2025-06-10-花旗集团-机构抵押贷款支持证券（MBS）市场状况_机构抵押贷款支持证券研究_75页_2mb

报告摘要

Rate Environment: Implied volatility remains low, with TBA origination supply below April levels. CMO takeout share of gross issuance fell from 50% to 30%.
Bank Demand: Banks remain cautious due to low deposit growth; REITs are becoming key MBS buyers (shares increased by 13% YoY, total 35% YoY growth).
Spreads: Production coupon OAS is trading at 43bp (wider than fair value 25–35bp). Higher coupons (e.g., 5.5s) outperform curve hedges by 2–5 ticks.

Preferred Coupons: Maintain preference for 5.5s due to tight spreads and excess returns in rate hikes. 6.5 cap floaters (SOFR + 160bp) are favored over AAA CLOs.
Foreign Demand: Foreign holdings normalized in 2025; tariffs and U.S. downgrades pose risks. Japan and Canada drove significant demand changes, with China rotating from Treasuries to MBS post-2018.
REIT Demand: REITs added $30B in 2024; projected $30–40B in 2025 due to wider swap spreads and strong capital raises.
GSE Privatization: Uncertain timeline; senior preferred stock remains a hurdle. Explicit guarantees could tighten spreads by 10bps, while no guarantee scenarios could widen them by 20–60bps.

Net Supply: Projected $415B for 2025 (unchanged from 2024), with Treasury supply at $1.8T (upward pressure on yields). MBS supply may decline $25B YoY.
Bank Holdings: Expected $100B net increase in 2025, driven by AFS portfolio growth. Treasury allocation rose to 17% (GSIBs lead).
Prepayment Speeds: Staying slow at 3.7 CPR YoY. Cashouts remain under 1 CPR; buyouts and turnover speeds impacted by pent-up demand.

Monetary Policy Uncertainty: Tariffs and stagflation concerns weigh on housing affordability; real HPA forecast reduced to -2.5% YoY.
Hedging Mechanics: G2/FN swaps appear fairly valued; spread pickup varies by coupon (FN 5.5s trade richly).
Regulatory/Structural: FHLB/HOA rules could restrict REIT-liability fees. GSE buyouts slowed; VA loan defaults rise, affecting Ginnie speeds.

Short-Term: Favor CMOs, 5.5s, and 6.5 cap floaters. Monitor bank demand and GSE reforms.
Long-End: Balance 30- to 40-year IG corporate vs. MBS; lower coupons offer tight ZVOAS premiums.
Yield Curve Play: Uptick in bank demand needed; aggressive steepening/bear flattening scenarios favor Floater 6.5s.

展开完整摘要