DebtX: CMBS Prices Down, Liquidity Improves in May


The prices of loans supporting commercial mortgage backed securities decreased 60 basis points between the end of April and the end of May, according to DebtX.

CMBS loan prices pulled back slightly, as would be expected based on the yield curve, said DebtX managing director Will Mercer. Secondary market loan prices basically stayed range bound, though they continue to trade at a healthy margin on a year-over-year basis.

As of May 31, the estimated price of whole loans used in CMBS was 91.4%, down from 92% on April 30, but more than three percentage points better than the 88.2% on May 31, 2012.

The Loan Liquidity Index, which measures participation of capital in pools sold on DebtX, was 96.3, up from 95.2 in April, but down from May 2012s 110.8.

Impaired performing loans weighted average prices remained unchanged from April at 80.3%. One year prior they were 74.3%. Nonperforming loan weighted average prices were 52.2% in May, down from Aprils 53.1%, but an improvement over 47.7% in May 2012.

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