MBS

A white paper released Monday by the Alternative Reference Rates Committee outlined how issuers could (and perhaps should) model new floating-rate transactions using a compounded version of the interbank overnight rate instead of Libor.

The lasting effects of work-from-home practices driven by the COVID-19 pandemic could slash some office property values to less than half of their original value – and lead to rating downgrades on affected CMBS transactions, according to Fitch Ratings.

The Blackstone-affiliated company recently took out a cash-out refi mortgage for a 17-property portfolio, an opportunity aided by high demand for its R&D facilities for COVID-19 research.

The sponsor has refrained from multi-borrower deals since March 2020, but has pooled together 28 loan participations from 40 properties – including notable concentrations in retail and lodging.

Three announced deals from Woodward Capital, Redwood Trust and Wells Fargo are set to price before the end of the month; additional transactions are expected soon from Morgan Stanley and Goldman Sachs.

The deal is only the third post-crisis securitization of higher-risk manufactured housing assets, following deals in 2019 and 2020 that were sponsored by FirstKey Mortgage.

Ratings agencies describe a "notable" concentration of alternative-income mortgages in the nonforming pool that were underwritten by Ellington-affiliated LendSure.

In their detailed presentation to the FOMC last month, Fed staff “assessed asset valuation pressures as elevated” — their highest characterization of risk.

Morningstar Credit Ratings LLC let analysts make undisclosed adjustments that resulted in higher ratings of mortgage-backed securities for issuers that paid for the rating, the U.S. Securities and Exchange Commission said in a lawsuit against the rating agency.

The best mortgage bonds to buy now may be the ones the Federal Reserve is purchasing, because the securities might benefit the most if macro optimism fades.