Secondary market loan pricing depends on market timeframes, roles, pull structures and other esoteric economic components.

Uncertainty regarding future actions by the Federal Reserve has dampened investor demand for MBS and ABS. The outlook, too, is negative.

AGNC Investment and Annaly Capital Management provided preliminary third-quarter results this week. Book value declined and leverage increased on a sequential basis.

Hedging experts recommend to-be-announced strategies for the post-QE world.

A higher-than-expected inflation reading for August led to volatility in interest rates this week, hurting the value of agency MBS. Still, the CEO of AGNC, a real estate investment trust focused on agency MBS, expects that concerns tied to the Fed will diminish by the end of the year.

The Federal Reserve’s pandemic-driven asset-buying spree altered the composition of assets and liabilities, a change that impacts balance sheet reduction.

Investors that once focused on lower tranches of non-agency MBS are shifting up in credit, seeing just as strong returns from AAA-rated tranches with fewer risks. Investors in agency MBS are also changing strategies as interest rates rise.

Falling market values for Fannie/Freddie pass-throughs played a big part in the decline in bank investment in residential MBS during the second quarter. Holdings of Ginnie MBS and non-agency securities were up. (Includes two data charts.)

FINRA and the MSRB plan to cut the reporting time for TRACE-eligible trades from 15 minutes to just one.

Changes to Form FR-2004 help distinguish between the specified pool and to-be-announced positions of primary dealers.