CMBS blows out
The recent spread widening on Markit's CMBX indices indicates that contagion from RMBS is no longer a concern: the infection has happened. Here are the AAAs
170 over (Update: 200 over) is quite a chunky spread for paper with this degree of subordination. Note that in CMBS there are many fewer pieces of collateral - since each deal is individually so much bigger - so it really is possible to understand each asset backing the deal. I suspect that those people willing to go and measure the footfall in Alabama shopping centres and talk to office realtors in downtown Seattle will find that some of the underlying AAA bonds still look pretty good.
Meanwhile in the UK not only is the IPD showing sharp falls - 8.7% in Q4 2007 - but also investors are withdrawing money fast from commercial property funds. Or at least as fast as the funds will let them.
170 over (Update: 200 over) is quite a chunky spread for paper with this degree of subordination. Note that in CMBS there are many fewer pieces of collateral - since each deal is individually so much bigger - so it really is possible to understand each asset backing the deal. I suspect that those people willing to go and measure the footfall in Alabama shopping centres and talk to office realtors in downtown Seattle will find that some of the underlying AAA bonds still look pretty good.
Meanwhile in the UK not only is the IPD showing sharp falls - 8.7% in Q4 2007 - but also investors are withdrawing money fast from commercial property funds. Or at least as fast as the funds will let them.
Labels: ABS, Markets, Securitisation
posted by David Murphy at 11:30
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