PMR as indications only and availability is always subject to change. This information was pulled manually from sources we believe to be reliable. New source, as of 12/12/2022, Bloomberg, L.L.P. As of: close of business 7/22/2025.
Why ARMs? Why Now?
For example, this is a Ginnie Mae 4% coupon ARM priced at a discount to par. After 63 months, the coupon will be equal to the 1-year Treasury rate plus 150 basis points. The bond has a 1/1/5 cap structure (initial max reset/periodic max reset/lifetime reset). Following the initial reset, the pool will reset annually and has a 9% cap.
We believe this is a great balance sheet asset fit because of the structure. Consider a scenario where rates fall over the next few years. Prepayment speeds would pick up due to mortgage refinancing activity, but this bond would benefit from the accretion to par taking place. The coupon could reset lower than it is right now, but the 1-year Treasury would need to fall over 150 basis points (below 2.5%) for that to happen. Now consider a scenario where rates drift higher from here. The coupon has plenty of room to rise before capping out, and there’s much less extension risk compared to current coupon fixed rate pools (less than 1 year of average life extension in a +300 basis point shock according to the BAM model).
The market doesn’t have to move a specific way for this bond to have solid results. Over 5% yield and triple digit spread to Treasury in both +/- 300 basis point shocks. Combine that with over 100 loans in the pool, an average life right around 4 years, and this is a 0% risk weight asset. Whether you’ve been an ARM buyer in the past or not, we think this is an area of the market worth a look.
This information is intended for institutional investors only. The material provided in this document/presentation is for informational purposes only and is intended solely for private use. Past performance is not indicative of future results. This material is not intended as an offer or solicitation for the purchase or sale of any financial instruments.
•Not FDIC Insured •No Bank Guarantee •May Lose Value