Saturday, March 5, 2011

GGP Prepays

In 2009, the market was so idiotic about extension risk that it priced current and next pay bonds with teen yields. The pendulum has swung fully the other direction in that part of the curve. As Citi noted on Friday, 6 GGP properties are very likely to refinance, and every one of the related front-pay bonds is not only pricing above par but also has a negative yield (as bad as -12.57%) if the loans prepay as is expected.

Bond Dollar Price Property 0/0 Full Prepay Yield
COMM 2001-J2A A2  $      102.29 Willowbrook Mall -3.39%
GCCFC 2004-GG1 A5  $      100.51 Deerbrook Mall 0.71%
GSMS 2001-GL3A A2  $      102.30 Northridge Fashion Center -1.88%
LBUBS 2005-C5 A2  $      102.28 Providence Place -5.50%
WBCMT 2004-C14 A2  $      101.46 Park Place Mall -1.69%
WBCMT 2006-C26 A2  $      104.75 The Woodlands Mall -12.40%

They also highlighted the "special consideration properties" that GGP has listed that are in CMBS deals where they intend to throw the keys back. The 2 in red have been transferred back to the lenders (they have stated that they have already thrown back the keys on 3 others).

Deal Loan PCT of Deal
WBCMT 2004-C11 Bay City Mall Bay City 2.8%
LBUBS 2006-C1 Chapel Hills Mall Colorado Springs 5.1%
CD 2005-CD1 Chico Mall Chico 1.0%
MSC 2006-HQ9 Country Hills Plaza Ogden 0.5%
WBCMT 2005-C22 Eagle Ridge Mall Lake Wales 1.9%
GECMC 2005-C4 Grand Traverse Mall Traverse City 3.9%
COMM 2006-C7 Lakeview Square Mall Battle Creek 1.8%
CGCMT 2008-C7 Mall St. Vincent Shreveport 2.8%
CGCMT 2007-C6 Moreno Valley Mall Moreno Valley 1.8%
MLCFC 2006-4 Northgate Mall Chattanooga 1.0%
MSC 2005-HQ6 Oviedo Marketplace Oviedo 2.1%
BSCMS 2006-PW14 Piedmont Mall Danville 1.4%
CSFB 2005-C3 Southland Center Mall Taylor 7.6%

Wheeler was a fine analyst and had big boots to fill, but I have to say that Jeffrey Berenbaum's new team is really doing a good job with this kind of analysis.

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