well IMHO the complication arises primarily from first loss cmbs b-pieces rolled into a cdo in which JRT retains first loss. a cdo of mainly (there are other things in there such as whole loans and mezz loans) first loss collateral exacerbates the retained first loss investment in the cdo.
that said, the b-piece buyer (JRT) has enormous control of the cmbs collateral as without them the cmbs deal falls apart. JER has people in place that seem to know what they're doing in this regard.
the pancake risk, as da calls it, is on the high side. how high is anyone’s guess and depends largely on the underlying cmbs performance. it’s your job to get comfortable with what they’re invested in and determine what losses are priced into the common if you’re thinking about buying.