"Some $302.6bn in CMBS, or half of this type of asset rated by Moody's, are under review. Moody's said ratings of top tranches of triple A-rated securities, or 72 per cent of the debt under review, should not be affected. That leaves about $85bn subject to potential downgrades, including triple-A rated securities that rank below the senior securities, which could drop four to five notches on average.
The Markit CMBX-AJ, A, BBB, BBB- indices broke through resistance levels today. They are measured in spread (risk premium) not price. Charts below are sourced from Historical Markit CMBS Graphs priced on Feb 6, 2009.
If you have no idea what I'm talking about here's a description of the CMBX Indices.
"The Markit CMBX is a synthetic family of indices based on U.S. commercial mortgage-backed securities (CMBS) which provides investors with liquid, transparent exposure to CMBS of a unique vintage. Each CMBX index references a basket of 25 of the most recently issued CMBS deals.
The seven index tranches reference bonds rated AAA, AJ, AA, A, BBB, BBB- and BB respectively. Ratings are required from at least two of the following rating agencies: Fitch, Moody's and Standard & Poor's. A new series of CMBX is issued every six months." Markit via Bobsguide"
Moody’s to Review $302.6 Billion in Commercial Debt (Bloomberg)