Bank MBS Update Q2: Better than expected

Research evidence excerpt

J P M O R G A N

Global Securitized Products

Research

05 August 2026

Bank MBS Update Q2: Better than

expected

This report is based on the largest 500 banks that have uploaded call reports;

it covers the vast majority of holdings

Overall, bank agency MBS holdings increased q/q, with all banks adding

$4.4bn PTs and $4.1bn CMOs in AFS+HTM (Figure 1). For the first half of

2026, these banks added $30bn GN PTs, shed $19bn conventional PTs, and net

bought $16bn CMOs (Figure 2)

Securitized Products & Public

Finance Agency Collateralized

Mortgage Obligations & Derivatives

Alex Kraus AC

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In contrast, the Fed’s H.8 was tracking down $2bn on the quarter with our

market-value adjustments; however, that series comes closer to tying out (at

least directionally) when you include agency CMBS (+$3.1bn) and MBS held

in trading at the bank level (-$21.1bn). The Fed’s H.8 series shows $25bn of net

buying for the first three weeks of July (Figure 3)

(1-212) 834-5954

Nick Maciunas

(1-212) 834-5671

Sanjana Prasad

(1-212) 834-5720

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The buying in agency MBS PTs+CMOs was again stronger outside the top 50

(+$5.4bn) than within (+$3bn)

In agency MBS, the greatest net additions to AFS+HTM in the quarter came

from Citi (+$12.1bn), PNC (+$5bn), and TD (+$1.9bn). The largest drops in

holdings came from BoA (-$12.4bn), Schwab (-$4.1bn), and Wells (-$3.2bn)

(Figure 4)

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The Ginnie trend in PTs continued this quarter with bank holdings growing by

+$9.2bn while conventionals (driven mostly by HTM runoff) were down

$4.8bn (Figure 5)

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Bank holdings of resi loans surged this quarter by $19.3bn (Figure 6)

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Agency CMBS holdings were up $3.1bn with buying in AFS and a slight drop

in HTM (Figure 7)

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The new additions in Treasuries were dominated by Wells (+$23.3bn) and

Goldman (+$10.2bn), while BoA’s holdings fell by $20bn and JPM’s by

$12.5bn. Also of note, ABS holdings were up by $6.4bn q/q, led by additions

from BoA (+$3bn) and Schwab (+$2.6bn) (Figure 8)

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