Company: MITN
Filing Date: 2025-08-05
Form Type: 10-Q
Source: 0001514281-25-000086
Chunk: 154

Company: AG Mortgage Investment Trust, Inc.
Filing Date: 2025-08-05
Form: 10-Q
Item: Part I, Item 1
Chunk 154
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 Overall, the yield spread between the 2-year and 10-year U.S. Treasuries ended the quarter 51 basis points positive, steepening 19 basis points from the previous quarter end. Markets experienced a notable bout of volatility in April as tariff announcements by the U.S. presidential administration caused sharp declines in risk assets. The policy shift sparked a temporary risk-off environment, driving credit spreads wider and mark-to-market losses across corporate and structured credit portfolios. Although credit spreads tightened and asset prices partially recovered throughout the remainder of the quarter, geopolitical and trade policy risks continued to weigh on sentiment and forward visibility. 

Throughout the second quarter of 2025, Federal Reserve Chair Jerome Powell emphasized a patient, data-dependent approach to monetary policy as inflation continued to moderate and labor market conditions gradually softened. The Federal Reserve acknowledged meaningful progress on inflation, with headline Consumer Price Index (“CPI”) declining to 2.7% and core CPI holding near 2.9% by June, however, components of inflation remained somewhat sticky, warranting caution. At the same time, the Federal Reserve observed certain signs of labor market cooling, with the unemployment rate at 4.2% and continuing weekly jobless claims remaining elevated. While the Federal Open Market Committee held the federal funds rate steady at 4.25% to 

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4.50% at its July 2025 meeting, they indicated openness to rate cuts later in the year, assuming continued disinflation and no major re-acceleration in growth, with the June Summary of Economic Projections indicating a median expectation for two rate cuts totaling 50 basis points in 2025.

Changes in RMBS spreads were mixed for the second quarter of 2025 depending on product and priority within the capital structure. Non-QM spreads were slightly wider for senior and mezzanine tranches while subordinate Non-QM tranches were wider by 35 basis points. Senior prime jumbo spreads were wider by 5 basis points. However, investment grade were more varied among the subordinate tranches as A and AA tranches were slightly tighter, BBB prime jumbo credit spreads widened moderately, and lower in the capital structure, non-rated tranches were roughly 35 basis points wider. Trends in credit spreads on credit risk transfer ("CRT") assets can serve as a proxy for market participants evaluating credit-related assets given the observability of transactions. CRT tranches were up to 20 basis points tighter with most of that coming higher in the capital structure. The CRT sector has benefited from some scarcity value as