Oh, JPMCC 2007-LDPX A2S,
You are the black sheep
Of the Fed’s legacy CMBS Talf programme,
JP Morgan built you.
Now nobody wants you.
Why?
That is JPMCC 2007-LDPX A2S, part of a CMBS deal put together by JPM two years ago.
The New York Fed didn’t mention the exact reason the bond was rejected, the only one which was, when it posted a list of the 35 bonds accepted under the first subscription for the legacy CMBS portion of the Talf. It did, however, reportedly mention something along the lines of “rejected bonds either did not meet the requirements of the Talf programme or they were rejected on the basis of the NY Fed’s risk assessment.”
That must have been some risk assessment since bonds that were accepted for Talf loans included WBCMT 2007-C30 A2 and MLCFC 2007-5, which have heavy exposure to stuff like the Peter Cooper & Stuyvesant Town loan. Three bonds reportedly also come from deals where the current 60-day delinquency rate is over 7 per cent. Nevertheless Of course all of the bonds, including JPMCC 2007-LDPX A2S, are rated triple-A.
JPMCC 2007-LDPX A2S itself appears to be primarily composed of interest-only loans on rather scary things like loans sponsored by General Growth Properties, the bankrupt real estate investment trust, or loans to Solana, the Texan property development owned by Robert Maguire. Not exactly the kind of stuff that would make a central banker squeal with delight, but considering its Talf-accepted competition, one has to wonder.
In any case, here, for your perusal, are the largest holders of the black sheep bond according to Bloomberg data:
Related links:
Re-Remic-ing the Talf – FT Alphaville
S&P’s CMBS flip-flop – FT Alphaville