Agency MBS Weekly: Data for the Long Weekend

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Agency MBS Weekly: Data for the Long Weekend

Idea

May 22, 2026 04:31 PM GMT

Morgan Stanley & Co. LLCMAgency MBS Weekly | North America Jay Bacow

Strategist

Data for the Long Weekend Jay.Bacow@morganstanley.comJanie Xue +1 212 761-2647

Janie.Xue@morganstanley.com +1 212 761-6051

This week, we provide a brief update note with the latest bank,

Table of Contents

REIT, and overseas demand data along with CMO issuance

before we wish our readers a happy Memorial Day. 1Q26 Bank Data: Agency Assets -$12bn HTM, +44bn

AFS, +27bn Trading

April CMO Update: $27.9bn of Issuance

March TIC Data: Overseas Investors Net Add $0.5bn

1Q26 REIT Update: REITs Net $7.3bn in Pools and

$1.3bn in ACMBS

For some holiday-week reading, we highlight our 2026 Global Strategy Mid-Year

Outlook: Constructive, Not Complacent and our 2026 Global Securitized

Products Mid-Year Outlook: A Balancing Act.

Agency MBS has strong positive technicals of low issuance combined with likely

reduced securitization rates from improved capital treatment of residential loans

under Basel Endgame. If Treasury/FHFA increase the portfolio caps of the GSEs and/

or it becomes more clear that the Fed is on an easing path, then spreads should test

levels not seen since QE was occurring. However, realizing the forwards keeps the

possibility of Fed hikes on the table, reducing possible bank demand and keeping FX-

hedging costs elevated for overseas investors. Mortgages likely outperform swaps

more than Treasuries as buyers are more swap-based (i.e., GSEs, banks, REITs), but

investors may simply favor Treasury ASW over MBS. Stay neutral, expect the single-

family basis to track Fed expectations to some extent, and keep an eye on AI-related

improvements changing the shape of s-curves.

In addition, read our May Prepays Forecast.