NEW YORK, March 15 (Reuters) - CMBS bid list volume was about 50-100 percent above average so far on Tuesday, and spreads were substantially wider amid a significant selloff in the sector, according to market sources.
Uncertainty over the crisis in Japan took its toll on structured-credit secondary trading. CMBS super-seniors traded 30 to 50 basis points wider first thing in the morning, but tightened in slightly later on, to trade in the area of 25 to 35 basis points wider.
In both ABS and CMBS, many bid lists are not trading.
“This is indicative of shaky markets: Bid lists are being cancelled or postponed across ABS and CMBS amid increasing BWIC volume,” said Adam Murphy, president of Empirasign Strategies LLC, a capital markets data provider.
Murphy said that he saw two CMBS lists so far that did not trade; one was credit and the other comprised A4 super-seniors. Buyers were having trouble meeting so-called reserve levels, or the unspoken minimum spread level that a seller is willing to accept.
In ABS, so-called “did not trade” or DNT lists were rampant.
“We were seeing US$1bn in ABS BWICs for today, but one-third of those lists have been postponed — most likely due to sellers realizing they are not going to get attractive sales off given current market conditions,”
Already today, there has been US$1.01bn in CMBS and US$755m in ABS traded in the secondary markets, according to Empirasign.
Reporting by IFR Senior Analyst Adam Tempkin