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321 sats \ 1 reply \ @optimism OP 2 Jul 2025 \ parent \ on: Office CMBS Delinquency Rate Spikes to Record 11.1% in June (Wolf Street) econ

It's a bit obscure and I can't tell for sure if those MBS' held are only FNMA/FMAC/GNMA, but looking at little more detailed data from NYFed information, i see only F/GNMA in there, so that would mean it's only residential securities from HUD.

Apparently, there's been a FOMC policy since May 2024 that:

directed the Open Market Trading Desk at the Federal Reserve Bank of New York (the Desk) to lower the cap on monthly Treasury redemptions to $25 billion and keep the cap on monthly agency debt and agency mortgage-backed securities (MBS) redemptions unchanged at $35 billion.

So that explains the way that graph moves: it's simply capped at 35B a month. But that also means that these aren't MTM in any way, and the value of these MSBs are as fictional as the ones from 2008? Ugh?

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42 sats \ 0 replies \ @optimism OP 2 Jul 2025

Okay so I found more details here and I learned 3 things:

  1. The holdings are indeed all F/GNMA
  2. The MSBs get revalued every week

Then I downloaded a CSV for MSBs with the form at the bottom of that page with 6/18 and 6/25 data... and these seem to have lost value for...

17,638,065,700.96 = 17B in a week.

Now what I don't know yet is whether this is revaluation or partial sale. That's something for later

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