下面是小编为大家整理的美国按揭金融：对美联储特别法案看法及对mREITs和商业银行影,响（范文推荐）,供大家参考。
G l o b al R e sear c h
26
Mar ch
2020
U S
Mor tg ag e
F i nance
E xpe r t
C all:
UB S
Vi e ws
on
F e d
Spe ci al
Acti on s
& Impl ic a t ions
f o r
mR E IT s
a nd
C o mme r c ial
Ba nks
F i nan c i al m ar k et s
t ak e
t h e
m ed i c i n e
W e
ho s ted
a
c al l
y es terd ay
w i th
UB S
Ch i ef
U. S.
E c ono mi s t
Seth
Carpen ter
an d
th e Head
o f
R ate
Strateg y
M i k e
Cl oh erty .
W i th
F ed
i n terv en ti on
und erw ay
an d
an ex tremel y
v o l a ti l e
i n teres t
r ate
b ac kdrop,
th i s
w as
ti mel y
to
h el p
und ers ta nd i mp li c ati on s
fo r
mo rtg ag e
REI T s
an d
b an k s .
M aj or
takeaw ay s
i n c l ud e:
1 )
F o ll o w i ng as s et
p ri ce
d ec li n es , d el ev erag i ng o f
mor t ga g e
RE I T
a nd ot h e r f i xe d i nc om e
f unds
put e normo us
pr e ss ur e
on li qu i d a ss e t s
s o l d t o m ee t
m a r gi n ca ll s
i nc l udi ng U S T
a nd A genc y M BS.
2 )
Th e
F ed
res pon s e
w as
mas s i ve
an d real
ti me,
d i s p en s i ng w i th
nu me ri c al
bond buy i ng t a r ge t s
i n f av our of
buy i ng e nough to
ti gh ten
s p read s .
W e
w ou l d rate
th i s
as an
earl y
s u cc es s ,
p arti c u l ar l y
i n
s ho ri ng
up
t h e
Ag en cy
M B S
market.
4 )
F ed
ac ti on s s ho w
an
ac kno w l ed g emen t
th at
Do dd F ran k- era
reg u l ati on s
mad e
b al an ce
s h eet
mo re c o s tl y
fo r d eal er s
an d mo re
d i ffi c u l t
fo r th em
to
qu i c kl y
take
on i n v en to ry
fro m s tres s e d c oun terparti e s
or
op en
n ew
c red i t
fac ili ti e s .
5 )
F u rth er
rel i ef
ap p ears
to
li e
ah ead
i n rel ax i ng c ap i tal
s tan d ard s
on res erv es
an d maki ng CECL
i mp l emen tati on op t i on al
th ru 2020.
6 )
M eas u res
are
targ eted
an d l ar ge l y
do not
bene f i t
w i de
s w a t hs
of
non-A genc y a nd non- I G
as s ets , a
h ars h real i ty
p l ay i ng ou t
amo ng non-Ag en cy
mo rtg ag e
REI Ts . S iz e
&
sp ee d
o f
F e d
i n t e r v e n t i o n
i s
unp r e ce d e n t e d
S e t h
C a r pe nt e r
out li ne d
a
ho s t
of
b ot h
c on ve nt i ona l
a nd
unconv e nt i ona l
F e d
t ool s . Th e
l atter
i n
s o me
c ases
req u i res
Treas u ry
Dep t
c oop erati on.
Co n v en t i on al
to o l s i nc l ude : 1)
F e d F unds
r a t e
r e duc t i on t o ze ro w i t h C ha i rm a n P ow e ll
not i ng no a ppe t i t e t o
go
nega t i ve ,
l eav i ng
u s
a t
t he
l ow e r
bound.
2)
S ec ur i t i e s
pur c ha s e s
i nc l u di ng Treas u ri es
& Ag en cy
M BS.
Th e
F ed
s h i fted
fro m a
fi n i te
b i d l as t
w eek
( $700bn to tal )
to a n
unl i m i t e d
bi d
M onda y .
T he
c urr e nt
pa ce
i s
$75bn/ da y
o f
U S T
a nd
$50bn/ da y
of A genc y
M BS -dur i ng
Q E
t he
A genc y
pa ce
w a s
j us t
$35bn/mo nt h.
I n
a ddi t i on
t h e A genc y
M BS
b i d li s t
i s
v ery
bro ad , d es i gn e d to
red u c ed
s treet
i n v en to ry
regard l es s
o f w he t he r a
c urr e nt
i ss ue
or not .
( C ont i nue d on pp. 2)
F i g u r e
1 :
Ha mme ri n g
I t
I n :
Ag e n c y
M B S
S p r ead s
R et u r n
t o
L o n g er
Ter m
L evel s
B r o ck
V an d er vl i et
A na l ys t br ock .va nde r vl i e t @ ubs .com
+1 -212-713
2382
Sau l
Mar t i n ez
A na l ys t s a ul.m a r t i ne z@ ubs .com
+1 -212-713
2491
V il as
Abr aham
A na l ys t vi l a s .a br a ha m @ ubs .com
+1 -212-713
3241
A nt on i o C hap a
A na l ys t a nt oni o.cha pa @ u bs .com
+1 -212-713
2213
200
180
160
140
120
100
80
25/12/2019
25/01/2020
25/02/2020
25/03/2020
S our ce :
B l oomb e rg
www .u b s.co m / i n vest m en t r esea r ch
Th i s
rep o rt
h as
b een
p rep ared
b y
UB S
Se c u ri ti es
LLC .
ANAL YS T
C E R T I F IC AT I O N
AND
R E Q UI R E D
DIS C L O S UR E S
B E G I N
O N PA G E
25 .
UB S
do es
an d s eeks
to
do
bu s i n es s
w i th
c omp an i es
c o v ered
i n i ts
res earc h r ep o rts .
As
a
re s u l t , i n v es t o rs
s hou l d b e aw are
th at
th e
fi rm may
h ave
a
c on fl i c t
o f
i n teres t
th at
c ou l d affec t
th e
ob j ec ti v i ty
o f
t h i s
rep o rt.
I n ve s to rs
s hou l d c on s i d er
th i s rep o rt
as
on l y
a
s i ng l e
fac to r i n maki ng th ei r i n v es tmen t
d ec i s i on. D i ver s i f i ed
F i nan ci al
Am er i cas
Equit ies
S pr ea d ( bps )
U n co n ve n t ion a l
t oo ls
in clu d e :
1 )
A
n e w
co mm e r ci a l
p a p e r
f a ci lit y
in cl uding
d ir e ct l e nding
t o
C P
i ss u e r s
w i t h
t h e
F e d
pr ov i ding
f i nanc i ng
t hrough
a
s pe c i a l
pur pos e ve h icle
a nd
t h e
T r ea s ur y
pro vid ing
f ir s t
l o ss
c a pi t a l .
2)
MM
f und
li quidi t y :
L oa ns
t o ba nk s
s o
t he y
c a n
b uy
illi quid
s hor t -term
p a p e r
fro m
p ri me
mon e y
fu nd s .
3 ) Ex p an d ed
c o ll at er al
t y p es
pr i m ar y
d ealer s
c an
o ff er
f or
r ep o
f i n an c i ng
t o
eas e f i nanc i ng
pr e ss ur e .
4)
Re c l a ss i f i c a t i on
of
r e s e r v e s
s uc h
t ha t
$150-$180bn
of
ba nk r e s e r v e s
do
no t
r e c e i v e
a
c a p i t a l
c ha r ge
t he y
did
i n
t he
pa s t .
5)
D ol l a r
S w a p
L i ne s : T he s e
a r e
i n
pl a c e
w i t h
m a j or
c e nt r a l
ba nk s
t o
ea s e
s om e
of
t he
gl obal
dol l a r f unding
pr e ss ur e s .
6)
C orpor a t e
de bt
m a rk e t
s uppor t :
P r i m a r y
i ss ue r s
o f i nv e s t m e nt
gr a de
c orpor a t e
bonds
c a n
i ss u e
dir e c t l y
t o
t he
F e d.
Addi t ionall y ,
t he F e d
c a n
pur c ha s e
bonds
i n
t he
ope n
m a rk e t
a l s o
but
t hi s
a c t i v i t y
i s
li m i t e d
t o i n v es t m en t
gr ad e
wi t h
a
matur i t y
o f
5
y ear s
or
l es s .
Tr eas ur y
h as
t o
gu aran t ee
t h e s tru c t ur e
a s
i t
hol ds
a
$10bn
f i r s t
l o ss
p os i t i on.
O ne
of
t he
pr ov i s i ons
of
t h e C ongr e ss ional
s t i mul us
pa c k a ge
i s
a n
i n c r ea s e
i n
a ll oc a t i on
f or
t hi s
f a c ili t y
up
t o
$420bn,
10x
c urr e nt
s i z e .
W h a t
d e f i n e s
su cce ss?
G re a ter
s tab ili ty
a c ro ss
ma rk e ts
i s
u l ti ma te l y
th e
p ri ma ry
go a l .
A l mo s t
ri gh t
a w a y , A genc y
M BS
s pr eads
dr a m a t i c a ll y
t i ght e ne d
f rom
a s
w i de
a s
200+ bps
t o
c l ose
t o 100+ bps
a ft e r
a nnounc e m e n t .
A not he r
m e t r i c
t o
w a t c h
i s
CD S
s pr ea d s
f or
l a r ge ba nk s
a nd
ot h er
l ar g e
c orporat es .
B ey ond
i mm ed i at e
s t ab ili z at i on
t h er e
ar e
a
raf t of
mor e
t r a di t ional
e c onom i c
i ndi c a t or s
i nc l uding
j obl e ss
c l a i m s ,
p e r s onal
a nd bus i ne ss
a c t i v i t y
t ha t
a
num be r
of
s t a k e hold e r s
w ill
ha v e
on
t he i r
da s hbo a rd.
W h at d o es
t h e
F ed exp ec t
f ro m
ba n k s ?
T hi s
t i m e
a round
i s
v e r y
di ff e r e nt
w i t h
t he
f i nanc i a l
s e c t or
pa r t
of
t he
s ol ut i on
not t he
probl e m
unl i k e
2008
M ea s ur e s
t o
r e d uc e
t he
c a pi t a l
bur de n
t i e d
t o
r e s e r v e s , t em por ar il y
r ed u c e
t h e
n eed
t o
r ec l as s i f y
l o an s
an d
al s o
t em por ar il y
d el ay
C E CL a dopt i on
f or
t he
ba l a nc e
of
2020
a r e
a ll
m ea s ur e s
de s i gn e d
t o
he l p
t he
i ndus t r y .
W i ll
t he r e
be F e d
s pons or s hi p
f or N on - A g en c y
pap er ?
T hi s
i s
a
k e y
q ue s t i on
f or
hy br i d
mor t gage
RE I T s .
A s
c r e di t
s pr eads
ha v e
w i dene d, non- a genc y
pape r
i nc l uding
a
w i de
v a r i e t y
of
a ss e t s
i nc l uding
l e ga cy
R M BS ,
non- quali f y i ng
R M BS ,
C M BS ,
a nd
e v e n
l oa n s
dr oppe d
dr a m a t i c a ll y
i n
v a l u e .
P r i c e c orr e c t i ons
l e d
t o
a
pa tt e rn
of
f or c e d
s e lli ng
a nd
m a rgin
c a ll s
a nd
pot e nt i a ll y hi ghe r
l e v e l s
o f
m a i nt e nanc e
m a rgin
due
t o
t he
hi ghe r
v o l a t il it y.
T h is
r e m a in s
a v e r y
v ol a t il e
a nd
unc e r t a i n
s i t ua t i on
a nd
f or
s om e
hy br i d
RE I T s
w i t h out
l a r ge por t i ons
of
li quid
U S T
or
A genc y
M BS
t o
qui c k l y
li qui da t e ,
t hi s
h a s
c r ea t e d s ub s t an t i a l
s t r es s
as
s een
in
a
s er i e s
o f
8 K ’ s .
W e
b el i e v e
t h e
F ed ’s
m ai n
f oc us r em ai n s
on
t h e
r eal
ec onom y ,
Ag en cy
REI T s
b en ef i t
a s
t h ey
ar e
s een
a s
i n t eg r al
t o t h e
r es i d en t i al
mor t g ag e
m ar ket.
W e
ar e
un c er t ain
wh e t h er
c h al l en g e s
f ac ed
b y hy br i d
RE I T s
holding
m a ny
ot he r
t y pe s
of
a ss e t s
r i s e
t o
t he
l e v e l
of
t he
F e d’ s prior it y
li st .
C an
2s 10s
h o l d
ab o ve 50
bp s ?
C o mme nta ry
fro m
our
R a te
S trateg y
te a m
w a s
p a rti c u l a rl y
re a ss u ri ng.
P e ri od s
o f t im e
wh er e
t h e
c ur v e
p an c akes
ar e
t y p i c all y
t ho s e
wh en
i n v es t or s
b elie v e
t h e
F e d h as
o v er -r ea c he d
i n
t i ght e ning
a nd
r i s k s
pus hing
t he
e c onom y
in t o
r ece ss ion. H a v i ng
dropp e d
FF
150
bp s
i n
a
m a tt e r
of
w ee k s ,
w e
a r e
c l ea r l y
i n
a
m uc h di ff e r e nt
pl a c e .
K e y
f rom
h e r e
i s
t he
unc e r t a i nt y
a round
t he
pa c e
a nd
t i m i ng
of
r e c ov e r y .
T h a t
deba t e
i s
e nou...
