Problems with the subprime mortgage sector and the shake out in global equities market finally pierced the CMBS armor starting in late February and into the first week of March as dealers had to grapple with waning bid interest in an otherwise sound market. Two new deals priced the week ending March 2 after repeated adjustments to clearing levels to all classes. The fallout in ABX BBB- sector was felt in CMBS recently, with conduit bonds widening out 25 basis points and CMBX credit protection on those same classes gapping 60 to over 70 basis points. Double-Bs were hardest hit as they widened over 100 basis points on the week. The credit curve widened out to 84 basis points over swaps from a recent tight of 62 basis points over. New deals in the market included the two largest CMBS deals ever, with the Wachovia Securities/Artesia WBMCT shelf, totaling almost $8 billion in fixed-rate space.
The secondary market saw several basis points of widening as swaps gapped out a few basis points relative to Treasurys at the end of February and into the first days of March. The widening wasn't only confined to lower IGs, as triple-A super senior benchmarks were out three basis points as well. Bid list activity was heavier than usual as some grabbed profits while they could, while other accounts just dumped spread product altogether.