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The non-agency MBS market was on pace for another strong quarter, but then all activity ground to a halt in March when investors fled due to financial turmoil sparked by the COVID-19 pandemic.

Issuance of non-agency MBS backed by new originations declined 8.2% on a sequential basis in 1Q20, according to a new ranking and analysis by Inside Nonconforming Markets.

Nearly all of the deals were completed in January and February.

“Primary markets in non-agency remain closed,” BofA Global Research said in a research report. “Drivers of this include recent margin calls issued to a number of real estate investment trusts that traditionally purchased non-agency MBS as well as concerns with regard to the overall levels of market liquidity, which have slowly been returning.”

A total of $13.18 billion of non-agency MBS was issued in the first quarter. For full details and exclusive tables, see the new edition of Inside Nonconforming Markets.