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Moody's: Large liquidations with high losses drive up US CMBS loss severities in 2015's final quarter.

New York: Driven by a number of large loans liquidated at high losses, liquidations in the final three months of 2015 had the highest quarterly loss severity since the first quarter of 2010, when it began tracking losses in US commercial mortgage-backed securities (CMBS), Moody's Investors Service says in its latest loss severities report.

Moody's quarterly loss severities report tracks loan losses upon liquidation and cumulative deal losses in conduit and fusion transactions in US CMBS. The report details losses for the 1998 to 2015 vintages based on liquidations that took place from 1 January 2000 to 31 December 2015, and compares losses on liquidation and cumulative deal losses quarter over quarter and year over year.

"The fourth quarter of 2015 saw 240 loans liquidate with an average loss severity of 58.2%, up significantly from the 210 loans that liquidated with an average loss of 41.9% in the prior quarter," says Senior Vice President, Keith Banhazl. "Among the loans that liquidated in the final quarter of last year, four liquidated with losses of more than $100 million and loss severities above 70%."

Among the four largest loans that liquidated in the fourth quarter of 2015, two were sold by special servicer CW Capital as part of its bulk sale of distressed assets, including the Loews Lake Las Vegas loan, which liquidated with a $132.4 million loss for a loss severity of 113.1%, the highest loss amount recorded for loans liquidated last year and the sixth highest overall, Banhazl says.

The other three large loans that liquidated in the final quarter of 2015 were Citadel Mall, which liquidated with a $130.9 million loss for a severity of 96.2%; DRA-CRT Portfolio I, which liquidated with a $125.1 million loss for a severity of 97.9%; and COPT Office Portfolio (Rollup), which liquidated with a loss of $109.5 million for a loss severity of 73.0%.

There were two additions to loans from CMBS 2.0 deals that liquidated with a loss in the fourth quarter of 2015: Youngsville Crossing, a retail-backed loan from WFRBS 2011-C3 and Lockaway Self Storage, from GSMS 2012-GC6, both liquidated with minimal loss severities.

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Publication:Daily the Pak Banker (Lahore, Pakistan)
Article Type:Financial report
Date:Mar 24, 2016
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