All 17 publicly traded REITs reported double-digit declines in their MBS portfolios during the first quarter, with six institutions now with portfolios less than $1 billion. (Includes data chart.)
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After non-agency MBS issuance all but froze in March, issuers are beginning to return to the market. Neuberger Berman issued a non-QM MBS this week and others are working on deals as well.
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Uncertainty regarding the performance of mortgages underlying its CRT in-vestments prompted PMT to boost the discount rate on its loans from just 5% at the end of the fourth quarter to about 11% as of March 31.
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Since March, spreads between SOFR and the three-month LIBOR have widened to roughly 80 basis points. The five-year average, which the ARRC recommends as a “spread adjustment,” is only 27 bps.
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The fight between WeWork and its tenants has cast doubt on the company’s ability to pay rent, which in turn will impact billions of dollars in commercial MBS.
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