Average three-month severities on CMBS conduit loans are at 47%, having steadily climbed since the middle of last year, according to Barclays Capital analysts, who predicted they would stay lofty in coming months.

The figure was 35% in Q1 2011.

A good eight points of the 14-point rise could be ascribed to the changing composition of liquidations. “A much bigger share is now coming from properties with higher current LTVs and in worse geographies,” the analysts said. The added that the 25-best-performing metro areas made up, at last count, 9% of liquidations, from 38% in the first quarter of last year.

Also fueling the jump in severities were the extension of liquidation timelines and an increase in the expenses servicers charge on liquidated loans.

Barclays analysts predicted that severities would stay high in the near-term as servicers employ liquidations for distressed properties, while using modifications for loans that are in slightly better shape.


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