CMBS in a Top Position when Risk-On Trade Returns

From Chris DeReza @ Bloomberg (sorry no link):

Sept. 26 (Bloomberg) -- As Treasury yields hit new lows, investors should see even greater value in CMBS spreads that still provide one of the highest AAA-rated yields available above 3%, Amherst debt analysts led by Darrell Wheeler write in client note.

• CMBS AAA legacy spreads have given up most of 2011 rally, moved from S +175bps to +325bps
• Have underperformed IG corporate spreads that are out only 15bps in second half of 2011
• This is relative to CMBS AAA widening, which is more in line with riskier high yield spread widening of 196bps: Wheeler
• Buying earlier last week suggested investors are questioning how much European crisis should affect U.S. economy
• "When investors start to move money from the sidelines and back into risk assets this dislocation should put CMBS bonds at the top of the shopping list as they provide one of the last remaining relative yields in an uncertain economic environment": Wheeler
• 30% enhancement of legacy deals withstands default scenarios in any double dip recession projection while “simplicity of the credit math is compelling"

Wheeler to join Amherst Securities

From Bloomberg (no link):

Wheeler will join the company early in 2010 as head of CMBS strategy and “the company intends to build a comparable operation” to its residential-mortgage bond business, Amherst said today in an e-mailed statement...
... “We are very pleased to welcome an executive of Darrell’s caliber,” Amherst Chairman and Chief Executive Officer Sean Dobson said in the statement. “Together with Laurie Goodman, who oversees our RMBS strategy efforts, we believe Amherst is
now poised to provide more knowledge, insight and reliable data on the entire mortgage industry than any other broker-dealer.”