About The Real Estate CDO Database

The Real Estate CDO Database captures the initial terms of all collateralized debt obligations backed mostly by commercial real estate.  The database consists of two downloadable Excel files:

Ccdo.xls contains general collateral information
CcdoPrice.xls provides tranche-by-tranche pricing details.

Additional information on the transaction parties for each deal is automatically pulled from either our CMBS Database or ABS Database, depending on the transaction.  Subscribers to Asset-Backed Alert can download the ABS Database here.  The CMBS Database can be downloaded here.

Click here to find descriptions of the ABS Database or the CMBS Database.

 

Criteria for the Real Estate CDO Database

Rated by at least one major agency.

Under the control of a trustee.

A resecuritization of CMBS or a collateralized debt obligation backed at least 50% by commercial real estate collateral.

 

Ccdo.xls Data Fields

CODE: The code is a unique, eight-digit number that can be used to link together the different modules of the Real Estate CDO Database. The first four digits represent the year and the next four represent a unique number (for example: 20010108).

ISSUER: The name of the issuing entity, exactly as it is shown on the prospectus.

SERIES: The series name of the offering, exactly as it is shown on the prospectus.

DATE: Pricing date.

AMOUNT: The sum of the original face amount of all classes (in millions of dollars). For issues that aren't denominated in U.S. dollars, the amount shown is the dollar equivalent.

RAMPED: Portion of the collateral purchased as of the closing date.

ReRemic(Y/N): Is the security a resecuritization of CMBS structured as a REMIC?

CMBS%: CMBS certificates as a percentage of the pool.

CDO%: CDOs as a percentage of the pool.

WHOLE%: Whole loans as a percentage of the pool.

BNOTES%: B-notes (junior loan pieces) as a percentage of the pool.

MEZZ%: Mezzanine loans as a percentage of the pool.

PREF%: Preferred equity as a percentage of the pool.

REIT%: REIT debt as a percentage of the pool.

UKNOWN%: Percentage of the pool consisting of unknown collateral.

Non-CRE%: Non-commercial real estate collateral as a percentage of the pool.

F%: Office mortgages as a percentage of the pool.

H%: Hotel mortgages as a percentage of the pool.

M%: Multi-family mortgages as a percentage of the pool.

N%: Nursing/retirement mortgages as a percentage of the pool.

P%: Mobile-home-park mortgages as a percentage of the pool.

R%: Retail mortgages as a percentage of the pool.

W%: Warehouse/industrial mortgages as a percentage of the pool.

Z%: Other mortgages as a percentage of the pool.  This category includes mixed-use and credit-linked collateral.

U%: Percentage of the pool consisting of loans backed by unknown property types.

 

CcdoPrice.xls Data Fields

CODE: The code is a unique, eight-digit number that can be used to link together the different modules of the Real Estate CDO Database. The first four digits represent the year and the next four represent a unique number (for example: 20010108).

CLASS: The tranche identifier.

AMOUNT: The original face amount of the class (in millions of dollars). For classes that aren't denominated in U.S. dollars, the amount shown is the dollar equivalent.

NOTAMT: The notional amount of the class (in millions of dollars). For classes that aren't denominated in U.S. dollars, the amount shown is the dollar equivalent.

DEN: Country of denomination (blank if U.S.).

DEN/AMT: Amount in denomination (blank if U.S. dollars).

RATINGM: Initial rating assigned by Moody's.

RATINGS: Initial rating assigned by S&P.

RATINGF: Initial rating assigned by Fitch.

RATINGD: Initial rating assigned by Duff.

SUB%: Percent subordination.

COUPON: Coupon rate -- the initial annual pay rate. For fixed-rate classes, the coupon is stated as a percentage. For floating-rate classes, it is the stated margin in basis points over a certain benchmark rate.

PRICE: Initial price per $100 of bonds.

CBE: Corporate bond equivalent yield, which allows investors to compare all fixed-income securities to corporate bonds, which pay interest semi-annually and are based on a 360-day year.

MATURE: The final rated maturity date for the class.

LIFE: The weighted average expected retirement date of each class of securities (in years).

SPREAD: The difference, in basis points, between the initial yield and a benchmark rate, usually Treasury securities or Libor.

BENCH: The benchmark rate -- usually a Treasury yield or Libor -- used to price the notes.

RATE: Coupon rate structure on the securities:

            A            Floating-rate

            F            Fixed-rate

   

About the CMBS Database

The CMBS Database captures the initial terms of all rated securities collateralized by commercial and multi-family properties. It covers issues from the inception of the CMBS market in the mid-1980s through the end of the last week.

Click here to read more.