The weighted average loss severity for all loans backed by commercial mortgage-backed securities that liquidated at a loss remained the same in the fourth quarter of 2012 as the previous quarter, at 40.8%, said Moody’s Investors Service.
Loans backed by manufactured housing and mobile home properties posted the highest weighted average loss severity, at 48.3%, said Keith Banhazl, vice president and senior credit officer of Moody’s.
The weighted average loss severity for all liquidated loans, excluding those with losses of less than 2%, was 53.1%, up from 52.7% in the third quarter of 2012, according the U.S. CMBS Loss Severities, Q4 2012 update.
Additionally, loans with losses of less than 2% accounted for 23.6% of Moody’s sample size by balance.
The three vintages with the highest loss severities are 2006 at 50.6%, 2008 at 47.5% and 2003 at 43.1%. As of December, these vintages contributed 30.7% of CMBS collateral and 31.4% of delinquent loans, the report noted.
“For the 2005, 2006, and 2007 vintages, we expect aggregate conduit losses — inclusive of realized losses — of 7.7%, 11.2% and 13.4%, respectively, of the total balance at issuance, with most of the losses yet to be realized,” Banhazl said.
He added, “The aggregate realized loss for those vintages is currently 2.6%.”
Of the ten metropolitan statistical areas with the highest dollar losses, New York had the lowest severity at 21.4% while Detroit had the highest at 58.7%, according to the update.
