The Institutional Risk Analyst

Every residential mortgage loan made in 2020-2021 is likely to be underwater by the end of 2023

The cult of ever falling interest rates goes back 50 years and spans the terms of Fed chairs back to Alan Greenspan and Paul Volcker...

Like COOP, volumes are down dramatically from 2021 but MSR values and cash flows from servicing are rising

Despite the outlook for the industry, COOP continues to be one of the better performing names in our mortgage surveillance group.

Little attention is being paid to the collateral damage being done by the FOMC to the debt capital markets

Will the market risk created by quantitative tightening (QT) tip over a large bank or nonbank financial firm?

Until the FOMC raises interest rates to more “normal” levels, we don’t expect actual volatility to decline.

As the scale of Fed open market operations grew since 2008, volatility has increased, rendering the adjustment from QE to QT problematic

We expect to see reasonably strong earnings for commercial lenders in Q3 2022 as loan yields slowly rise...

Investors who were buying large caps at 2x book value a year ago are now running away from bank stocks just as fundamentals improve...

The assumption of price volatility on the part of consumers and business managers is at the heart of inflation expectations

The deflation of 2023 is about marking down all types of real assets to the price level that equates with a non-QE world.

Demand for risk-free collateral and liquidity is largely a function of how JPMorgan (JPM) CEO Jamie Dimon feels about risk on any given day

QE has created a gigantic interest rate mismatch across markets for banks, non-banks and other financial intermediaries including the GSEs

The real message to the FOMC is this: hike another 75bp in July and then let the Fed funds target sit for a few meetings...

Once again the US is coming out of a global crisis as the cleanest dirty shirt in the laundry.

In times of market volatility and suddenly ended delusions of easy money, the prudent path is to fly to quality.

Putting dollar leverage under crypto tokens – that is to say, under nothing – makes for infinite dollar risk.

A "normal" level for US bank deposits would be closer to $15 trillion than $19.9 trillion today.

Issuing CMOs via the GSEs could help the FOMC out of its trading mess, but represents a monumental irony.