Wednesday, March 18, 2009

Mark-to-market FSPs released today

FSPs are the "FASB Staff Position" on proposals. They have some initial guidance and proposals, and allow for feedback from the market.

Here's the one on FAS 157-e and here is the one on the related 115-e, 124-e and EITF 99-20b.

I'm not sure if CMBS makes the cut based on the factors their using to determine a non-existent market place (in FAS 157-e). CMBS are actively traded, and bid-ask spreads aren't really that wide (their pretty narrow at the AAA level) relatively speaking. Although you can get widely disperse pricing on comparable bonds from EJV or whatever pricing service you use, you get close to the same answer if you go to Barcleh or BancOfAmerillwide - and they price the entire market every day for their indices. The only factor that CMBS seems to qualify for is the "Abnormal liquidity risk premiums... blah blah ... compared to reasonable estimates".

The other docs really don't seem to effect CMBS differently than they have in the past. They both note that if management does not anticipate selling the security before recovery, and using reasonable estimates... type of language. I need to read through them in more detail, and I'll post an update if I get any more out of it.

No comments: