NEW YORK, NY -- Trepp noted last week (as well as today) that CWCapital
would be selling more than $2.6 billion of non-performing assets over the next
two months, and that CMBS mezz buyers
would have to figure out which liquidations could result in big repayments of
existing interest shortfalls.
This news proved timely for some research we've been working
on, in which we determine how much written-off bonds have been receiving on
average in the months before their balance gets written off.
Since the credit crisis began in late 2008, over one
thousand bonds have seen their balances written off to zero. As we've learned
over that time period, many of the tranches get sizable payoffs in the months
before (or in the month of) final write down.
These sizable cash flows normally come from recovery of ASER
amounts that flow through a deal's cash flow waterfall, paying back accumulated
interest shortfalls along the way.
To get a sense of what investors have been receiving from
these "dead tranches walking," Trepp asked their data team to comb
through the rubble to come up with some metrics. As you will see, there is
sometimes gold in them hills.
To start, the team looked only at tranches that have been
written down in full. The universe of deals included only conduit deals and
issues from 2005 through 2008.
Overall, 1,149 tranches (excluding rake classes) have been
written off entirely. Of this group, 15.3% of the classes were original first
loss classes and 14.6% were second loss classes. For all 1,149 bonds in the
group, we summed up all cash flow over the prior 12 months (including the month
of final write down) to get a sense of how much cash these bonds were
generating.
For a complete copy of the company’s news release, please contact:
Eric
R. Gerard
Senior
Vice President
Great
Ink Communications
27
Union Square West, Suite 205
New
York, NY 10001
(212)
741-2977
