FICC Focus Macro Matters: Mortgage-Market Update With BI’s Erica Adelberg
Sep 25, 2025
Erica Adelberg, Head of Mortgage Strategy at Bloomberg Intelligence, brings her expertise in mortgage-backed securities and market structure to the discussion. She dives into the refinance opportunity with nearly $1 trillion in incentives, impacting MBS pricing and prepayment risks. The conversation covers how non-bank lenders enhance borrower choices and the dynamics of cash buyers and investors in today’s market. Erica also explains the implications of the Fed's balance sheet runoff and current buyers in the mortgage sector, painting a comprehensive picture of today's mortgage landscape.
AI Snips
Chapters
Transcript
Episode notes
Large Refinanceable Mortgage Stock
- About $1 trillion of recent mortgages now have enough incentive to refinance if rates stay low.
- Higher-coupon loans carry elevated negative convexity because borrowers and nonbank lenders are refi-sensitive.
Higher Coupons Lag Despite Sector Strength
- Mortgage spreads tightened as investors priced in Fed easing and demand from banks and others.
- But higher-coupon pools lag because they face greater prepayment/refinancing risk.
Seek Specified Pools For Prepayment Shelter
- Favor specified pools to reduce prepayment exposure when refinancing risk rises.
- Seek payups on specified pools as shelter from worst-to-deliver TBA volatility.