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Inside MBS & ABS

October 26, 2023

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Commercial MBS Issuance Stumbles in Third Quarter

Non-agency CMBS issuance was up in the third quarter, thanks to a gain in retail-property securitization. But agency multifamily MBS production slumped. Read More

Recession Fears Take Center Stage at ABS East Conference

Attendance at the ABS East conference hit a record this week even as industry participants are anticipating a recession. Parts of the ABS market are offering investors better returns than corporate debt. Read More

Distressed Loans Play Bigger Role in GNMA Withdrawals

Nearly 90% of loan liquidations in Ginnie MBS resulted from borrower payoffs in the third quarter, with most of them linked to MBS issued in 2020 and 2021. Read More

Securitization Market Heavily Influenced by Banks

Bank demand for agency MBS is weak, leading to wider spreads and losses on MBS holdings for some. Banks are also reducing their lending activity, providing an opening for nonbanks. Read More

Outlook on Commercial MBS Extremely Negative

Delinquencies are rising on commercial MBS, driven by office properties. Losses are expected to follow and it could be years before the situation improves. Read More

Treasuries, Option-Adjusted Spread Could Point to MBS Value

Dimensional Fund researchers argue that MBS pricing is the sum of expected returns and the option-adjusted spread. Read More

Jumbo MBS From 2015 Facing Interest Shortfalls

Moody’s is reviewing two note classes as part of a downgrade review of the MBS due to an accidental loan prepayment disbursement. Read More

Grapevine: Mortgage Rumor Busted; Capital Requirement Update

Desperate times call for desperate measures. But, perhaps, having the GSEs create demand by purchasing (a lot) more of their own MBS in an effort to lower rates is a bridge too far. Read More

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