Agency MBS: The First Triumvirate

Research evidence excerpt

Agency MBS: The First Triumvirate

Nick Maciunas AC (1-212) 834-5671 Sanjana Prasad (1-212) 834-5720 North America Securitized J P M O R G A Nnicholas.m.maciunas@jpmorgan.com sanjana.t.prasad@jpmchase.com Products Research

J.P. Morgan Securities LLC J.P. Morgan Securities LLC

Alex Kraus (1-212) 834-5954 Varun Gupta (1-212) 622-2155 10 July 2026

alexander.d.kraus@jpmorgan.com varun.gupta@jpmchase.com

Agency MBS

The First Triumvirate

• The Extel Fixed Income Survey closes July 24 — vote before you go to the beach!

Please support us in the three agency MBS categories: USA: Residential Mort-

gage-Backed Securities Strategy / Agency, USA: Prepayments Strategy, and USA:

Agency CMOs & Derivatives. Ballots can be requested here: https://www.extelin-

sights.com/voting

• It was another fairly uneventful week for mortgages, with investors tilting up-in-

coupon as rates drifted higher but spreads were not dramatically different

• Warsh named three members of his balance sheet task force: Karen Dynan, Rag-

huram Rajan, and Jeremy Stein. Perhaps of note, Stein has previously called for

shortening the duration assets on the Fed’s balance sheet. However, mortgage-

backed securities holdings have not been a major focus of the work of the three,

from our preliminary review

• Specified pools have underperformed thanks to s-curves flattening into the selloff,

sporadically special rolls in higher coupons, and a decline in GSE purchase activi-

ty. We think that into a significant rally, there’s potential for all three of these head-

winds to reverse, and that today’s valuations look like a more reasonable entry

point

• In the June prepayment report, higher coupons largely undershot models—but

the 6-8 WALA 6.5 major pools were an exception; despite being originated at lower