J.P.摩根-美股-投资策略-MBS市场评论没有浮动太大-2020.3.27-21页.pdf
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1、North America Securitized Products Research27 March 2020 MBS Market Commentary:No float is too bigMarch 27,2020Securitized Products ResearchBrian Ye AC(1-212)834-Nicholas Maciunas(1-212)834-Alex D.Kraus(1-212)834-J.P.Morgan Securities LLCSee page 19 for analyst certification and important The FOMC g
2、ave the New York Fed the mandate to conduct“unlimited”QE4 operations to purchase agency mortgages Over the past two weeks,we estimate that around$250bn of agency MBS has been absorbed;this pace is unprecedented We turn to past QE operations,QE1 and QE3 to gauge the potential purchase amounts going f
3、orward We project$1.8tn of gross MBS issuance in 2020;the Fed could purchase up to$1.3tn of mortgages to relieve stress in the financial system QE1 and QE3 brought mortgage spreads to around 20bp of Treasury OAS,this is what we think QE4 could ultimately achieve;this is approximately 50bp tighter th
4、an Thursdays close TBA dollar rolls have exploded higher with implied financing rates dropping by 100-200bp;much was due to the expected deliverable shift in TBA;mortgage cashflows should improve and so should TBA performance;be overweight MBS We review the potential float improvements across the UM
5、BS stack from the Feds purchases to date in detail,and provide a model based approach for the scope of improvement additional purchases could generate We sift through the bonds that the Fed was delivered through Wednesday this week;the collateral was largely non-spec and low payup In this piece,we w
6、alk through the risk that widespread forbearance poses to servicers,but reiterate that from the MBS investors perspective,the explicit Ginnie wrap and the Treasury lines of support to the GSEs are ample protection for timely payment of P&I每日免费获取报告1、每日微信群内分享7+最新重磅报告;2、每日分享当日华尔街日报、金融时报;3、每周分享经济学人4、行研报
7、告均为公开版,权利归原作者所有,起点财经仅分发做内部学习。扫一扫二维码关注公号回复:研究报告加入“起点财经”微信群。2North America Securitized Products ResearchMBS Market Commentary:No float is too big27 March 2020Brian Ye(1-212)834-Nicholas Maciunas(1-212)834- Alex D.Kraus(1-212)834-MBS Market CommentaryThe FOMC gave the New York Fed the mandate to conduc
8、t“unlimited”QE4 operations to purchase agency mortgagesOver the past two weeks,we estimate that around$250bn of agency MBShas been absorbed;this pace is unprecedentedWe turn to past QE operations,QE1 and QE3 to gauge the potential purchase amounts going forwardWe project$1.8tn of gross MBS issuance
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