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CRE Finance World Summer 2015
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Exhibit 2
Total Realized Net Losses
Source: Bank Losses & DQs — Trepp Bank Navigator
CMBS Losses & DQs — TreppCMBS
Exhibit 3
Delinquencies 90+ Days
Source: Bank Losses & DQs — Trepp Bank Navigator
CMBS Losses & DQs — TreppCMBS
Looking across the spectrum of firm sizes, the losses recorded in
the first half of 2014 for Large and Medium firms were much lower
than year-end 2013 figures. Small firm losses, on the other hand,
increased slightly. Larger firms tend to take their losses early,
while cumulative losses for small firms have stayed low and have
been more evenly distributed over time. For delinquencies of 90+
days, both Small and Medium firms reported higher delinquencies
at mid-year 2014 than at year-end 2013. Large firms reported no
90+ day delinquencies as of mid-year 2014.
Exhibit 4
Total Realized Net Losses by Firm Size
Exhibit 5
Delinquencies (90+ Days) by Firm Size
Permanent First mortgage loan losses represented 83.54% of the
total losses reported at mid-year 2014, which is a slight decline
from year-end 2013. Subordinate debt losses increased 7.5%
to 16.46%. No losses were reported for Construction loans.
Subordinate debt had the highest loss severity of approximately
51% as of mid-year 2014—a clear reminder of the volatility of
subordinate debt and the weaker position of junior lien holders
versus first lien holders.
Portfolio Lenders Survey: U.S. Life Insurers’ Mortgage Outlook