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Inside MBS & ABS

June 9, 2022

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Moody’s Challenges S&P in ABS Ratings During 1Q22

Moody’s increased its ratings of newly issued ABS by 36% during the first quarter, a period when total rated issuance was up 8%. Kroll remained the top rating service in non-agency MBS. (Includes two data charts.) Read More

Rating Services Refining ESG Analysis for MBS and ABS

Moody’s proposed establishing ESG “issuer profile scores” and “credit impact scores” for structured finance transactions rated by the firm. DBRS, too, has released its approach to ESG risk factors in credit ratings. Read More

PennyMac Taps Ginnie MSRs as Collateral

When it comes to borrowing money in the secondary market these days, mortgage servicing rights are a great form of collateral. Reason? Rates are high and the asset will stick around for a long time. Read More

Not Out of the Woods Yet: Non-QM Whole-Loan Prices

Non-QM rates are now north of 7% in many cases, but the market is still dealing with upwards of $5 billion in lower-coupon product that needs to be moved. Read More

Should the Federal Reserve Hike Rates or Sell MBS?

The impact of the Federal Reserve’s balance sheet reduction is expected to be equivalent to a 50-basis-point increase in the federal funds rate. Read More

GSE CRT Issuance Steady Despite Shrinking Demand

Wider spreads on CAS and STACR deals suggest demand for the credit risk transfer securities is dwindling. Read More

Ginnie Encouraging Use of Digital Collateral Program

Ginnie Mae Digital Collateral Director Lynne Chandler spoke last week during a webinar co-sponsored by Falcon Capital Advisors. Read More

S&P: CLO Reliance on B- Loans Carries Risks

A growing acceptance among collateralized loan obligations of B- loans is creating some risks for the market, according to S&P Global Ratings. Read More

Grapevine: CDFIs and Non-Agency MBS; Credit Scoring Models

Non-agency MBS with mortgages originated by CDFIs faces scrutiny from rating services; The Change Company pushes back; MBS and ABS investor preferences on credit scoring models. Read More

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