Securitized Products Weekly

Research evidence excerpt

Securitized Products Weekly

J P M O R G A N North America Securitized Products

Research

24 July 2026

July 24, 2026

Securitized Products & Public

Finance Research

John Sim AC

(1-212) 834-3124

john.sim@jpmorgan.com

J.P. Morgan Securities LLC

MBS Market Commentary Nicholas Maciunas, Alexander Kraus, Sanjana

Prasad, Varun Gupta

The basis weathered the storm of higher rates early in the week before

underperforming into the continued sell-off. Though long-end yields are higher now

than in early 2025, lower vol and tighter valuations have kept mortgage rates in the

high 6s. Still, these rates will put a damper on UIC prepayments. In large rate moves,

we expect some currently non-production TBAs to become more negatively convex

given larger loan sizes for production coupon major pools versus discount/premium

majors. Mortgage REITs added over $7bn agency MBS in Q2. Floater cap distribution

is a function of both fundamental drivers, including front-end rates, curve slope, vol,

and spreads, as well as demand for complementary structures.

RMBS Credit Commentary John Sim, Ani Gelashvili, Isabella Lee

Despite record issuance volume in June, followed by a strong July, spreads have

started to retrace tighter after quarter-end pressure. This week we look at the universe

of outstanding non-QM bonds to value the issuer call option. The magnitude of the call

value varies dramatically by vintage, driven by the relationship between original rates

and today’s refinancing environment. Separately, we summarize how rating agencies

are looking at incorporating the new credit scores into their models.

ABS Market Commentary Amy Sze, Siddharth Tripathy

At near highest all-in yields of the year, ABS spreads continue to offer attractive

relative value versus comparable credits.