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January 4, 2008


CMBS BBB- Spread: Now Over 1000 Basis Points

I was looking over the measures of short-term liquidity, and things look like they are improving, even for asset-backed paper. But then I drew up this chart of the Commercial Mortgage-backed Securities BBB- spread and was distressed to see that there’s still no relief here. I don’t think many people anticipated that the crisis would be this severe, or perhaps, as usual, I’m hopelessly naive and out of touch.


Click to enlarge (CMBS BBB- Spread over the 10-year Treasury)

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This entry was posted on Friday, January 4th, 2008 at 5:32 pm (utc+8) and is filed under Bonds.

3 Responses to “CMBS BBB- Spread: Now Over 1000 Basis Points”

  1. Capital Gain said:
    January 5th, 2008 at 2:57 am

    I doubt you’re either, but there were clear signals that things would be BAD, and those same signals still indicate further pain for another year or so.

    Stock prices being forward looking, I’m hoping the financials provide us old momo speculators with a ride starting sometime in 2Q08.

  2. Babak said:
    January 5th, 2008 at 10:18 am

    I’m not surprised. Take a look at this chart from BCA Research. Subprime makes LTCM look like a kitten.

  3. C. Maoxian said:
    January 5th, 2008 at 11:44 am

    Babak: Yes, you stole a good chart there … the CMBS BBB- Index only stretches back to 1997 so we can’t see the spread from earlier crises (like the S&L scandal).

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