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.)

With rated issuance tumbling sharply in the third quarter, only Fitch managed to boost its ABS business, while DBRS was the only rating service to show a gain in non-agency MBS. (Includes two data charts.)

The top three purchase lenders through the first nine months of 2022: UWM, Wells Fargo and PennyMac Financial...

Although purchase-mortgage originations fell 12% from the second quarter, several lenders reported increased production in the third quarter. Nearly all top lenders saw hefty declines in refinance business in the third quarter. (Includes four data charts.)

Loss mitigation is getting harder to do as higher interest rates pose affordability problems for loan modifications and borrowers are less willing to sell their homes.

TD Bank was the biggest ABS investor overall...

In 3Q22, refi accounted for just 25.6% of agency retail loans...

The most controversial part of the scheme: a 250% risk weight on agency MSRs...

Small issuers will have two options: sell production to aggregators rather than Ginnie or sell off mortgage servicing rights. 

Much of the downturn in bank ABS holdings reflects slumping fair-market values for these securities, but the industry also appeared to actively shed some assets. (Includes two data charts.)