Higher-quality CMBS trading revives this week: BarCap
Super-senior tranche structures of commercial mortgage-backed securities (CMBS) loans showed a revival in trading activity this week, according to Barclays Capital. Bid-Ask spreads tightened on 2007 vintages of these "dupers" by 20 basis points this week. Spreads tightened by 10 bps for 2006 vintage and 5 bps for 2005 dupers. "Interestingly, the tightening was evident across the credit curve, for both better and worse names," according to the report. Bid-ask spreads widened considerably during the recession as investors struggled to agree on what properties were worth. AM and AJ tranches, which are classes below the super-senior tranches, had been leading super-seniors over the past two weeks. Spreads tightened in these classes again pushing prices even further above the average. "We still see considerable tiering, depending on the underlying deal quality, with some of the better AMs trading above par and some of the weaker credit names covering at just above $90," according to BarCap. Fitch, Moody's Investors Service and Trepp analysts are all seeing delinquencies on CMBS nearing 9%, but Real Capital Analytics data showed distressed commercial properties could be peaking. Write to Jon Prior.