BACM 2007-1. The FED has accepted a few bonds off of it, then rejected one, then accepted one in December. Then yesterday they came out and said it was an error to accept it this last time, and they wouldn't accept it again at the current market price.
The, er, logic continues to baffle investors.
Also, what does price have to do with their TALF decision? If they don't think its worth PAR in the stress scenario they shouldn't be lending money on it - right?
Showing posts with label Dig For Fire. Show all posts
Showing posts with label Dig For Fire. Show all posts
Wednesday, January 6, 2010
Friday, May 22, 2009
REIT Maturities, Dig For Fire
Despite the whipsawing we're seeing CMBS spreads, there still hasn't been the "wave of mutilation" that everyone is expecting to see in the CRE space. But fear not, "stormy weather" is coming, and it's easy enough to "gouge away" at some of the obvious points - such as REIT loan maturities in '09 and '10.
We still have about $2.3 billion in REIT CMBS maturities over the rest of 2009, and $6.5 billion in 2010. Of the total from those two years, $6.5 billion is in the Conduit universe. The plot thickens past 2010, but this is a humble blog with no revenue other than ads (that no one clicks on). Please email credarkspace@gmail.com for further analysis and wiring details :).
There are actually some '06 vintage deals with heavy concentrations maturing in 2010 - these are 5-year loans originated in late '05. They include the Colonial Mall Glynn Place ($23mm - MLCFC 2006-1, CLP), Kenwood Town Center ($147mm - MLCFC 2006-1, GGP), and Alderwood Mall ($108.6mm - MSC 2006-T21, GGP).
Deals with heavy concentrations (>10%) of maturing REIT debt between now and end of 2010 include:
On the one hand, you have original LTVs that are very low (between 55 and 68%), appreciation in all of these loans (even the shortest), high DSCR ratios, etc. and one would expect that these loans would have no problem refinancing in any market. On the other hand, you have the experience we just witnessed with GGP loans that also met all of those criteria. It seems the salient point in regards to the CMBS deals are the threat of extension, rather than actual losses, so you like IO and credit, and don't like short dupers on these deals.
The obvious other angle is to look at which REITs have the toughest mortgage maturity schedule. Some more work is required to fully analyze this, but a quick look and some challengeable (I might be making up a word here or there) data from Bloomberg, highlights a few names
GGP is an obvious winner, but DDR has 21 properties with loans maturing over the next 18 months accounting for over 9% of their total debt outstanding, and nearly 20% of their CMBS debt outstanding. The next one in the list is Regency with $388mm maturing, over 18% of their total debt, and more than 40% of their outstanding CMBS.
Obviously there is much more to be done to really identify the right place to make a play here, but we'll post follow-ups. For what it is worth, I think the equity play is a little hard, because given what is priced into CMBS (despite the rally), equities are too rich, but all the names above are represented in the SRS ETF - probably better to short particular names though, if you're going the equity route. I think the plays are in the debt space. This is actually part 2 on Maturity Waves - see Part I, Wave of Mutiliation, published back in November 2008.
*I corrected the ticker to CLP for Colonial Properties Trust...
We still have about $2.3 billion in REIT CMBS maturities over the rest of 2009, and $6.5 billion in 2010. Of the total from those two years, $6.5 billion is in the Conduit universe. The plot thickens past 2010, but this is a humble blog with no revenue other than ads (that no one clicks on). Please email credarkspace@gmail.com for further analysis and wiring details :).
There are actually some '06 vintage deals with heavy concentrations maturing in 2010 - these are 5-year loans originated in late '05. They include the Colonial Mall Glynn Place ($23mm - MLCFC 2006-1, CLP), Kenwood Town Center ($147mm - MLCFC 2006-1, GGP), and Alderwood Mall ($108.6mm - MSC 2006-T21, GGP).
Deals with heavy concentrations (>10%) of maturing REIT debt between now and end of 2010 include:
| DEAL | REIT Loans Mat. '09 & '10 |
| WBCMT 2003-C8 | 25.5% |
| GMACC 2000-C3 | 23.1% |
| CCMSC 1999-C2 | 16.6% |
| MSDWC 2001-T1 | 13.0% |
| BSCMS 2000-WF2 | 12.9% |
| JPMCC 2005-LDP4 | 12.4% |
| WBCMT 2003-C9 | 11.6% |
| MLMT 2004-KEY2 | 10.6% |
| CSFB 2001-CK1 | 10.5% |
On the one hand, you have original LTVs that are very low (between 55 and 68%), appreciation in all of these loans (even the shortest), high DSCR ratios, etc. and one would expect that these loans would have no problem refinancing in any market. On the other hand, you have the experience we just witnessed with GGP loans that also met all of those criteria. It seems the salient point in regards to the CMBS deals are the threat of extension, rather than actual losses, so you like IO and credit, and don't like short dupers on these deals.
The obvious other angle is to look at which REITs have the toughest mortgage maturity schedule. Some more work is required to fully analyze this, but a quick look and some challengeable (I might be making up a word here or there) data from Bloomberg, highlights a few names
| REIT | CMBS Maturing '09 and '10 |
| GGP | 2,252,552,611 |
| DDR | 548,001,132 |
| Regency | 387,626,486 |
| SPG | 374,168,033 |
| CLP | 340,774,373 |
| Education Realty | 285,103,248 |
| Macerich | 232,196,599 |
| Extra Space | 227,650,000 |
| CBL & Assoc. | 166,635,022 |
| EPT | 150,000,000 |
| Equity Lifestyle | 144,131,062 |
| Host | 135,000,000 |
| Taubman | 132,098,802 |
| LaSalle Hotel | 126,669,370 |
| U-Store-It Trust | 103,662,495 |
GGP is an obvious winner, but DDR has 21 properties with loans maturing over the next 18 months accounting for over 9% of their total debt outstanding, and nearly 20% of their CMBS debt outstanding. The next one in the list is Regency with $388mm maturing, over 18% of their total debt, and more than 40% of their outstanding CMBS.
Obviously there is much more to be done to really identify the right place to make a play here, but we'll post follow-ups. For what it is worth, I think the equity play is a little hard, because given what is priced into CMBS (despite the rally), equities are too rich, but all the names above are represented in the SRS ETF - probably better to short particular names though, if you're going the equity route. I think the plays are in the debt space. This is actually part 2 on Maturity Waves - see Part I, Wave of Mutiliation, published back in November 2008.
*I corrected the ticker to CLP for Colonial Properties Trust...
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