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Inside MBS & ABS

October 5, 2023

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Structured Finance Falters in 3Q23 as ABS Stumbles

Ginnie Mae continued to flex its muscles in the agency single-family MBS market, while non-agency issuance posted a strong third quarter. (Includes three data charts.) Read More

Prepayment Risk Driving Up Spreads on Agency MBS

Ever since the Fed started its rate-hiking cycle, the spread between interest rates on loans in agency MBS and the 10-year Treasury rate has been elevated. Prepayment risk is to blame and there’s no easy fix. Read More

As MBS Prices Wane, A Question of Margin Calls

Margin calls from repo lenders are always a risk when collateral values decline, which is why MBS holders, like REITs, are under watch. The yield on the 10-year Treasury is at a 16-year high — that’s the bad news. The good news: This may be the peak of the cycle. Read More

Prepayment Speeds Linked to Rising Temperatures

A new study found that an increase in days over 90 degrees has a statistically significant impact on mortgage defaults and prepayments, both of which affect yields on MBS. Read More

Fintech Bank Partner Will Issue its Own Consumer ABS

Loans in a new ABS from Cross River Bank were originated in partnership with Upstart Network. Partnerships with banks provide interest-rate preemption to many nonbank lenders. Read More

CMBS Troubles Revive Prospects for NPL Securitizations

NPL securitizations may help asset managers shore up their liquidity in the face of rising delinquencies on commercial MBS. While uncommon, a handful of commercial NPL securitizations were issued between 2013 and 2017. Read More

Timeshare ABS Could Face Rating Pressure in Recession

S&P warned of potential downgrades that could hit timeshare ABS if the economy slows down. Read More

Structured Finance Issuers Increase Cyber Budgets

Some 39% of the MBS and ABS issuers who participated in a Moody’s survey said they had boosted their cybersecurity spending since 2019. But still, advanced practices remained out of reach for many issuers. Read More

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