Securitized Products Weekly

Research evidence excerpt

Securitized Products Weekly

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

Research

31 July 2026

July 31, 2026

MBS Market Commentary Nicholas Maciunas, Alexander Kraus, Sanjana Securitized Products & Public

Prasad, Varun Gupta Finance Research

After the FOMC held rates steady on Wednesday, mortgages moved tighter and John Sim AC

retraced levels seen earlier in the year. In Q2, the GSEs were more active in (1-212) 834-3124

Treasuries than in MBS, buying over $30bn combined, while mortgages were john.sim@jpmorgan.com

down on the quarter. The growth in UM 30yr major loan sizes has outstripped that J.P. Morgan Securities LLC

of G2 multi-issuer pools. Flatter s-curves, a higher-for-longer rate environment,

and a drop off in CMO demand for specs would likely improve the convexity of

new issue in production coupons. The media effect observed due to Warsh’s first

FOMC meeting was absent this time around, and refi lags have extended.

RMBS Credit Commentary John Sim, Ani Gelashvili, Isabella Lee

Demand remains robust, and spreads have already started to retrace tighter after

widening slightly at quarter-end. Higher rates continue to support RMBS total

returns versus corporate bonds. As housing market demand remains muted, we

review a post-pandemic, state-by-state breakdown of housing supply this week.

Separately, we look into step-up structures in refinanced non-QM deals.

ABS Market Commentary Amy Sze, Siddharth Tripathy

While ABS market activity was slow this week, spreads remained firm, and

attractive yields kept investors buying. Separately, we used auto loan tape data to

model loss and timing curves, and noted that for a five-year auto loan, roughly a

third of lifetime losses are realized by age 12, and 55% and 71% over 18 and 24

months, respectively.