secondarymortgage.comMonthly Yield Curve Review
How spread changes map to loan segment behavior—not just rate moves but relative demand and repricing dynamics across tiers.
The review isolates spread shifts by loan size, distinguishing certain under-$500k, conforming, and jumbo loan segments. Spread compression often coincides with rising refi volumes in the under-$500k segment as GSE repricing lags behind rate drops, while jumbos may widen as private-label demand lags during rate volatility.
LTV bands reveal where prepayment sensitivity drives spread behavior: spreads narrow in low-LTV tranches during falling rate environments due to lower extension risk, but widen in high-LTV bands if job market indicators signal rising delinquency risk. The report tracks these dynamics against macro signals like unemployment claims and housing affordability indices.
Credit tier movement is driven by investor appetite shifts and risk retention rules affecting agency versus non-agency flows. As investment-grade credit tiers tighten, the spread differential versus high-yield tiers compresses; widening often signals stress in the alternative documentation or thin-file segments. The review cross-references agency MBS factor trends with private-label loan-level data to pinpoint inflection points.
