CMBX coupons have dipped an average of five basis pointss across the index, according to Royal Bank of Scotland analysts. This is given that shortfalls and losses rose higher in the capital structure.
For instance, RBS said that CMBX.5 saw the biggest average dip of 19 basis points versus average changes of 0.99 basis points, -5.5 basis points, -0.96 basis pointss and -0.89 basis points for CMBX.4 to CMBX.1, analysts stated.
Analysts attributed the rise in CMBX.4 coupons predominantly to a 77 basis point increase in CMBX.A.4 coupons after loan liquidation proceeds were utilized to pay all unpaid interest on 71 “A” referenced bonds.
According to RBS analysts, these loan liquidations were credit negative causing a first time write-down to the CMBX.A.4 tranche.
Meanwhile, Barclays Capital analysts stated that CMBX.4, 5 delinquencies are still rising, as shown by the April remittance reports.
The 30+ delinquencies rose on three out of five CMBX indices in April. Most of it was because of maturing five-year loans from the 2007 vintage failing to pay off at maturity.
Barclays analysts said that the liquidation volumes increased after sluggish prints in the previous two remittance reports.
