Attendance at the ABS East conference hit a record this week even as industry participants are anticipating a recession. Parts of the ABS market are offering investors better returns than corporate debt.

Bank demand for agency MBS is weak, leading to wider spreads and losses on MBS holdings for some. Banks are also reducing their lending activity, providing an opening for nonbanks.

Dimensional Fund researchers argue that MBS pricing is the sum of expected returns and the option-adjusted spread.

The Climate Impact Suite will allow whole-loan investors to assess expected losses due to climate risk.

Ever since the Fed started its rate-hiking cycle, the spread between interest rates on loans in agency MBS and the 10-year Treasury rate has been elevated. Prepayment risk is to blame and there’s no easy fix.

Margin calls from repo lenders are always a risk when collateral values decline, which is why MBS holders, like REITs, are under watch. The yield on the 10-year Treasury is at a 16-year high — that’s the bad news. The good news: This may be the peak of the cycle.

JPMorgan Chase and Goldman Sachs accounted for much of the big increase in agency MBS held in bank holding company trading accounts during the second quarter. But several other companies recorded significant increases as well. (Includes two data charts.)

Although REITs’ total MBS holdings were down in the second quarter, the industry recorded a modest increase in its agency MBS investment portfolio. (Includes two data charts.)

FINRA plans to implement margin requirements for agency MBS transactions in May. The requirements, which have been delayed for years, will apply to broker-dealers.

MBS holdings at Fannie and Freddie are a shadow of what they used to be. Then again, being in a conservatorship that just celebrated its quinceanera will do that to you.