Securitized Products Weekly

研报英文原文证据摘录

Securitized Products Weekly

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

Research

26 June 2026

June 26, 2026

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

Prasad, Varun Gupta Finance Research

The basis remained mostly rangebound, though 15yrs continued to widen from rich John Sim AC

levels. Warsh’s balance sheet task force has again raised the specter of active MBS (1-212) 834-3124

sales, but we think they’re a lower priority than examining the payment system, john.sim@jpmorgan.com

overall balance sheet size, and the maturity profile of the Treasury holdings. We J.P. Morgan Securities LLC

contrast the finalized FHA and VA loss mitigation waterfalls. The Freddie volume

summary shows $117mm in MBS adds and a drop of $4.7bn in loans for May.

Fannie’s purchase index (PALI) seems to track purchase activity for conventional

MBS more closely than the MBA index. Foreign investors added $18bn of MBS in

April.

RMBS Credit Commentary John Sim, Ani Gelashvili, Isabella Lee

The housing market’s core issue remains affordability. With months’ supply rising and

builders leaning on incentives to clear inventory, the “massive undersupply” narrative

looks increasingly challenged. The Senate and House this week passed the 21st

Century Road to Housing Act, although the final signing was canceled. Separately, we

look at re-levered non-QM deals, where FICO remains the dominant forward-looking

risk indicator that is not offset by clean payment performance.

ABS Market Commentary Amy Sze

The ABS market remains on firm footing under the summer heat with solid demand

and macro credit trends, but we remain cautious down the capital stack given various

idiosyncratic sponsor headlines/volatility. Separately, we analyzed the “LTV-