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September Loss Analysis: Volume Back above $1 Billion, Severity Steady

CMBS loan liquidation volume rose back above $1 billion after lower summertime totals in July and August. In total, $1.02 billion across 70 loans were liquidated with losses in September. The majority of the increase can be attributed to the jump in average loan size to $14.56 million, up from $11.48 and $9.44 million in August and July respectively.

Seven loans totaling $55.67 million took 100%+ losses, three of which were relatively small B notes. 1604 Broadway, a $25.70 million retail loan in New York City, was the only large loan to take 100%+ loss, but the $50.68 million Shoreview Corporate Center in Minnesota was close behind with a 95.71% loss.

The headliner in September was the $134.25 million Westin Casuarina Hotel & Spa loan, which has been on the delinquent rolls for over five years. The note finally resolved in September with a $66.64 million loss (49.64% severity). The $72.16 million Norden Park loan, one of many struggling office properties in Connecticut, took a 79.3% loss.

Loss severity for September was 43.48%, down slightly from August’s 45.56%. Looking only at losses greater than 2%, volume was $819.71 million with a 53.81% loss severity.

Below are the overall statistics for loans liquidated from January 2010 to September 2015. The first table includes only US fixed-rate conduit loans. (If a loan somehow managed to be liquidated with a profit or at par, we excluded the loan. If the loan suffered a loss of $1 or more, it is included in the numbers below.)

Loan Liquidations since January 2010 – US Fixed Rate Conduit Loans – All Loans

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The next table only considers disposed loans with losses greater than 2%. When “small loss” loans are excluded from the analysis, $819.71 million across 59 loans were liquidated in September. The average amount of loans liquidated over the last 69 months on this basis was $904.12 million, while the 12-month average is $597.48 million.

As noted above, the average loss severity for loans with losses greater than 2% is 53.81% for September, which is nearly 10 percentage points lower than August’s tally. The running average for the last 69 months and the last 12 months are 55.13% and 58.00%, respectively.

Loan Liquidations since January 2010 – US Fixed Rate Conduit Loans – Losses > 2%

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Next are the loss severity numbers by vintage. The first table includes all liquidations, while the second excludes loans with losses of less than 2%.

Loan Liquidations since January 2010 by Vintage – US Fixed Rate Conduit Loans – All Loans

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Loan Liquidations since January 2010 by Vintage – US Fixed Rate Conduit Loans – Losses > 2%

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