A $576.1 million MBS backed by GSE-eligible jumbo mortgages from CalCon Mutual Mortgage helped drive a slight increase in prime non-agency mortgage-backed security issuance in the fourth quarter. (Includes three data tables.)
What goes down must go up again? That seems to be the story of the fourth quarter’s revival in agency MBS values. Declining mortgage rates gave agency securities holders a shot in the arm.
MBS prices staged a nice turnaround in the fourth quarter but trading volume weakened in December. A stronger-than-anticipated jobs report in early January sent rates northward but not terribly.
Participants in the MBS and ABS market have widespread concerns about a proposal to adjust capital requirements for large banks. They argue that the proposed capital requirements are unnecessarily high.
FINRA proposed reducing trade reporting requirements to one minute after execution from 15 minutes. Many trades of agency debt securities and TBA MBS already meet the proposed reporting requirements, while ABS reporting lags.
Researchers at the Office of Financial Research have developed new ways to gauge the risks banks face from potential losses on their securities holdings. The researchers caution that a number of banks showed signs of stress similar to the banks that failed in early 2023.