Wednesday, May 23, 2012

Markit to use Trepp's CMBS Pricing...

Does anyone have an opinion on quality? I know IDC and BVAL can be grossly wrong in many cases.

Let's perform a test:
  1. perhaps someone who has Trepp can post 1 price for one bond as of last night, and we can compare to IDC and BVAL? 
  2. Let's try an AJ bond
  3. Must be a bond that someone is making a "real" market in, such as CB15 AJ, C29 AJ, PW17 AJ, etc...

7 comments:

Anonymous said...

Well none of them are perfect.. I'm entirely unfamiliar with Trepp's pricing or methodology but it's probably very similar BVAL or IDC. BVAL is often very very wrong, as is IDC, but less often.

Basically the question to me is - are any pricing sources good?

Also can provide the info for the IDC n BVAL.

crabsofsteel said...

the only pricing sources which are any good are trading desks, because they know they have to bid bonds close to where they mark them, and also have trade histories to look at. All these guys like Trepp do is look at the rating and matrix price given current spreads. Trepp may be somewhat better than the rest because they track loan mods.

Concrete Jungle said...

Well, theoretically IDC and BVAl capture actual trades too, and update their pricing accordingly.

I agree the best pricing source are the trading desks, but you generally don't want to use their prices on your funds. It's going to make your audit difficult to impossible to pass. You want to either use a model, or third party pricing. And it's really hard to tell investors that a price that is 50% of reality just isn't accurate, when it is the same price that is on the statement from Pershing (insert favorite Prime here).

crabsofsteel said...

Mark-to-model is a bad idea. For example, JPMCC 08-C2 AJ recently stopped getting paid. Every model in the universe will give it some positive value. Yet, a bond which will never receive another cashflow is worth 0. IDC may be tied into TRACE, and BVAL is mining quotes from Bberg emails, but the bond is worth $0. It's really that simple.

crabsofsteel said...

Great example: BVAL for the above bond, JPMCC 2008-C2 AJ, is in the hi 30s. It has not cashflowed for two months, nor is it likely to again. Another POS bond, MLCFC 2007-7 AJ which is mostly cashflowing although not for long, is BVALed in the low 20s. These models are even more meaningless in illiquid markets than the ratings agencies.

Concrete Jungle said...

Completely agree - does you/anyone have a Trepp and an IDC for those two bonds? Just for comparison's sake.

crabsofsteel said...

nope, sorry, don't have either of those. I have access to Trepp but not Trepp pricing. Nor IDC. I could price them for you, but only if hired.