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Inside MBS & ABS

April 27, 2023

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U.S. CLO Issuance Gathers Momentum in Early 2023

Attractive spreads are drawing investor interest to the CLO market, where strong BSL securitization drove surging issuance. (Includes two data charts.) Read More

Subprime Auto ABS Market Shows Signs of Stress

Another subprime auto ABS issuer closed its dealerships last week. Back-up servicers can help to protect investors from failing issuers, though there were some complications with a recent servicing transfer. Read More

Making Sense of Widening MBS Spreads (Good Luck)

MBS spreads to Treasuries continue to be fat at roughly 140 bps. But what if there’s a government debt default? Might the equation turn or will it be so ugly it won’t matter? Analysts are trying to make sense of it all. Read More

Liquidations From Ginnie MBS Suppressed in 1Q23

Removals from Ginnie MBS were few and far between in the first quarter of 2023 as elevated interest rates limited loan payoffs and other withdrawal activity. (Includes data chart.) Read More

MBS Prepayment Model Updates Coming in May

Bloomberg will update its agency MBS prepayment models in May to account for rising interest rates and housing market demand. Read More

Climate Risk a Factor in Farmer Mac Standards

Industry stakeholders believe Farmer Mac could face risks arising from climate change. However, the government-chartered company took issue with a proposal to amend and strengthen its capital framework. Read More

Tender Offer, New Deals in Fannie/Freddie CRT Market

Fannie has issued a cash tender offer on CAS notes totaling $4.24 billion. Details from that offer, plus pricing on its upcoming CAS REMIC, give some insight into the state of the CRT market. Read More

Grapevine: MBS Sales From Failed Banks; Jumbo MBS Revived

AGNC CEO is comfortable with FDIC’s plans for sales of MBS held by failed banks; Morgan Stanley revives jumbo MBS; UBS prepares for legacy residential MBS action by DOJ; Chase offers RPLs in non-agency MBS. Read More

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