Louis Ranieri on RMBS in 2011

Skip to 4:00 minutes.

• Have to have a functioning MBS market again, but it has to be better.
• Covered bonds don't work for 30-year loans.
• Early 2002 was the beginning of the end with new MBS and mortgage structures
• The CDO was the straw that broke the camels back - the traditional subordinate tranche buyer who was sophisticated, was replaced with the CDO buyer.
• Core problem is still the same - no fiduciary responsibility (but he misspoke - brokers who sell a stock to a widow does not have any fiduciary duty, historically anyway).

This is mostly resi - I actually dug it up b/c Crabs of Steel mentioned he had said something about CMBS, but the video doesn't last long enough for that bit - couldn't find it with the google service either. If anyone has a link, shoot it over to me.

If you can't spot the sucker in the first half hour at the table, then you ARE the sucker.

From Bloomberg:

Hartford Financial Services Group Inc. Chief Investment Officer Gregory McGreevey, who slashed commercial-property holdings during the market slump, is betting on a rebound by expanding the insurer’s real-estate financing.
“The real-estate market in total has likely bottomed in terms of its price declines,” McGreevey said of commercial property in an interview at Bloomberg headquarters in New York yesterday. “Most of our opportunities are in direct whole-loan investments where we can find good properties at attractive prices.”

So, just to be clear, we sold CMBS bonds to these jokers at the peak - the worst of the worst. If it was a bunch of small balance dentists' offices with their lake house as part of the collateral, The Hartford ate it up. Then they sold at the trough, again, to me, just in a different chair. Now, once prices have recovered (but many think the sector still has a way to go), they're getting long again.

I'm actually going to stop talking and put together a BWIC of overpriced AJs to send their way right now...

Freddie 2011-K701

Tr	Size(mm)	WAL	Launch
A1	83.315	3.74	+50
A2	777.972	6.57	+65
X1	861.287	6.29

Note, both these spreads are at $101 dollar prices.

NCUA 2011-C2 ($840b)

The WSJ describes it as such:

The bond, backed by commercial mortgages, has two tranches and Barclays Capital is leading the deal. Price guidance on the $605 million, 6.05-year tranche is in the area of 53 to 55 basis points over one-month London interbank offered rate, or Libor. On the $235 million, 5.21-year portion, it is in the area of 33 to 35 basis points over one-month Libor.

NCUA is also working on a $1.253b 10-year resi deal NCUA 2011-R2.

CMBS Border's Exposure

Ultimately I identified 32 of the 200 closures that are in CMBS deals (Bodamer notes that there may be 75 more coming). The two largest balance ones in the list below are part of Centro portfolios, so the actual exposure is much less. Again, very happy to clean this up further and do a more thorough analysis just as soon as someone deposits the $25k research fee in my paypal account ;-).

Click here for the list! I'll paste it below, but Blogger is going to cut off half the info...

CMBS Deal	Loan Balance	Maturity Date	Current Loan Status	Store #	Name	Address	City	State	Zip Code	Square Feet
BACM 2004-4	39,715,516	1-Jan-14	Perform(w)	29	Vienna	8027 Leesburg Pike, Ste 100	Vienna	VA	22182	29,892
JPMCC 2007-CB18	226,109,468	1-Dec-16	Perform	60	Manchester	59 Pavilions Drive	Manchester	CT	6040	25,002
ASC 1997-D5	51,694,839	11-Jul-12	Perform	116	Dayton	2700 Miamisburg Centerville Rd, Ste 870	Dayton	OH	45459	22,000
DBUBS 2011-LC1A	36,632,537	6-Jan-21	Perform	132	Cary	1751 Walnut Street	Cary	NC	27511	27,236
LBUBS 2006-C6	10,280,610	11-Jun-16	Perform	134	Greensboro	3605 High Point Rd	Greensboro	NC	27407	30,213
MSC 2003-IQ6	2,735,209	1-Nov-18	Perform(w)	151	Oklahoma City	3209 Northwest Expressway	Oklahoma City	OK	73112	20,630
GSMS 2010-C2	7,476,586	6-Oct-15	Perform	172	Columbus	6670 Sawmill Road	Columbus	OH	43235	27,500
CD 2007-CD5	3,742,973	1-Jul-17	Perform	174	Bowie	4420 MitchellviHe Rd.	Bowie	MD	20716	30,000
WBCMT 2007-C34	4,257,000	11-Jun-17	Perform	175	Reading	1075 Woodland Rd	Reading	PA	19610	25,015
DLJCM 1998-CF1	9,656,727	1-Nov-17	Perform	189	Richfield	800 W. 78th Street	Richfield	MN	55423	25,449
WBCMT 2003-C9	67,406,764	1-Aug-13	Perform(w)	254	Ocoee	9441W. Colonial Drive	Ocoee	FL	34761	25,000
MSC 2005-HQ5	11,226,783	8-Dec-14	Perform	263	Pasadena	475 S. Lake Avenue	Pasadena	CA	91101	40,000
GSMS 2004-GG2	5,598,413	1-Mar-14	Perform	280	Metarie	3131 Veterans Memorial Blvd.	Metarie	LA	70002	25,231
LBUBS 2006-C6	140,000,000	11-Sep-16	Perform	329	Chesterfield	2040 Chesterfield Mali	Chesterfield	MO	63017	26,000
CSFB 2003-CPN1	73,303,234	11-Nov-12	In Foreclosure	347	Cincinnati	9459 Colerain Avenue	Cincinnati	OH	45251	21,208
BAFU 2001-3	14,990,278	1-Jan-11	Matured Non Performing	355	Gainesville	6837 Newberry Road	Gainesville	FL	32605	22,925
JPMCC 2010-C1	12,274,140	1-Mar-20	Perform	357	Modesto	3900 Sisk Rd	Modesto	CA	95356	24,995
BSCMS 2005-T18	8,736,321	9-Feb-15	Grace	362	San Diego	668 6th Avenue	San Diego	CA	92101	33,000
GCCFC 2005-GG5	64,580,000	6-Jul-15	Perform	374	Los Angeles	6081 Center Dr, Suite 118	Los Angeles	CA	90045	25,000
WBCMT 2006-C28	24,000,000	11-Aug-16	Perform(w)	408	St. Charles	3539 E Main	St. Charles	IL	60174	24,893
CSFB 2003-C3	9,104,392	1-Apr-13	Perform(w)	413	Greeley	2863 35th Ave	Greeley	CO	80634	23,223
BSCMS 2007-PW17	15,500,000	5-Jul-17	Perform	462	Colleyville	5615 Colleyville Blvd, Ste 100	Colleyville	TX	76034	23,000
PCMT 2003-PWR1	14,788,461	1-Feb-13	Grace	480	Bolingbrook	161 N. Webber	Bolingbrook	IL	60490	25,000
BSCMS 2004-T16	3,134,649	1-Oct-21	Perform	490	Chapel Hill	1807 Fordham Blvd.	Chapel Hill	NC	27514	25,266
CSMC 2006-C5	3,323,954	11-Sep-11	Perform	497	Chino	3833 Grand Avenue	Chino	CA	91710	25,000
WBCMT 2004-C10	3,587,549	11-Jan-14	Perform	503	McHenry	2221 Richmond Road	McHenry	IL	60050	23,800
MSC 2007-T27	4,140,000	1-Jun-14	Perform	504	Carme!	2381 Pointe Parkway	Carmel	IN	46032	23,195
JPMCC 2005-LDP2	6,941,289	11-Jun-15	Perform	516	Normal	200 A North Greenbriar Drive	Normal	IL	61761	23,000
BSCMS 2007-T26	22,035,000	1-Dec-16	Perform	517	Chicago	6103 N. Lincoln Avenue	Chicago	IL	60659	24,500
BACM 2006-1	10,292,873	1-Jan-16	Perform	518	West Lafayette	348 E. State Street	West Lafayette	IN	47906	20,000
GCCFC 2004-GG1	9,630,923	1-Mar-14	Perform	541	Mesquite	2709 N.Mesquite Drive	Mesquite	TX	75150	23,000
MSC 2005-IQ10	18,886,415	1-Apr-15	Perform(w)	626	Sarasota	3800 S.Tamiami Trail	Sarasota	FL	34239	21,239

Borders closing a couple hundred stores

Bodamer reports.

Our Exposure List.

Top retail bankruptcies this century (link from Bodamer's post).

UPDATE - here's a list. At least 36 are in CMBS deals - I'll post a list after I finish my phat lunch...

New Issue Pricings from last week

	DBUBS 2011-C1 (2/8)	MSC 2011-C1 (2/10)
AAA 10yr	S+120	S+105
AA	S+165	S+140
A	S+195	S+175
BBB-	S+295	S+225