July 19, 2007
CMBS BBB- Spread — Still No Relief
Barry posted some daily charts of the ABX.HE indexes the other day which were pretty interesting. As I’ve complained about before, Bloomberg doesn’t carry the ABX.HE indexes so I have no way to look at them, and all I have at my disposal are the Morgan Stanley CMBS indexes which are only updated weekly.
Here’s an updated look at the 10-year BBB- spread (I first posted this chart back in April):
I wish I had daily data (like the ABX.HE provides) so that I could do smaller timeframe trend analysis. In any event, you can see that trend traders took positions as the spread exploded back in March and are sitting tight for now.
UPDATE: As of July 20, 2007 the spread widened to 358 bps.
UPDATE: As of July 27, 2007 the spread widened to 391 bps.
UPDATE: As of August 3, 2007 the spread widened to 403 bps.
UPDATE: As of August 10, 2007 the spread widened to 417 bps.
UPDATE: As of August 17, 2007 the spread widened to 475 bps.
UPDATE: As of August 24, 2007 the spread narrowed to 470 bps.
UPDATE: As of August 31, 2007 the spread widened to 546 bps.
UPDATE: As of September 7, 2007 the spread narrowed to 545 bps.
UPDATE: As of September 14, 2007 the spread narrowed to 490 bps.
July 19th, 2007 at 7:41 pm
You can look at the ABX.HE indexes (also CMBX, LCDX, etc.) via http://www.markit.com/information/affiliations/abx updated daily after the close.
July 19th, 2007 at 11:39 pm
libertas: Thanks for the link; they do have historical prices there but in a format that is next to impossible to collect and therefore useless.
August 10th, 2007 at 7:27 am
[…] Kind of a negative neutral morning but then the selling got underway in earnest before lunch. Still a panicky, jittery market. I’ve been updating the CMBS BBB- post … the spread as of last Friday was 403 bps which is approaching Russian debt default / LTCM crisis levels. No wonder you have grown men going bananas on live TV. My two cents? In crisis, opportunity. If you have cash sitting around, look to put it to work. […]
August 13th, 2007 at 9:35 am
[…] I’ve been updating my post on Morgan Stanley’s Commercial Mortgage-Backed Securities BBB- spread every week, and I thought it worth pointing out that the spread is now just eight basis points below the peak hit during the Russian debt default / LTCM collapse. One look at that chart and you can understand why people are scared and the Central Banks are pouring money into the market. Cat: […]
August 20th, 2007 at 10:02 pm
[…] Morgan Stanley’s Commercial Mortgage-Backed Securities BBB- Index hit 475 last Friday (August 17), which totally blows away the peak hit during the Russian debt default / LTCM collapse. […]
September 4th, 2007 at 9:47 am
[…] I was surprised to see that the CMBS BBB- spread over the 10-year Treasury had widened last Friday to 546 bps. That’s the biggest single week leap I’ve ever (?) seen. If the credit crisis is “contained,” it isn’t showing up in this measure. Cat: […]