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NEW YORK, NY -- It was a mixed bag for CMBS investors
in September, with some segments of the market posting gains and others seeing
losses, according to Trepp.
All of the moves were relatively small, and for the most
part, the market ended the month not far from where it began.
The lack of volatility in the CMBS market was somewhat
surprising given how many issues remain on the minds of investors.
On a broad level,
the potential impact of Federal Reserve tapering, the debate over the
debt ceiling and budget, and concerns over the Middle East were all front and
center for investors at one point in the month.
On a more micro level, fears that the declining state of JC
Penney could lead to store closings all weighed on CMBS investors. Despite
all of the uncertainty, the CMBS market held up relatively well in September.
The market did see some taper-related weakness early in the
month, but the decision by the FOMC not to curtail bond purchases in September
erased those losses.
Legacy Paper
Later vintage, last cash flow super seniors were
representative of the broader market. Spreads on 2005 and 2006 LCF bonds edged
wider by a few basis points while spreads on 2007 LCFs were tighter by four
basis points on average. The benchmark GSMS 2007-GG10 A4 bond finished the
month at 162 basis points over swaps, a six basis point improvement for
September.
Trepp expects to see additional relative widening of the
2005 vintage over the next year compared to 2006 and 2007 paper. As 2005 names
see less and less call protection over time, investors will be less willing to
pay meaningful premiums. This is a trend Trepp has seen in the 2004 vintage
over the last year.
For the AM and AJ segments, the story was similar, with very
modest moves month over month. On average, 2005 AMs were tighter by about nine
basis points, 2006 AMs were narrower by eight basis points, and 2007 AMs were
wider by four basis points.
As for the AJ
market, 2005 AJs were wider by about five basis points, 2006 AJs were flat, and
2007 AMs were better by two basis points on average.
For a complete copy of the company’s news release, please
contact:
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