Page 67

CRE Finance World, Winter 2012

CMBS Collateral Performance: Inside the Numbers Chart 6 Chart 8 illustrates future refinancing needs of maturing CMBS loans. It incorporates all of the modifications and extensions Trepp has captured through September 30, 2011. Chart 8 U.S. CMBS Maturity Schedule by Property Type *Notes relating to adjusted loss severity –Over the course of the year, a number of large loans paid off, but the special servicer fees led to small losses –Stripping out these loans shows both a jump in the average loss severity and a more consistent monthly observation Our last two charts look at the size of the financing demands which could face the CMBS market going forward. Chart 7 demonstrates the cumulative backlog of matured loans that remain outstanding and not defeased. The chart represents the percentage of each month’s maturing volume that was unable to refinance and remains outstanding as of June 30, 2011. In the Summarizing, the current collateral performance portraits a stabilized more recent months, previously performing loans account for a product with initial signs of improvements. The system has been growing share of this backlog. In our opinion, this is an illustration processing the high volume of distressed assets, resulting from of a longer period required now to arrange refinancing due to the the period of aggressive valuations, the asset bubble which burst market uncertainty. The size of the backlog showed a slight dip, in 2007. Weakness, demonstrated by CMBS market in the recent reflecting the increased pace of distressed loans liquidations. months, has potentially slowed the pace of recovery, however. Growing refinancing needs will prove to be an increasing challenge Chart 7 once we get closer to 2014, and especially in 2015–2017, with Historical Maturity Backlog over $100bn in loans scheduled to mature per annum. (excluding loans with extension options) A publication of Winter issue 2012 sponsored by CRE Finance World Winter 2012 65


CRE Finance World, Winter 2012
To see the actual publication please follow the link above