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CMBS Market Week in Review

After what seemed like an eternity of will they or won’t they stories, the Fed finally raised rates this week and…not much happened. US equities rallied on the announcement but gave back all the gains the following day. The Dow and S&P were both down more than 2% on the week and crude oil ended below $35, down almost 50% on the year. The ten year US treasury ended the week yielding 2.21%, up less than 10 bps despite the rate hike news.

The 10 year LCF tranche in the last CMBS conduit deal of 2015 (JPMCC 2015-JP1) priced wider than expectations at 140 basis points over swaps. Matching the spread of a conduit deal priced earlier this month, 140 bps is the widest level seen since 2012 according to CMA. The deal was another in a string of recent deals that split the lowest investment grade tranche into one BBB and one BBB- class. The weighted average spread of the two tranches was 520 bps over swaps. Spreads were off slightly on the week on very low trading volume as many desks closed up their books for the year.

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CMBS Swap Spreads
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Legacy LCF Price and Swap Spread Movement
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Top Credit Stories from the Week
– Large Losses Hit Three Legacy CMBS Deals (JPMCC 2005-CB13 & more)

 

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