Securitized Products Weekly

Research evidence excerpt

Securitized Products Weekly

Global Markets Research

9 July 2026Securitized Products Weekly

Securitized Products - North America

Research Analysts

Securitized Products Weekly US Securitized Products

Paul Nikodem - NSI

paul.nikodem@nomura.com

Agency MBS +1 212 667 2130

Over the past week, 10yr Treasury yields sold off while MBS CC nominal spreads Rohit Sinha - NSI

remained largely unchanged. We remain neutral on the MBS basis in the near term as Rohit.Sinha@nomura.com

+1 212 298 4905seasonal supply is at its peak and is expected to remain elevated over the next few

weeks, but we are constructive in the medium term as elevated passive demand should Chinmay Kulkarni - NSI

support the basis. Last week, the GSEs released historical FICO 10T and VantageScore chinmay.kulkarni1@nomura.com

+ 1 212 298 45984.0 (VS4) data for conventional mortgages, and we find that FICO 10T/VS4 scores were

higher on average than Classic FICO. However, the prepay impact will depend on the Joseph Gais - NSI

LLPA grid for the new scoring models, which is not yet publicly available. Looking at model joseph.gais@nomura.com

performances, FICO 10T exhibits stronger predictive performance than VS4 in identifying +1 212 667 2028

elevated credit risk. Separately, we discuss recent issuance and prepay trends, and Vivek Chauhan - NSI

relative value in I4 (40yr mod) and R3 (30yr non-mod) pools. Issuance in FN RPL pools vivek.chauhan@nomura.com

has been sporadic in recent years, but there was an uptick in June. The two largest pool + 1 212 667 2290

types - I4 and R3 - exhibit faster OTM prepays vs TBA due to smaller ALS, lower FICO Shreya Pal - NSI

and higher involuntary prepays. In 2.5-3.5s, I4 pools offer wider OAS (3-10bp) compared shreya.pal1@nomura.com