Securitized Products Weekly

Research evidence excerpt

J P M O R G A N

North America Securitized Products

Research

07 August 2026

Securitized Products Weekly

August 7, 2026

MBS Market Commentary Nicholas Maciunas, Alexander Kraus, Sanjana

Prasad, Varun Gupta

The basis moved tighter to start the week before widening out slightly on Thursday.

Social payups have come under pressure, but pools continue to offer attractive loan

size distributions that have added call protection from the FTHB elbow shift. Our

functional form for floater DMs incorporates distance to cap, front-end rates, curve

slope, longer expiry vol, and mortgage valuations; we recognize that collateral

characteristics and residual IIO/PI/mountain demand aren't captured. New-issue

pools from originators actively using VS4 offer enhanced protection from credit

score gaming. Summer daily prepays suggest a strong intra-month pickup in

turnover.

RMBS Credit Commentary John Sim, Ani Gelashvili, Isabella Lee

Building on last week’s housing commentary, we take a broad look across all 50

states. Unsurprisingly, 35 of 50 states remain supply-starved, with only the

pandemic boomtowns shifting into a genuine surplus. Separately, we look at

medical professional mortgages within prime RMBS and gauge performance

using available proxies. We also give an overview of collateral and performance

in the RTL space.

ABS Market Commentary Amy Sze, Siddharth Tripathy

ABS spreads held firm with strong demand in primary and secondary for summer

seasonal activity. Our review of 2026YTD auto loan ABS collateral pools this

week revealed record high average loan balances, original loan terms and used

concentrations for both prime and non-prime segments.

CMBS Market Commentary Chong Sin, Terrell Bobb, Eli Khaim

This week, we review July remits where we highlight the $280mn Casa del Mar

Hotel by the Sea & Shutters on the Beach loan, securitized in CALI 2024-SUN as

a loan contributing to the rise in SASB delinquencies this month. Aside from that,

CRE CLO deals coming into the market are becoming riskier. 15 out of 24 CRE

CLO deals we have scored in 2026 have risk scores that exceed the long-term

average CRE CLO deal risk score of 37%.

CLO Market Commentary Rishad Ahluwalia, Aram Lavan

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