Monday, February 28, 2011

Louis Ranieri on RMBS in 2011

Skip to 4:00 minutes.

  • Have to have a functioning MBS market again, but it has to be better.
  • Covered bonds don't work for 30-year loans.
  • Early 2002 was the beginning of the end with new MBS and mortgage structures
  • The CDO was the straw that broke the camels back - the traditional subordinate tranche buyer who was sophisticated, was replaced with the CDO buyer.
  • Core problem is still the same - no fiduciary responsibility (but he misspoke - brokers who sell a stock to a widow does not have any fiduciary duty, historically anyway).

This is mostly resi - I actually dug it up b/c Crabs of Steel mentioned he had said something about CMBS, but the video doesn't last long enough for that bit - couldn't find it with the google service either. If anyone has a link, shoot it over to me.

Wednesday, February 23, 2011

If you can't spot the sucker in the first half hour at the table, then you ARE the sucker.

From Bloomberg:
Hartford Financial Services Group Inc. Chief Investment Officer Gregory McGreevey, who slashed commercial-property holdings during the market slump, is betting on a rebound by expanding the insurer’s real-estate financing.
“The real-estate market in total has likely bottomed in terms of its price declines,” McGreevey said of commercial property in an interview at Bloomberg headquarters in New York yesterday. “Most of our opportunities are in direct whole-loan investments where we can find good properties at attractive prices.”

So, just to be clear, we sold CMBS bonds to these jokers at the peak - the worst of the worst. If it was a bunch of small balance dentists' offices with their lake house as part of the collateral, The Hartford ate it up. Then they sold at the trough, again, to me, just in a different chair. Now, once prices have recovered (but many think the sector still has a way to go), they're getting long again.

I'm actually going to stop talking and put together a BWIC of overpriced AJs to send their way right now...

Friday, February 18, 2011

Freddie 2011-K701

Tr Size(mm) WAL Launch
A1 83.315 3.74 +50
A2 777.972 6.57 +65
X1 861.287 6.29

Note, both these spreads are at $101 dollar prices.

NCUA 2011-C2 ($840b)

The WSJ describes it as such:

The bond, backed by commercial mortgages, has two tranches and Barclays Capital is leading the deal. Price guidance on the $605 million, 6.05-year tranche is in the area of 53 to 55 basis points over one-month London interbank offered rate, or Libor. On the $235 million, 5.21-year portion, it is in the area of 33 to 35 basis points over one-month Libor.

NCUA is also working on a $1.253b 10-year resi deal NCUA 2011-R2.

Wednesday, February 16, 2011

CMBS Border's Exposure

Ultimately I identified 32 of the 200 closures that are in CMBS deals (Bodamer notes that there may be 75 more coming). The two largest balance ones in the list below are part of Centro portfolios, so the actual exposure is much less. Again, very happy to clean this up further and do a more thorough analysis just as soon as someone deposits the $25k research fee in my paypal account ;-).

Click here for the list! I'll paste it below, but Blogger is going to cut off half the info...

CMBS Deal Loan Balance Maturity Date Current Loan Status
Store #
Name Address City State Zip Code Square Feet
BACM 2004-4 39,715,516 1-Jan-14 Perform(w) 29 Vienna 8027 Leesburg Pike, Ste 100 Vienna VA 22182 29,892
JPMCC 2007-CB18 226,109,468 1-Dec-16 Perform 60 Manchester 59 Pavilions Drive Manchester CT 6040 25,002
ASC 1997-D5 51,694,839 11-Jul-12 Perform 116 Dayton 2700 Miamisburg Centerville Rd, Ste 870 Dayton OH 45459 22,000
DBUBS 2011-LC1A 36,632,537 6-Jan-21 Perform 132 Cary 1751 Walnut Street Cary NC 27511 27,236
LBUBS 2006-C6 10,280,610 11-Jun-16 Perform 134 Greensboro 3605 High Point Rd Greensboro NC 27407 30,213
MSC 2003-IQ6 2,735,209 1-Nov-18 Perform(w) 151 Oklahoma City 3209 Northwest Expressway Oklahoma City OK 73112 20,630
GSMS 2010-C2 7,476,586 6-Oct-15 Perform 172 Columbus 6670 Sawmill Road Columbus OH 43235 27,500
CD 2007-CD5 3,742,973 1-Jul-17 Perform 174 Bowie 4420 MitchellviHe Rd. Bowie MD 20716 30,000
WBCMT 2007-C34 4,257,000 11-Jun-17 Perform 175 Reading 1075 Woodland Rd Reading PA 19610 25,015
DLJCM 1998-CF1 9,656,727 1-Nov-17 Perform 189 Richfield 800 W. 78th Street Richfield MN 55423 25,449
WBCMT 2003-C9 67,406,764 1-Aug-13 Perform(w) 254 Ocoee 9441W. Colonial Drive Ocoee FL 34761 25,000
MSC 2005-HQ5 11,226,783 8-Dec-14 Perform 263 Pasadena 475 S. Lake Avenue Pasadena CA 91101 40,000
GSMS 2004-GG2 5,598,413 1-Mar-14 Perform 280 Metarie 3131 Veterans Memorial Blvd. Metarie LA 70002 25,231
LBUBS 2006-C6 140,000,000 11-Sep-16 Perform 329 Chesterfield 2040 Chesterfield Mali Chesterfield MO 63017 26,000
CSFB 2003-CPN1 73,303,234 11-Nov-12 In Foreclosure 347 Cincinnati 9459 Colerain Avenue Cincinnati OH 45251 21,208
BAFU 2001-3 14,990,278 1-Jan-11 Matured Non Performing 355 Gainesville 6837 Newberry Road Gainesville FL 32605 22,925
JPMCC 2010-C1 12,274,140 1-Mar-20 Perform
Modesto 3900 Sisk Rd Modesto CA 95356 24,995
BSCMS 2005-T18 8,736,321 9-Feb-15 Grace 362 San Diego 668 6th Avenue San Diego CA 92101 33,000
GCCFC 2005-GG5 64,580,000 6-Jul-15 Perform 374 Los Angeles 6081 Center Dr, Suite 118 Los Angeles CA 90045 25,000
WBCMT 2006-C28 24,000,000 11-Aug-16 Perform(w) 408 St. Charles 3539 E Main St. Charles IL 60174 24,893
CSFB 2003-C3 9,104,392 1-Apr-13 Perform(w) 413 Greeley 2863 35th Ave Greeley CO 80634 23,223
BSCMS 2007-PW17 15,500,000 5-Jul-17 Perform 462 Colleyville 5615 Colleyville Blvd, Ste 100 Colleyville TX 76034 23,000
PCMT 2003-PWR1 14,788,461 1-Feb-13 Grace 480 Bolingbrook 161 N. Webber Bolingbrook IL 60490 25,000
BSCMS 2004-T16 3,134,649 1-Oct-21 Perform 490 Chapel Hill 1807 Fordham Blvd. Chapel Hill NC 27514 25,266
CSMC 2006-C5 3,323,954 11-Sep-11 Perform 497 Chino 3833 Grand Avenue Chino CA 91710 25,000
WBCMT 2004-C10 3,587,549 11-Jan-14 Perform 503 McHenry 2221 Richmond Road McHenry IL 60050 23,800
MSC 2007-T27 4,140,000 1-Jun-14 Perform 504 Carme! 2381 Pointe Parkway Carmel IN 46032 23,195
JPMCC 2005-LDP2 6,941,289 11-Jun-15 Perform 516 Normal 200 A North Greenbriar Drive Normal IL 61761 23,000
BSCMS 2007-T26 22,035,000 1-Dec-16 Perform
Chicago 6103 N. Lincoln Avenue Chicago IL 60659 24,500
BACM 2006-1 10,292,873 1-Jan-16 Perform 518 West Lafayette 348 E. State Street West Lafayette IN 47906 20,000
GCCFC 2004-GG1 9,630,923 1-Mar-14 Perform 541 Mesquite 2709 N.Mesquite Drive Mesquite TX 75150 23,000
MSC 2005-IQ10 18,886,415 1-Apr-15 Perform(w) 626 Sarasota 3800 S.Tamiami Trail Sarasota FL 34239 21,239

Borders closing a couple hundred stores

Bodamer reports.

Our Exposure List.

Top retail bankruptcies this century (link from Bodamer's post).

UPDATE - here's a list. At least 36 are in CMBS deals - I'll post a list after I finish my phat lunch...

Monday, February 14, 2011

New Issue Pricings from last week

DBUBS 2011-C1 (2/8) MSC 2011-C1 (2/10)
AAA 10yr S+120 S+105
AA S+165 S+140
A S+195 S+175
BBB- S+295 S+225