The mismatch between falling interest income at the Fed and growing interest expense is projected to result in deferred assets of between $60 billion and $150 billion.

The two largest REITs in terms of holdings of agency MBS noted extreme volatility in the second quarter while also suggesting that market dynamics are set to improve.

Spreads on various types of residential MBS are wider than they were during the early days of the pandemic, suggesting that the assets aren’t particularly attractive to investors. However, that isn’t necessarily true.

Industry groups argue that assessing fees on commingled collateral could undermine market confidence in the UMBS.

The REIT has built up strong residential and MSR businesses to diversify risk and support its agency prowess. And while it’s held back on increasing leverage, once volatility declines, all that may change.

While the market value of residential MBS fell in the first quarter, the volume of outstanding securities continued to grow. (Includes two data charts.)

An unexpected surge in inflation briefly created a “no-bid” moment for agency MBS.

Fannie Mae will publish refi application activity on a weekly basis, helping MBS investors better gauge prepayment trends.

The impact of the Federal Reserve’s balance sheet reduction is expected to be equivalent to a 50-basis-point increase in the federal funds rate.

Portfolio holdings of agency MBS fell mostly due to lower market value for the assets. REITs also recorded a significant drop in TBA investments as agency MBS issuance declined. (Includes data chart.)