Mortgage And Structured Products Trader

This report examines the impact of high mortgage rates on Agency MBS, RMBS, and Consumer ABS, favoring TBAs over specified pools and floating-rate HELOCs over fixed-rate ones.

Key Takeaways

• 1.Rising mortgage rates have reduced demand for prepayment protection, favoring TBAs over specified pools in the near term.
• 2.In RMBS, floating-rate HELOC tranches are attractive due to lower payment obligations and less extension risk during draw periods compared to fixed-rate deals.
• 3.Consumer unsecured ABS delinquencies are declining, driven by tighter underwriting standards and the strong performance of newer 2025 vintages.

Table of Contents

• MORTGAGE & STRUCTURED PRODUCTS TRADER
• Agency MBS
• RMBS
• Lining up for HELOCs
• ABS
• Looking beneath the surface in consumer unsecured ABS delinquencies
• Forecasts
• Relative Value Views
• Cross-Asset Valuations
• Agency MBS metrics
• MBS vs. corporates
• MBS issuance
• CMBS spreads and issuance volumes
• Consumer ABS - spreads and collateral performance
• Disclosure Appendix