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Tracking market movements and macro signals that impact our members, and the performance of businesses and consumers that our market supports
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SFJournal: Reassessing the Single-Family Agency CMO Market: Implications for MBS Pool Liquidity
This paper lays out a transparent data structure designed to produce a clean dataset that serves as a benchmark for the Agency Single-Family Collateralized Mortgage Obligations (CMO) market. We establish the integrity of the new dataset through the application of simple accounting identity, which is both internally consistent and transparent. The paper concludes with two applications of the dataset. First, it examines the relationship between CMO lockup ratios and the market shares of Agency MBS production. Second, it discusses mortgage market and security liquidity in the context of float rates at the Agency, tranche and security levels.
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SFA Research Pieces
SFAcademy: The Bootcamp Series
January 20, 2025
The Structured Finance Association (SFA) has launched a new structured finance education program, the SFAcademy. Every other week, new content will be added to our inaugural Bootcamp Series. Our Modules are designed to introduce the fundamentals of securitization and various securitized asset classes through accessible explanations and real-life examples to practitioners of all levels.
Amount Funded By
Our Market
Total Securitizations Outstanding in Trillions (Year-End 2020)
Total 2022 YTD Private Market Securitization $745 Billion
In The News
Egan-Jones Removed from Bermuda Monetary Authority’s Recognized Credit Ratings Providers
Egan-Jones Ratings Co. is no longer listed by the Bermuda Monetary Authority among the ratings providers that can inform an insurer’s solvency capital requirements in…
WSJ: Build-to-Rent Industry Stands to Gain from Recent Executive Order
The WSJ reports that President Trump’s recent Executive Order targeting institutional investors that buy single-family homes exempts the build-to-rent (BTR) investors. Rather than purchase existing housing stock,…
U.S. FHFA Releases New HPI Showing 0.6% Rise
On January 27, the U.S. Federal Housing Agency (FHFA) released their monthly House Price Index (HPI) for November 2025. The report details a 0.6 percent…
FT: Long-Term Unemployment in the U.S. at a 4-Year High
According to the Financial Times, long-term unemployment is at its highest since 2021 pandemic rates. The most recent data shows that finding a new job…
Federal Reserve Keeps Interest Rates Unchanged
In a press release following the Federal Reserve’s January 28th meeting, the Committee reached a decision to maintain the target range for the federal funds rate at 3‑1/2…
