Agency Floaters & Cap Costs
Disclaimer * I work at a direct agency lender and have access to massive amounts of servicing data.
Just a PSA that if anyone here works at a shop that has taken on agency floating rate debt over the last few years, you need to be budgeting for your monthly escrow & reserve costs to increase anywhere from 10 - 15x in the coming months.
Agency floaters require servicers to mark-to-market their borrower's利率帽托管每6个月每6个月。现在，我们看到源自去年4月/5月/6月的交易的储备金几乎等于其IO付款。
On one deal in particular:
Prior Month Payment - ~$151k total ($114k interest / $31k tax escrow / $13k reserves (replacement reserves + interest cap escrow)
本月付款 - 总计29.7万美元（$ 127K的利息（基础增加index that仍低于打击率） / $ 53K税托管托管 / $ 116K储备金（替换储备 +利息帽托管托管）。
Just because you purchased your rate cap before the massive price hike & not facing an immediate expiration does not mean you're insulated from this market. Cash-on-cash about to take a hit...
Comments (10)
3 of the deals in my directAMportfolio have had this occur. Looking at forward curves for SOFR, ourinterest expense will literally翻倍,托管10 x等等。
您是否有任何可以分享的资源来解释这一点mark to marketprocess?
I don't understand why your cap escrow would increase so much if you purchased the cap before interest rates increase. Seems to me like the market to market would benefit you and your cap would be worth more.
编辑：我认为我已经回答了我的问题。房利美需要利率cap, but if your cap term is less than the loan term then you are required to make monthly payments to buy a replacement cap. As rates increase, the value of the replacement cap increases which would increase the monthly payment amount. Is this what you're referring to?
Themark to market不在您购买的上限上，它是根据贷款协议需要的下一个上限。
Typically on floating loans with a cap you don't buy a cap for the whole period, you typically purchase a 3 year cap and then your bank will make you escrow money to purchase a similar cap when that one expires to cover the next 3 years/remainder of the loan. The banks look at current/future cap pricing to determine how much you need to escrow. If cap costs go through the roof (which they have) then the bank will force you to escrow more.
查看贷款协议后，看来关闭时的初始罢工率也被固定为替换上限的天花板。即，如果您用1.90％的盖子关闭，则替换盖的打击率不能超过1.90％。
What may have been viewed as a prudent, conservative insurance policy 1-2 years ago could turn into a massive ongoingliability for some这些借款人。
Curious, is the rise in escrow costs for a replacement caps an agency thing or is it the same with banks that do 3-5 year floaters for value add deals as well?
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学到更多根据我的经验（这是非常无动的），机构需要它，而对于其他机构而言，它也有所不同。我们有一组不需要的贷款，而另一组则可以。
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