- Hatteras Financial's (HTS -0.6%) ARMs-focused portfolio was hit particularly hard during this summer's interest rate panic as spreads blew out far wider than those for fixed-rate mortgages.
- Presenting today at the JMP Conference (presentation slides), management notes the 5-1 ARM Z-spread (a proprietary measure) jumped to 53 bps on June 30 from just 19 bps a quarter earlier. As of just about the end of Q3 (Sept. 26), the spread had narrowed back to 41 bps.