For the week ended October 15, spreads on recent vintage super senior AAA-rated CMBS tightened 8-12 basis points (bp). The spread of 265 on the GG10’s on October 15 was the tightest closing level for that bond in 2010 to date. The GSMS 2007-GG10 A4 bond outperformed the broader market as the spread on the GG10 CMBS fell 19 bp over the course of the week. That was consistent with other similar super senior AAA-rated CMBS that were trading at higher spreads compressed more significantly over the week than did better performing AAA-rated CMBS issues.
This was on top of spreads on super senior AAA-rated CMBS that had dropped 5-10 bp the prior week. The GSMS 2007-GG10 A4 bond outperformed the broader market by tightening 28 bp for the week ended October 8.
Separately, the strong rally that lifted prices on mezzanine AAA bonds (“AMs”) over the last six weeks has spread to the junior AAA market (“AJs”). The prices on AJ bonds — especially those from 2005 and 2006 — popped sharply last week.