We have more data about commercial real estate securitization bread and butter – credit default swap index CMBX.

Last week I’ve posted about problems with series 2. Now it stands a little better:

CMBX-NA-A 2 update 2

CMBX-NA-A 2 index

But we have more news. Today the series 3 was released, here is the announcement. The problem is with pricing.

25-Apr-07 Overview
Index Series Version Coupon RED ID Spread High Low
CMBX-NA-A 3 3 1 62 137BEOAC8 60.64 60.64 60.64
CMBX-NA-AA 3 3 1 27 137BEPAC5 26.07 26.07 26.07
CMBX-NA-BBB 3 3 1 200 137BESAC9 183.93 183.93 183.93
CMBX-NA-BB 3 3 1 500 137BEMAB4 505.36 505.36 505.36
CMBX-NA-A 2 2 1 25 137BEOAB0 49.86 59.50 12.88
CMBX-NA-AA 2 2 1 15 137BEPAB7 21.21 23.67 8.75
CMBX-NA-BBB 2 2 1 60 137BESAB1 124.00 163.42 45.00
CMBX-NA-BB 2 2 1 180 137BEMAA6 384.21 423.57 160.00
CMBX-NA-AA 1 1 1 25 137BEPAA9 18.90 22.00 8.29
CMBX-NA-BBB 1 1 1 76 137BESAA3 85.00 105.50 34.58
 

The spread of A paper increased from 49.86 to 60.64. BBB paper spread is 183 comparing with 124 for series 2, and so one. It clearly looks that the secondary market demands much more profit for the risk, comparing with levels it was happy just few weeks ago.

The proper protection of all mortgage papers with credit default swaps is mandatory, but the sharp increase in the spread is eating into profits. This is a bright yellow light on the crossroad.

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