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CRE Finance World, Summer 2012

CMBS Opportunities Still Exist, Despite the Rally Certain 2007-vintage dupers are even attractive to 2005-vintage or fitness for a particular purpose with respect to any of this information. AMs. As of the end of the first quarter, 2005 AMs backed by Without limiting any of the foregoing, in no event shall MSCI, any of its cleaner collateral were trading in the high-100s area, compared affiliates or any third party involved in, or related to, computing or compiling to spreads in the low- to mid-200s on some 2007-vintage dupers the information have any liability for any damages of any kind. MSCI, backed by weaker collateral. With no bond loss expected on the Morgan Stanley Capital International and the MSCI indexes are services vast majority of dupers, it makes sense to opt for 30%-enhanced marks of MSCI and its affiliates. The Firm accepts no liability whatsoever 2007-vintage dupers over the AMs, which have only 20% enhance- for the actions of third parties. The Product may provide the addresses ment at issuance. of, or contain hyperlinks to, websites. Except to the extent to which the Product refers to website material of the Firm, the Firm has not reviewed the linked site. Equally, except to the extent to which the Product refers © 2012 Citigroup Global Markets Inc. Citi Investment Research & Analysis to website material of the Firm, the Firm takes no responsibility for, and is a division of Citigroup Global Markets Inc. Citi and Citi with Arc Design makes no representations or warranties whatsoever as to, the data and are trademarks and service marks of Citigroup Inc. and its affiliates and information contained therein. Such address or hyperlink (including ad- are used and registered throughout the world. All rights reserved. Any dresses or hyperlinks to website material of the Firm) is provided solely unauthorized use, duplication, redistribution or disclosure of this report for your convenience and information and the content of the linked site (the “Product”), including, but not limited to, redistribution of the Product does not in anyway form part of this document. Accessing such website by electronic mail, posting of the Product on a website or page, and/or or following such link through the Product or the website of the Firm shall providing to a third party a link to the Product, is prohibited by law and will be at your own risk and the Firm shall have no liability arising out of, or in result in prosecution. The information contained in the Product is intended connection with, any such referenced website. solely for the recipient and may not be further distributed by the recipient to any third party. Where included in this report, MSCI sourced information is 1 For full details on our 2012 spread forecasts, scenario definitions, and the exclusive property of Morgan Stanley Capital International Inc. (MSCI). methodology, see “Volatility Likely to Remain Key Performance Driver in Without prior written permission of MSCI, this information and any other 2012,” CMBS Weekly, Citi, December 16, 2011. MSCI intellectual property may not be reproduced, redisseminated or used to create any financial products, including any indices. This information is 2 “Volatility Likely to Remain Key Performance Driver in 2012,” CMBS provided on an “as is” basis. The user assumes the entire risk of any use Weekly, Citi, December 16, 2011 made of this information. MSCI, its affiliates and any third party involved 3 For details of our model, see Citi’s New CMBS Default and Prepayment in, or related to, computing or compiling the information hereby expressly Model, Citi, May 15, 2008. disclaim all warranties of originality, accuracy, completeness, merchantability A publication of Summer issue 2012 sponsored by CRE Finance World Summer 2012 49


CRE Finance World, Summer 2012
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