Mortgage-Backed Securities

Latest Stories

Mortgage Opportunities After Quantitative Easing?

By Jen Ripper | September 28, 2017

Nearly ten years ago, the Federal Reserve (Fed) embarked upon what became known as quantitative easing as a way to combat the financial crisis of 2008. With the Fed Funds rate near zero percent, the Fed announced it would purchase U.S. Treasury notes and mortgage-backed securities. After three rounds of quantitative easing, the Fed ended its purchases in late 2014. During that time, the Fed has purchased nearly $1.78 trillion of agency mortgage-backed securities (MBS).

CMBS Market Opportunities in Risk Retention

By Jen Ripper | June 8, 2017

In December 2016, the commercial mortgage-backed securities (CMBS) market officially adopted risk retention rules as part of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010. The rules were designed to promote an alignment of interests between sponsors and investors. Risk retention requires lenders originating loans to retain a 5% slice of each CMBS deal for five years, thereby forcing issuers to have ‘skin in the game.’

High Interest in CMBS Interest-Only Securities

By Jen Ripper | April 13, 2017

In today’s tight spread and low interest rate environment, the search for relative value opportunities can be challenging. The commercial real estate market has experienced strong growth in recent years as evidenced by continued property price appreciation, rising occupancies and rent growth across major property types.

Opportunities in a Smaller Non-Agency RMBS World

By Jason Merrill | March 9, 2017

The non-agency residential mortgage-backed security (RMBS) sector continues to shrink with outstanding debt totaling $843 billion at the end of 2016, down from the peak of $2.7 trillion at the end of 2007. Issuance has yet to return to pre-crisis levels. Issuance in 2016 was at $84.2 billion, compared to $1.3 trillion per year in 2005 and 2006. Despite the non-agency RMBS sector’s inability to meaningfully return to its pre-crisis volume, a number of new post-crisis subsectors have been created by banks and non-bank issuers to try to jump start the sector.

Changes in Store for Fannie Mae & Freddie Mac

By Mark Heppenstall | February 16, 2017

The Trump Trade has emerged as new vernacular across the investment world since Election Day. In just three months, the Trump Trade has led to the Dow Jones Industrial Average breaking 20,000, a S&P 500 Index market capitalization in excess of $20 trillion and—maybe most remarkably—a hawkish Federal Reserve Chair, Janet Yellen.

Growing Risk in Fed MBS Holdings

By Jason Merrill | December 15, 2016

This week the Federal Reserve (Fed) is back in the spotlight after Fed Chair Janet Yellen raised interest rates in response to continued strength in the U.S. economy. Worries regarding the expanding girth of the Fed’s balance sheet have moved to the back burner, as the markets have turned their focus to improving economic growth prospects under the Trump Administration. However, the large move in rates this year has had a dramatic effect on the Fed’s book of agency mortgage-backed securities (MBS), which makes up $1.7 trillion of the Fed’s balance sheet.

CMBS Losses: Are We There Yet?

By Jen Ripper | October 13, 2016

This week’s chart depicts the realized cumulative loss rate experienced thus far for Commercial Mortgage-Backed Securities (CMBS) conduit transactions originating between 2004 and 2008. Cumulative losses are expected to rise in the coming months as legacy CMBS loans reach their maturity dates.

Corporate Debt Recovers; Is There an Opportunity with CMBS?

By Jen Ripper | March 17, 2016

The S&P 500 and Dow Jones Industrial Average indices have, over the past four weeks, retraced 90% and 88% of the move over the first six weeks of the year, while corporate spreads have not only recouped their losses but have now tightened on a year-to-date basis. Meanwhile, commercial mortgage backed securities (CMBS) cash markets have remained largely unchanged.

Rating Shopping Presents Opportunities in CMBS

By Jen Ripper | September 10, 2015

Moody’s has been excluded from all subordinate conduit bonds since the second quarter of 2015, leaving Fitch as the only major rating agency of fixed rate conduit transactions.

Is Non-Agency Residential Mortgage-Backed Security (RMBS) Issuance Poised for a Rebound?

By Mark Heppenstall | August 6, 2015

If the expression “time heals all wounds” holds true in the fixed income markets today, investors may finally be ready for an important shift in the composition of Residential Mortgage-Backed Security (RMBS) issuance.

Disclosure Statement

The material provided here is for informational use only. The views expressed are those of the author, and do not necessarily reflect the views of Penn Mutual Asset Management.


This material is for informational use only. The views expressed are those of the author, and do not necessarily reflect the views of Penn Mutual Asset Management.  This material is not intended to be relied upon as a forecast, research or investment advice, and it is not a recommendation, offer or solicitation to buy or sell any securities or to adopt any investment strategy.

Opinions and statements of financial market trends that are based on current market conditions constitute judgment of the author and are subject to change without notice.  The information and opinions contained in this material are derived from sources deemed to be reliable but should not be assumed to be accurate or complete.  Statements that reflect projections or expectations of future financial or economic performance of the markets may be considered forward-looking statements.  Actual results may differ significantly.  Any forecasts contained in this material are based on various estimates and assumptions, and there can be no assurance that such estimates or assumptions will prove accurate.

Investing involves risk, including possible loss of principal.  Past performance is no guarantee of future results.  All information referenced in preparation of this material has been obtained from sources believed to be reliable, but accuracy and completeness are not guaranteed. There is no representation or warranty as to the accuracy of the information and Penn Mutual Asset Management shall have no liability for decisions based upon such information.

High-Yield bonds are subject to greater fluctuations in value and risk of loss of income and principal. Investing in higher yielding, lower rated corporate bonds have a greater risk of price fluctuations and loss of principal and income than U.S. Treasury bonds and bills. Government securities offer a higher degree of safety and are guaranteed as to the timely payment of principal and interest if held to maturity.

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