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.