Today I saw a chart very similar to late February panic in the subprime CDS market in late February. That time I’ve got a very timely warning to predict the February 27 crash few days in advance.

It’s deja vu all over again:


The CMBX-NA-A 2 index, protecting commercial mortgage CDO papers of Banc of America, Citigroup, Morgan Stanley, Wachovia and few others. This is class A paper, investment grade.

The loss of 23 bp in just few days with coupon income of 25 bp represents the loss of 11 months of income. It’s not that bad as subprime crash February 23rd, when 5 years of income was erased in one day, but it’s a lot. Btw, Chinese stock index fell after that, like it fell today. Interesting.

If this chart doesn’t get back tomorrow then I predict good market crash next week. This chart means run, run, run!

Edit: There is another blog about CMBX/CMBS. It tells that total outstanding value of those mortgages is $770 bln. So yesterday crash is no joke. Let see how it unfolds.