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Wednesday, November 19, 2008

WSJ: CMBS Market Shows Fissures

by Calculated Risk on 11/19/2008 08:53:00 AM

From the WSJ: CMBS Market Begins to Show Fissures

The market for debt used to finance hotels, offices and shopping malls tumbled Tuesday on worries that the long-feared rise in defaults for commercial mortgage-backed securities had begun, possibly ushering in the next phase of the financial crisis.
The news comes as defaults on commercial mortgages are starting to rise. According to a Citigroup Inc. report, the overall number of commercial mortgages packaged into securities that are 30 days or more past due rose to 0.64% in October from 0.39% at the end of last year, with most of the increase coming in October. The latest figure, though low by historic standards, marked the highest delinquency rate in two years.
This article discusses the Westin Portfolio and The Promenade Shops loans (see here for more).

Sure enough - all of the CMBX indices are setting new record lows again.

CMBX Index Click on graph for larger image in new window.

Here is a graph from Markit of the CMBX-NA-AAA 4 mentioned in the WSJ.

The CMBX is a CMBS (Commercial Mortgage-Backed Securities) credit default index just like the ABX - except up is down for the CMBX indices. The CMBX is quoted as spreads, whereas ABX is quoted as bond prices. When the spreads increase - chart going up - the bond prices are going down.