Tuesday, April 7, 2009

S&P Places 2,648 classes on Watch - Over 100 are AAAs

S&P placed over 100 CMBS AAAs including 20% super seniors, AJs, and IOs on Rating Watch Negative this morning.

Again, this is not unexpected and is in fact an extremely delayed reaction on their part. The 20% super seniors (these are prior to the 30% super dupers - I hate that word) are a bit of a surprise, but not really. I expect this will reign in some of the tightening temporarily, but look for spreads to continue their momentum tighter until some truly bad news regarding CRE starts rolling in.

These little tidbits about 15% price declines, John Hancock, and 1.8% delinquency rates aren't really *bad enough* to drive prices lower than the already distressed prices in the market. Frankly, PPIP et. al. are not good enough to whip prices higher at a faster pace either.


In Debt We Trust said...

Any thoughts if CRE is supposed to enter the TALF program?

Dark Space said...

The current version allows for CMBS currently rated AAA by two or more rating agencies... With S&P's much anticipated actions on AJs, this will limited to AMs and dupers only - but that is around 80% of the deal anyway.

In Debt We Trust said...

OK. Thanks. I trade mostly equities and options on bond futures. The only exposure I've had to the OTC market has been in spot forex.

I'm still learning. Thanks for taking the time to correct me.