Slight Rise in CMBS Loan Values in January

The prices for the loans securing commercial mortgage-backed securities increased modestly during January, rising to 89.2% from 89% at the end of December, said DebtX. On Jan. 31, 2012, loan prices were at 86.4%.

Managing director Will Mercer said this increase “was primarily due to improving loan-to-value ratios, despite the upward shift in the yield curve.”

DebtX’s Loan Liquidity Index fell to 105.9 in January, down from 108.2% in December but well above the 96.2% recorded in January one year ago.

The weighted average monthly price of impaired performing loans traded in DebtX’s marketplace in January was 80%, compared with 80.5% in December and 71.3% in January 2012.

For nonperforming loans traded on DebtX, the weighted average price was 52.3%, versus 52.6% in December and 42% in January 2012.

Separately, Trepp reported in February 61.8% of loans securing CMBS which reached their balloon date paid off as scheduled. This is the fifth out of the last six months where the percentage was above 60%, but it is over five percentage points below January’s 66.9%.

Trepp commented, “The makeup of the underlying pool is certainly a consideration. Loans from older vintages will have a much better chance of paying off on time than loans from 2007.

“However, with new issue CMBS spreads at their tightest levels in four years, and with the Treasury curve near historic lows, more loans should be able to refinance now than at any time since 2008. So even loans with skinny debt service coverage ratio levels from 2006 and 2007 stand a fighting chance of obtaining financing.”

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