机构抵押贷款支持证券市场评论：最佳观望时机

Restricted -External Michael Khankin, CFA+12125263945michael.khankin@barclays.comBCI, USPratham Saxena, CFA+12125268640pratham.x.saxena@barclays.comBCI, US Best vantage is on the sidelinesMortgages widened by a couple of ticks this week (Figure 1). The summer doldrums are here,with stocks, credit, and rates little changed. Notably, implied volatility has declinedconsiderably in recent weeks, with 3m10y down 20 normals and 3y10y down 8 normals sincelate-May peaks (Figure 2). This drove the bulk of the MBS outperformance since then, with CCOAS unchanged at 40bp (Figure 3). With equities at all-time highs and vols near post-QT lows wecan't help but think that the market is now fully discounting any potential economic shocks,looming sectoral tariff effects, or Fed surprises. While there is no shortage of headlines from theadministration, the tone and the messaging are more mindful of markets, with the tolerance fora replay of April clearly low. Tariffs are once again on the agenda, but until today little had beensaid regarding the top four US trading partners: Mexico, China, Canada, or the EU. Ourproprietary Complacency Signal in the corporate market stands at 88%, nearing levels that cantrigger a risk-off reversal (see Capitulation and Complacency Signals). This regime maycontinue, and remains conducive to collecting carry, but the risks to the upside and downsideare more balanced. This means a more neutral allocation to mortgages is now warranted. Whilewemaysee continuedmomentuminthesector,incremental bank buying,and someconvergence in OAS to corporates, even a modest pick-up in vol can easily offset that.FIGURE 1. MBS widened by a couple of ticks this week; G2/FN outperformed, with 4s leading the wayPerformance against Treasury Curve (32nds)2.533.544.55-3-3-12-2-200213-2-1-100-1102.533.544.5532411002.5/33/3.593.5/44/4.54.5/55/5.517-2121z/3c3/2.53.5/34/3.54.5/45/4.5-2014-40FIGURE 3. OASs little changed; middle of the QT range120100806040200-20-40-6025忆忆忆55e三三MBS runoffRealized 30d VolQE4Source: Yield Book, Barclays Research 5.566.57-1-13101970-15.56.5722765.5/66/6.50E-5.5/56/5.56.5/67/6.500-162MBS ReinvestQE32 Instead of outright basis longs, a view for a potential increase in bank buying can be expressedrolls popped, now trading to near-failing levels. We have highlighted the thin and directionalnature of the G2 3.5 float in the past, with little production in the coupon above the 6.5%mortgage rate (see Comfortably numb). The new production coupon float in 4s is deeper, andought to grow at afasterpace inboth conventionals and Ginnies.We've suggested inrecentweeks that G2 4s at near zero payup to conventionals doesn't make sense given the fasterlifetime speeds in discount Ginnies. This is still the case with the swap at zero for August settle,G2s over conventionals. While some uncertainty is likely to linger over FN 4 or G2 4 rolls, withcomparable floats, in the end we think fundamental value in G2s ought to prevail. Empirically,we still see that swap leaning cheap.In terms of stack positioning, we no longer see much value in 2s following this week'soutperformance.Wecontinuetolike5sand5.5s,butalsoseesomesenseUiC in6sand6.5swhere the carry is highest. In G2/FN we continue to like 4s, as well as 4.5s and 5s with an eye forincreased bank buying. In dw/FN, the lowest coupons continue to look quite rich, but lack anobvious widening catalyst.VantageScore 4.0 allowed in GSE underwritingFHFA is once again in the pursuit of greater competition, lower consumer costsOn Tuesday, FHFA Director Bill Pulte posted on social media that GSEs will allow VantageScoretohowthecomposite scoreiscomputed,currentlyusingthemedianscore incasemorethantwo are available, and lowest otherwise. What this means in practice is that lenders could askscores when underwriting GSE loans.FHFA and the GSEs have been planning for the eventual adoption of the new VantageScore 4.0and Fico 1oT models for several years, though the effort had stalled at the beginning of theTrump 2.0 administration. These new models incorporate trended data and payment history,claim to be more predictive, and expand the credit box at the same time. As part that effort,GSEs released VantageScore 4.0 data last year covering 2013-2023 production, allowing us aglimpse into the potential impact of allowing these scores (see Playing catch-up, Rudderless fordetail). Now that the effort has restarted once more, our original findings still apply.Wider credit box, marginally faster prepays, especially in Fico, jumbo, andinvestor.Variance between two models is considerable, with VantageScore 4.0 generally higher,disproportionately favoring Jumbo, Fico, and investor loans in particular (Figure 4, Figure 5).TheaverageVantage4.0scoreforloansinFicopoolsis19pointscomparedto9pointsforTBAThis might allow for disproportionately faster prepayments for these stories on current pools.3 Outside of having access to higher scores on average, consumers could also benefit fromincreased competit