Agency MBS Chart Book

Nomura's Agency MBS Chart Book focuses on prepayment behavior and S-curves for Fannie Mae 30-year conventional mortgage-backed securities. S-curves were flat to generally lower across most WALA cohorts. Aggregate prepays for 30yr conventionals decreased by 7-8% in September (NMR: -6%), driven by a 10bp backup in driving mortgage rates and negative housing seasonals, while day count remained unchanged. For October factors, Fannie Mae WALA ramps were generally lower across most cohorts. On issuance, in September $2bn of FN 5.0s, $9bn of FN 5.5s, $13bn of FN 6.0s, and $5bn of FN 6.5s were issued; Rocket was the top issuer of FN loans, followed by Lakeview, PHH, and AmeriHome. On servicing transfers, in Freddie Mac, Onslow Bay acquired $3.6bn in 2.82 WAC, 71 WALA loans from PHH, while there were no servicing transfers in Fannie Mae.