QuantumRisk LLC is a boutique investment advisory & management consulting firm specializing in structured finance support, loss risk modeling, value uncertainty, business strategy & business process reengineering for investment companies, fund managers and corporate clients. QuantumRisk does not manage funds. Contact or Call me on Goggle Voice, 970-306-7656.
CMBS Property Risk Analytics**
How risky is your portfolio? QuantumRisk provides downside CMBS risk assessment, loss, VaR & CVaR analytics. On a monthly basis QuantumRisk analyses more than 102,000 commercial properties with a total original appraised value of $1.5 trillion, backing more than 64,000 loans, with an outstanding debt of $680 billion, to report default rates, loss severity before recovery, loan to value ratio (LTV), debt service coverage ratio (DSCR), occupancy rates, cap rates & change in property appraisal value for more than 400 U.S. markets, by property type, by city, by MSA by state.


The 24 sample reports are examples of rigorous evaluations of the downside risk a CMBS Deal, Warehouse or Portfolio may be subject to given the current, this past month's, economic conditions. These reports may be used to assess the potential upside risk. To keep your costs to a minimum QuantumRisk provides one-off reports for a specific set of deal / warehouse / portfolio requirements.


The reports are ideal for deal/bond restructuring, associating default risk to the bond stack, negotiating portfolio pricing based on today's loss characteristics, and sub-optimal investment avoidance i.e. the portfolio may look great on paper but without an evaluation of the loss characteristics one may not be fully informed of the downside risks.
QuantumRisk CMBS March 2011 & earlier Default & Loss Pipeline Report
It is clear from these results (above) that multi-property or cross collateralized mortgages are riskier than single property loans by about 1.54% increased default rates. (See Advisories for further explanations.)
The graph shows both defaults at >90 days past due, and cumulative defaults in the CMBS pipeline. The trend shows that even though there was a substantical increase in defaults it did not significanlty impact overall default rates as March 2011 default rate increased marginally from 6.03% from February 2011 of 5.95%.
The graph above is the cummulative severity of loss before recovery (not including appraisal value depreciation) as a percentage of total outstanding balance in the CMBS pipeline. The trend shows that the severity of loss continues to increase and as of March 2011 totals 5.69%, and decreased from February 2011 of 5.61%.
Please contact Ben Solomon to purchase QuantumRisk's CMBS Property Risk Analytics reports.
** Property Risk Analytics is the registered trademark of QuantumRisk LLC
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Click Here to Access 24 Sample Reports & Pricing
QuantumRisk LLC is a Registered Investment Advisor in the state of Colorado as of June 2010 & a Management Consulting firm since 2004
The March 16th 2011 CREPIG interview with JW Najarian & Robert Schecter.
QuantumRisk Property Risk Analytics: US CMBS as of March 2011
Property Type Worst City Best City
Single-Property Mortgages CO:Durango CA:San Francisco
Cooperative Housing NY:New York
Healthcare CA:Los Angeles
Industrial NV:Henderson CA:Corona
Lodging GA:Brunswick NY:New York
Mixed Use NC:Charlotte WA:Seattle
Mobile Home Park
Multifamily NV:North Las Vegas WA:Seattle
Office VA:Hampton CA:San Francisco
Other TX:Dallas NY:New York
Retail IN:Greenwood NY:New York
Self Storage CA:Costa Mesa CA:San Diego
Warehouse
QuantumRisk Property Risk Analytics: US CMBS as of March 2011
Property Type Mortgage Default Rate Mortgage Loss Severity Loss before Recovery Average Asset LTV Average Asset DSCR Average Asset Occupancy Average Asset Cap Rates Average Asset Value Change
All Properties 6.03% 5.69%
Cross Collateralized 7.50% 7.07%
All Single Properties 5.96% 5.62% 0.66 1.35 88.62% 6.15% 59.86%
Cooperative Housing 0.00% 0.00% 0.12 1.26 95.00% 0.25% 149.44%
Healthcare 9.43% 6.64% 0.25
Industrial 4.68% 4.34% 0.63 1.43 91.52% 6.45% 63.20%
Lodging 9.15% 8.52% 0.65 1.20 65.96% 7.47% 54.42%
Mixed Use 7.43% 7.15% 0.63 1.37 91.08% 13.61% 54.66%
Mobile Home Park 3.19% 3.01% 0.65 1.56 88.69%
Multifamily 6.53% 6.14% 0.70 1.28 91.15% 5.80% 58.10%
Office 7.10% 6.74% 0.68 1.41 87.60% 6.66% 56.93%
Other 3.70% 3.58% 0.46 1.48 93.62% 4.32% 46.32%
Retail 5.62% 5.33% 0.67 1.34 90.80% 6.12% 58.71%
Self Storage 3.41% 3.19% 0.60 1.49 79.84% 68.91%
Warehouse 5.95% 5.70% 0.75 1.27