If you are holding BSCMS 2006-T24 AJ, it may be too late. It just lost half of its credit support due to liquidation of a large loan deemed non-recoverable. Whoops!
Ooh! MS moved their market on it down to 96.5 / 98.5 ... for 4% of real credit support. Either MS doesn't know what happened, or more likely, they think we don't know what happened.
I understand that you appreciate the anonymity but it would be fantastic if you could do a post on how/why you'd value the AJ for the BSCMS 06-T24. (inputs, software, other factors, etc)
If you're not up to the task, no worries, but keep in open mind because it would be really interesting for the uninformed.
Not hard at all. The 1st thing to do is to determine the real level of credit support. MTCS on Bloomberg, Trepp deal snapshot, or Intex Quick summary will all show that nominal credit support is 5.6%, which is about where new-issue BBs are being done, dollar price in the 80s. However, there have been further appraisal reductions in T24 (due to reappraisals of properties backing defaulted loans) which are future losses waiting to happen so that REAL credit support is only 4%. Trades are being done at $10 per point of credit support, which I think is nuts, but which would situate the AJ in the 40s range.
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If you are holding BSCMS 2006-T24 AJ, it may be too late. It just lost half of its credit support due to liquidation of a large loan deemed non-recoverable. Whoops!
@ crABS
Wait, you mean I shouldn't have bought that @ par!@?!?
You still can if you'ld like, as that's the offer side I see on Bberg.
Ooh! MS moved their market on it down to 96.5 / 98.5 ... for 4% of real credit support. Either MS doesn't know what happened, or more likely, they think we don't know what happened.
maybe it's me who is a dpe but this bond just covered at 95-10 ... once again, for 4% real credit support ... the market has gone silly
@ crabsofsteel
I understand that you appreciate the anonymity but it would be fantastic if you could do a post on how/why you'd value the AJ for the BSCMS 06-T24. (inputs, software, other factors, etc)
If you're not up to the task, no worries, but keep in open mind because it would be really interesting for the uninformed.
Not hard at all. The 1st thing to do is to determine the real level of credit support. MTCS on Bloomberg, Trepp deal snapshot, or Intex Quick summary will all show that nominal credit support is 5.6%, which is about where new-issue BBs are being done, dollar price in the 80s. However, there have been further appraisal reductions in T24 (due to reappraisals of properties backing defaulted loans) which are future losses waiting to happen so that REAL credit support is only 4%. Trades are being done at $10 per point of credit support, which I think is nuts, but which would situate the AJ in the 40s range.
+1 thank you crabsofsteel
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