Bloomberg had an article
regarding JC Penney closures and their impact on CMBS out last week. It noted that JC Penney is the biggest tenant in the CMBS market (is this accurate?) and the move highlights the "widening chasm" between successful malls and dying malls.
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I highly doubt that JCP is the largest tenant in retail CMBS loans. One of the Trepp MKTM functions lists tenant exposures; easy to check but the data is not all that good as sometimes tenants are included which are not part of the collateral. More interesting (to me) is that come April Bloomberg is going to cease delivering Trepp cashflows to rely on their own (actually, Conquest's) model. Bloomberg's CMBS model is wrong. They shortfall IOs along with subordinate bonds, whereas IOs have the same priority as super-seniors for payment of interest. See for yourself by running YT on an IO class, toggling between Trepp and Bloomberg cashflows using MDF.
(continued from last) with a positive CDR and loss severity
Agreed. And if you really want a headache try figure out what they're doing with Resi Inverse IOs in YT - cut the index to F (Forward LIBOR curve) or C (Flat at current LIBOR level) - the answers are bizarre. I talked with them and thought I had a workaround figured out, but the more I test it the more apparent the numbers are just incorrect. Frankly the only reason we use Bloomberg over the others is because all the dealers use it for messaging, but how can you justify using something that gives you wrong answers? That's becoming harder and harder.
I know they're not great for non-agency RMBS, but is what you say true for inv. floters in agency CMOs? That would surprise me as I thought they had these modeled correctly (but it is a space I have not worked in for a long time).
They changed something substantial during the 4th quarter of 2013. To put it in perspective, using YT OLD (pre 4Q13) and YT (post 4Q13) on any given Agency IIO can create results that are -15% yields in one and +15% yields in the other. I have screenshots from bonds before and after too, and the answers are just very very different. I still haven't figured out exactly what is going on, but have been trying to.
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