Commercial banks and the Federal Reserve pulled back from the MBS market in the third quarter, but the supply of outstanding securities continued to grow. Money-market funds and other investors appear to be picking up some of the slack. (Includes two data charts.)

Investors appear increasingly reluctant to sell their credit-risk transfer notes back to the enterprises at the prices Fannie and Freddie are offering.

Despite rising rates and volatility, mortgage REITs reported a small gain in their retained agency MBS holdings. The industry’s aggregate TBA position was lower, as was non-agency MBS investment. (Includes data chart.)

Freddie Mac issued 84 green single-family mortgage-backed securities in 2021 that save 192,168 million BTUs of energy per year.

A market-wide slump in MBS fair market values accounted for most of the decline in reported bank holdings of these securities during the third quarter. And there was a significant increase in MBS held in bank trading accounts. (Includes two data charts.)

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.