Mortgage & Structured Products Trader

This report examines market trends in Agency MBS, Non-QM RMBS, and Consumer ABS. It maintains a neutral stance on Agency MBS and an overweight bias toward consumer unsecured ABS over subprime auto.

Key Takeaways

• 1.Agency MBS spreads are expected to remain range-bound, supported by fund inflows driven by equity-to-bond rebalancing.
• 2.Non-QM deal call activity is robust due to financing incentives, with 2023 vintages becoming call-eligible.
• 3.We remain overweight on consumer unsecured ABS relative to subprime auto ABS due to deteriorating subprime auto fundamentals.

Table of Contents

• Agency MBS
• Lowering issuance estimates as mortgage rates back-up during key spring home-buying season
• RMBS
• Non-QM: Calling in (financing) incentives
• Tighter spreads on higher GWAC re-issued deals
• ABS
• America's Car Mart runs out of gas
• Forecasts
• Relative Value Views
• Cross-Asset Valuations