Production of non-agency MBS suffered a third-straight sharp decline in quarterly issuance. The biggest hit was in the prime RMBS sector, where jumbo securitization dropped and GSE-eligible activity nearly disappeared.
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.)
Rising mortgage interest rates increased the market share of jumbo loans, ARMs and expanded-credit mortgages in the second quarter, while the agency market shrank. The result was a downturn in securitization rates. (Includes data chart.)
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.)
Fannie and Freddie issued a combined $17.57 billion in CAS and STACR certificates in the first half of 2022, more than in any full year since CRT was invented. (Includes data chart.)
With FHA loan performance relatively strong and the spike in interest rates this year, early buyout activity from Ginnie MBS is limited. Overall, removals are slowing thanks to elevated interest rates. (Includes data chart.)
Freddie recorded the biggest decline in the agency market, while Ginnie dodged the worst of the downturn. Agency multifamily MBS issuance was up, however, as was non-mortgage ABS production. (Includes three data charts.)
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.)