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.)
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.)
AGNC Investment and Annaly Capital Management provided preliminary third-quarter results this week. Book value declined and leverage increased on a sequential basis.
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.
The Federal Reserve’s pandemic-driven asset-buying spree altered the composition of assets and liabilities, a change that impacts balance sheet reduction.
Some SWFs in other countries have extensive ownership interests in major corporations and sweep much of their profits into state coffers.
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