Company: MITN
Filing Date: 2025-05-07
Form Type: 10-Q
Source: 0001514281-25-000062
Chunk: 199

Company: AG Mortgage Investment Trust, Inc.
Filing Date: 2025-05-07
Form: 10-Q
Item: Part I, Item 2
Chunk 199
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2025. During the first quarter, the 10-year U.S. Treasury yield dropped by 37 basis points to 4.21%, and the 30-year mortgage rate decreased by 20 basis points to 6.65%. The yield spread between the 2-year and 10-year U.S. Treasuries ended the quarter at a positive 32 basis points, consistent with the previous quarter end. Late in the first quarter and early April 2025, tariff announcements by the U.S. presidential administration caused sharp declines in risk assets and U.S. Treasury prices, pushing the 10-year U.S. Treasury yield up by nearly 50 basis points. A subsequent announcement to delay the tariffs for 90 days provided temporary relief, but economic uncertainty remains extremely elevated, with market participants navigating volatility and assessing the potential ongoing impact of recent events.

RMBS spreads were generally wider during the first quarter alongside broader risk markets and an influx of new issuance in March 2025. Senior Non-QM tranches widened by 25 basis points, while mezzanine and subordinate Non-QM tranches widened by 10 to 25 basis points. Senior prime jumbo spreads were 20 basis points wider while subordinate tranches tightened by 15 basis points as market participants sought out higher all-in yields available lower in the structure. 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 5 to 35 basis points wider with tranches higher in the structure widening the most. Compared to year-ago levels, residential credit spreads are mostly tighter, except for AAA Non-QM which is roughly 15 basis points wider. Credit curves remain relatively flat as the demand for subordinate tranches of credit continue to be robust, particularly amid higher benchmark rates. 

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Primary RMBS market activity was notably higher during the first quarter, at $39 billion, an increase of 14% compared to the fourth quarter of 2024 and 32% from year-ago levels. As has often been the case, the Non-QM sector saw the sharpest growth, followed by the Second Lien and Home Equity Lines of Credit sector. The latter has received a lot of press for its growth potential with estimates of $17 trillion tappable home equity, including $2 trillion belonging to conventional mortgage borrowers. Issuance of Prime Jumbo RMBS also increased while CRT issuance was little changed year-over-year. At nearly $