| Wednesday, September 17, 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 |
| 09/10/25 | 4.15 | 4.03 | 3.86 | 3.66 | 3.54 | 3.49 | 3.59 | 3.78 | 4.04 | 4.64 | 4.69 |
| 09/11/25 | 4.14 | 4.02 | 3.84 | 3.63 | 3.54 | 3.52 | 3.59 | 3.77 | 4.02 | 4.61 | 4.65 |
| 09/12/25 | 4.14 | 4.03 | 3.86 | 3.68 | 3.56 | 3.53 | 3.64 | 3.82 | 4.07 | 4.65 | 4.68 |
| 09/15/25 | 4.14 | 4.00 | 3.85 | 3.64 | 3.54 | 3.50 | 3.61 | 3.79 | 4.62 | 4.62 | 4.66 |
| 09/16/25 | 4.11 | 3.96 | 3.81 | 3.61 | 3.50 | 3.47 | 3.59 | 3.77 | 4.61 | 4.61 | 4.65 |
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 9/16/2025.
What we look for in Agency Adjustable-Rate Mortgages “ARMs”
There are many factors that investors should take into consideration when purchasing agency ARMs. Pool size, months to reset, premiums, third party origination, the percentage of state originations, loan balances, and the effects of prepayment speeds to name a few. We believe it is important to understand how these different factors can affect the performance of ARMs and how different rate environments influence mortgage borrowers’ actions.
Pool Size - Generally $20mm minimum original pool size (ideally $35-50 mil+)
Months to Reset (MTR) – For asset/liability investors we typically recommend purchasing 30-80 MTR Pools. Typically avoid buying < 30 MTR pools at premiums as prepayment tend to remain elevated
Premiums – Try buying under 103-dollar price (anything over 104, you are typically taking on too much prepayment risk impacting your yields).
TPO – Third Party Origination. These are mortgage brokers who tend to refinance loans quicker than bank originators. The lower this metric the better, typically 40% or less is what we recommend
State of Origination – For example: Mortgages in New York have a lower average prepayment speed than other states, as a refinance in New York is much more expensive than national averages due to taxes. The higher percentage of New York, the better for premium bonds as they tend to pay slower
Loan Balances – The lower the loan balance, the less incentive to refinance (ideally $450k or less).
The borrower would realize less of a monthly mortgage payment savings by refinancing the lower the loan balance. Typically ARM homeowners are the most financially savvy or interest rate sensitive borrowers.
Pool Size - Generally $20mm minimum original pool size (ideally $35-50 mil+)
Months to Reset (MTR) – For asset/liability investors we typically recommend purchasing 30-80 MTR Pools. Typically avoid buying < 30 MTR pools at premiums as prepayment tend to remain elevated
Premiums – Try buying under 103-dollar price (anything over 104, you are typically taking on too much prepayment risk impacting your yields).
TPO – Third Party Origination. These are mortgage brokers who tend to refinance loans quicker than bank originators. The lower this metric the better, typically 40% or less is what we recommend
State of Origination – For example: Mortgages in New York have a lower average prepayment speed than other states, as a refinance in New York is much more expensive than national averages due to taxes. The higher percentage of New York, the better for premium bonds as they tend to pay slower
Loan Balances – The lower the loan balance, the less incentive to refinance (ideally $450k or less).
The borrower would realize less of a monthly mortgage payment savings by refinancing the lower the loan balance. Typically ARM homeowners are the most financially savvy or interest rate sensitive borrowers.
Prepayments Speeds (CPR/CPB)
Constant Prepayment Rate “CPR” – additional principal prepayment as an annualized rate of unpaid principal balance above normal amortization.
Example: 6 CPR = 6% of principal balance per year 0 CPR = No additional prepayments
Constant Prepayment Balloon “CPB” – utilizes CPR prepayment model to reset, then balloon payment of remaining principal at reset.
Example: 5/1 ARM @ 15 CPB – pays 15 CPR for 5 years and the investor would then receive the remaining principal balance at par at reset.
Example: 6 CPR = 6% of principal balance per year 0 CPR = No additional prepayments
Constant Prepayment Balloon “CPB” – utilizes CPR prepayment model to reset, then balloon payment of remaining principal at reset.
Example: 5/1 ARM @ 15 CPB – pays 15 CPR for 5 years and the investor would then receive the remaining principal balance at par at reset.
When buying at a Premium → Slower CPR = Higher Yield
Faster CPR = Lower Yield
When buying at a Discount → Faster CPR = Higher Yield Slower CPR = Lower Yield
When buying at Par → CPR speeds largely do not impact projected yield
"What You See is What You Get"
Below is an example of a FNMA ARM Pool description and yield table and where the different pool characteristics can be found. (Source: Bloomberg, LP / Indications only)
Faster CPR = Lower Yield
When buying at a Discount → Faster CPR = Higher Yield Slower CPR = Lower Yield
When buying at Par → CPR speeds largely do not impact projected yield
"What You See is What You Get"
Below is an example of a FNMA ARM Pool description and yield table and where the different pool characteristics can be found. (Source: Bloomberg, LP / Indications only)
Bloomberg Screens – “DES” (Description)
Bloomberg Screens – “YT” (Yield Table)
Acronyms/Abbreviations
WAC (Weighted Average Coupon)
WAM (Weighted Average Maturity)
WALA (Weighted Average Loan Age)
AOLS (Avg Original Loan Size)
WAOLS (Weighted Avg Original Loan Size)
MAXLS (Max Loan Size)
TPO (Third Party Origination)
MTR (Months to Reset)
Please feel free to reach out to your CCB representative to discuss ARMs and if they are a good fit for your bank.
WAC (Weighted Average Coupon)
WAM (Weighted Average Maturity)
WALA (Weighted Average Loan Age)
AOLS (Avg Original Loan Size)
WAOLS (Weighted Avg Original Loan Size)
MAXLS (Max Loan Size)
TPO (Third Party Origination)
MTR (Months to Reset)
Please feel free to reach out to your CCB representative to discuss ARMs and if they are a good fit for your bank.
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