Coming and Going

We have a lot of Treasury auctions this week, retail sales, gas. Most importantly, Wednesday is an recommended close for Veteran's Day, and I'm looking forward to watching the little cars with big guys in red fez hats zipping around on our little village's Main Street drag (or is that Memorial Day - I think I may end up being very disappointed if there are no fez's on Wednesday).

Spreads gapped wider for the week. There was a lot of selling as folks took profits off the table for the year, and very little buying as the same folks are waiting to see what kind of allocation they'll get for 2010. The holiday doldrums seemed to have started a few weeks early this year.















It felt like there was a huge uptick in downgrade activity this week, but I think it was just in the MSM a little more than usual. Within domestic CMBS, there were 280 rating actions last week, just slightly below the average 309 actions per week since August 1st. They were mostly negative with no upgrades, and just 8 cases where the watch status improved. S&P has always been the dominate CMBS rating agency, but they have been substantially more active (869 actions since 8/1/09) than either Moody's (302) or Fitch (646). The deals that had downgraded are listed below:

WBCMT 2007-C31
WBCMT 2007-C30
WBCMT 2006-WL7A
MLCFC 2007-5
JPMCC 2006-LDP7
GCCFC 2007-RR2
CSMC 2007-C4
CSFB 2001-SPGA
MSC 2005-T17
MLMI 1999-C1
JPMCC 2006-LDP8
CSFB 2005-TF2A
WBCMT 2005-C21
CSFB 2005-C4
BSCMS 2006-BBA7
BACM 2007-3
WBCMT 2006-C28
STRIP 2004-1A (these are some old ReREMIC deals mostly 3yr old A1s and A2s)
STRIP 2002-2A
STRIP 2002-1A
STRIP 2003-1A
MLCFC 2007-9
CMLT 2008-LS1