Liquidated CMBS Loan Volume, Average Losses Plunge

By Mark Heschmeyer

March 14, 2012

 

The volume of CMBS conduit loans liquidated in February retreated sharply, falling 43% from January’s reading. In fact, the February reading was the lowest total since November 2010, according to Trepp LLC. 

At $893 million, liquidations were about 32% less than the 12-month moving average of $1.31 billion per month. Since the beginning of 2010, the special servicers have been liquidating at an average rate of about $1.08 billion per month. 

In February, liquidations came from 93 loans. This compares to 168 loans that were liquidated in January. The 12-month moving average is 151 loans per month. 

The average loan size for liquidated loans was $9.6 million in February. Over the last 12 months, the average size of liquidated loans has been $8.7 million. 

The losses from the February liquidations were about $228 million–representing an average loss severity of 25.55%. This was down by more than 14 points from January’s 39.54% reading. February represented the lowest level since March 2011. 

The February loss severity reading is well below the average loss severity of 42.92% over the last 26 months, and also below the 12 month rolling average of 42.27%. 

Separately, the percentage of CMBS loans paying off on their balloon date posted their second highest reading since December 2008, according to Trepp. 

In February, 61.6% of loans reaching their balloon date paid off. Only September 2011 had a better reading since the credit crisis began. That month the payoff level was 64.4%. February marks only the fourth time since late 2008 that the percentage cracked 50%. The 61.6% payoff number was almost 21 points higher than the January reading. 

A big part of the surge was due to one class of 2007 loan paying off. The $500 million 9 West 57th Street loan was refinanced in February. That loan by itself represented 27% of the loans coming due.