Agency single-family MBS production continued to erode in the third quarter despite a modest pickup in purchase loans. Meanwhile, issuance fell sharply in the commercial MBS and ABS markets. (Includes three data charts.)

The cocktail of recessionary risk and inflation is putting pressure on the performance of MBS and ABS. Some sectors will perform better than others.

Initial estimates on Hurricane Ian-related losses; Biden administration limits student loan forgiveness on loans in ABS; Credit Suisse’s financial difficulties trickle down to an ABS.

Angel Oak, a key player in the non-QM MBS market, is facing financial turbulence. The CEO of its REIT departed suddenly this week and a line of credit it has with Barclays is about to expire.

JPMorgan Chase continued to hold the biggest portfolio of MBS/ABS in trading accounts. Bank holding companies posted a 14.9% increase in agency MBS held in trading accounts. (Includes data chart.)

For most of 2021 and the year prior, whole-loan prices in the scratch-and-dent market were at a premium. And today? Far from it, says RAMS Mortgage Capital.

Pacific Western Bank started acquiring residential mortgages in March 2021. PacWest is now done acquiring loans and looking to share credit risk on a pool with an unpaid principal balance of $2.68 billion.

It seems as though whole-loan prices for non-QMs have stabilized. Then again, the Fed just hiked interest rates.

Delinquencies on expanded-credit MBS are increasing but investors in the deals appear to be protected at the moment. A review of the sector by Fitch prompted many upgrades and no downgrades.

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.