Orix liquidations wipe out 10% of LBUBS 2007-C2 AJ

This is the second AAA class in CMBS to experience a loss to-date, and it certainly won't be the last. It also wiped out the B - K classes, paid back interest shortfalls as far down as the K, and paid off A2, AAB, and portions of A3 and A1A.

h/t CrabsofSteel

First AJ Loss - CSFB 2005-C2

The winner is CSFB 2005-C2, with the first ever AJ-used-to-be-a-Triple-A loss as a result of a $124mm loss on the $135mm Tri-County Mall. The loan actually fetched $31.6mm in proceeds, but also had $6.9mm of advances and $9.9mm of ASERs to pay back resulting a 91.5% loss severity. The B, C, D, F, and G bonds were completely wiped out, and the AJ took a 5% loss.

This certainly won't be the last AJ to get hit with losses. Loans continue to get worked out with more vigor, and we've also seen an increase in high loss severity workouts in recent months.