Resolution volume dropped 16 percent in February on the basis of liquidated balance, according to Trepp’s February CMBS Loss Analysis released today. On the basis of loan count, February’s total was less than half of January’s level. February average loss severity ended up at 44.26 percent, 13 basis points lower than January’s 44.39 percent.
February liquidations came in at $965.4 million, relative to the 12-month moving average of $1.36 billion. The 73 loan liquidations resulted in $427.3 million in losses, translating to an average loss severity of 44.26 percent. This is above the 12-month moving average of 41.56 percent. Since January 2010, servicers have been liquidating at an average rate of $1.17 billion per month.
The workout pipeline handled larger loans on average in February, as the number of CMBS conduit loans liquidated was 73--significantly less than the 12-month average of 138. The average size of liquidated loans in February was $13.22 million, nearly twice January’s $7.31 million and above the 12-month average of $9.9 million.
Below are the overall statistics for loans liquidated in February. The first table includes only US fixed rate conduit loans.
If one takes out the loans with losses of less than 2 percent, the story looks a little different. As we've noted in the past, we suspect that in many cases, the small loss loans are actually refinancings that have taken place where the losses reflect small, unpaid special servicer fees or other costs. On this basis--after taking out the "small loss" loans--about $801.53 million in such loans were liquidated in February, compared to an average of $899 million over the last 38 months and $1.02 billion over the last 12 months.
The average loss severity on this basis is 53.18 percent for February—down 5.26 percentage points from January’s 58.45 percent. February’s reading fell just below the average monthly loss severity of 54.89 percent over the last 38 months and the 12-month average of 55.24 percent.