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Friday, May 30, 2025
 

MANAGING DIRECTOR:
Scott Carrithers
 
PORTFOLIO SALES AND SERVICE:
Chris Thompson • Sean Doherty • Mark Tranckino • Brian Schaff
Natalie Regan • Aaron Stoffer • David Farris • Jeff Macy 
Josh Kiefer • Todd Czinege • Trey Valentine • Cody Kreutziger

US Treasury Market
Date 1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr
05/22/25 4.27 4.34 4.30 4.13 4.00 3.97 4.09 4.30 4.53 5.05 5.04
05/23/25 4.29 4.34 4.31 4.14 3.99 3.96 4.08 4.28 4.51 5.04 5.04
05/27/25 4.28 4.31 4.31 4.14 3.98 3.93 4.03 4.23 4.45 4.96 4.95
05/28/25 4.28 4.33 4.32 4.16 3.99 3.96 4.06 4.26 4.48 5.00 4.98
05/29/25 4.28 4.34 4.32 4.13 3.94 3.91 4.00 4.20 4.42 4.94 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 5/29/2025.
                                                                                                                                                                                      


Structured Adjustable-Rate Mortgage "SARM" Pools
 
We believe a potential investment option for banks to consider is a Fannie Mae SARM pool. These pools are floating rate in nature and provide a capless coupon that adjust on a monthly basis.  At the bottom of an interest rate cycle, -2 standard deviation or greater, we favor increasing our allocation to floating rate securities as nominal rates remain low.  Conversely at the top of an interest rate cycle, +2 standard deviations or greater, we would decrease our allocation to as the coupon will likely fall with prevailing market rates.  Below is a high-level description of the structure of Fannie Mae’s SARM program.
 
        Source: Country Club Bank
 
Below is an example of a SARM pool.  Its key to understand that SARMs in aggregate tend to have a historical 15-30 lifetime CPRs in aggregate.  You will see us run vectors to various dates to illustrate the impact to discount margins and yield.  0 CPP assumes the bond pays off at maturity.  While the various other vectors or CPR/CPP below show an early payoff, premium bonds with an earlier payoff lowers your yield, while a discount SARM would typically increase your yield. 
 
         Yield

 
       Discount Margin
       Source: Bloomberg

100 CPP -> Prepays 3 month prior to maturity
0 CPP -> Prepays at maturity
20 CPR -> assumes static 20 CPR over life
V4 -> prepays in 12 months
V5 -> prepays in 24 months
V6 -> prepays in 36 months
 


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