ES -- DX/CL -- isee -- cboe put/call -- specialist/public short ratio -- trinq -- trin -- aaii bull ratio -- abx -- cmbx -- cdx -- vxo p&f -- SPX volatility curve -- VIX:VXO skew -- commodity screen -- cot -- conference board

Wednesday, November 19, 2008


commercial MBS crushed

across the curve:

CMBX AAAs widened by 130 basis points. AJ tranches widened 250 basis points to 350 basis points. ( I am lacking expertise in this area but believe an AJ is sort of a junior AAA piece.) And tranches below AAA widened 150 basis points to 350 basis points.

Cash CMBS underperformed the index and some AAA bonds with 30 percent protection widened 200 basis points. These are AAA bonds (allegedly) trading swaps plus 1050 basis points. That is alot of yield and alot of fear.

Quoth the Buffalo Springfield circa 1966,” Something’s happening here and what it is aint exactly clear”. It feels as though the bond markets are setting up for another patch of very rough weather.

a long time coming -- calculated risk has been calling the CRE crash for months -- but it is now undeniably here with some unexpected large defaults serving as catalyst. banks, particularly regionals heavily exposed to commercial real estate, are going to be facing a massive wave of losses.

UPDATE: it continues today.

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