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.)
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Earlier this year, banks saw an advantage in purchasing jumbo mortgages for their portfolios, but of late it seems as though the edge is beginning to erode.
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The new accounting standard, which went into effect just before the pandemic, requires the GSEs to anticipate losses over the life of the loan.
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KBRA said that third-quarter MBS issuance volume didn’t meet its expectations and will drop rapidly in the coming year. Meanwhile, both DBRS and Moody’s noted that performance is stabilizing.
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FirstKey Homes is set to issue an $871.6 million deal backed by loans on 1,827 income-producing properties, while Bridge Single-Family Rental Fund IV Aggregator is prepping its first SRF securitization.
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Daily MBS trading has been on the rise since April, a positive sign. It seems some investors are willing to buy and hold, but fear over what the Fed might do next rules the roost.
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Since the beginning of quantitative tightening in June, the Federal Reserve has been able to shed less than 20% of the agency MBS it had planned by this date.
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Ginnie Mae has been running stress tests on nonbanks since 2018. Each issuer is tested twice a year and the analysis covers all four Ginnie programs.
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