18 February 2015 Fixed Income Research http://www.credit-suisse.com/researchandanalytics FOR INSTITUTIONAL CLIENT USE ONLY CMBS Market Watch Weekly Securitized Products Americas Research Analysts Market activity and relative value Roger Lehman • Demand for CMBS continues to be very strong across the various sectors and +1 212 325 2123
[email protected] credits, and spreads have tightened over the past week as the overall macro picture improved. Our concerns about higher rate volatility is mitigated Sylvain Jousseaume, CFA somewhat by the move higher in yields. +1 212 325 1356
[email protected] • We have been arguing for a number of weeks that a rise in the yields would help boost demand for CMBS and that lower rates make CMBS less Serif Ustun, CFA +1 212 538 4582 compelling for investors with certain yield targets.
[email protected] • We continue to like the top part of the new issue stack (single-As and higher), but remain more wary at the triple-B level and below. CMBS loans in the news • We discuss the sale of properties backing two large loans in LBUBS 2005-C2. CMBS and CMBX spreads and prices One of these was previously modified and led to a large pay-off on the A-note CMBS swap 1-wk Trailing 12-month and a full write-down on the B-note. spread/price 2/17/15 chg Min Max Avg Legacy CMBS Loans with upcoming Sears lease expirations AAA 10yr 109 -4 84 118 97 • Sears announced closures of approximately 235 Sears/Kmart locations last AM 134 -4 127 165 144 year, and we expect more stores to be shut this year.