The redefault rate of modified loans in commercial mortgage-backed securities stands at 44%, according to an analysis by Royal Bank of Scotland. RBS analysts found 87 of 155 loans examined redefaulted at an average loss of 23%, a percentage lower than non-modified loans. Analysts also reported loans originated in 1997, modified and then redefaulted, had the highest loss severities, 70.8%, compared to 36% for 2001 vintage, 40% for 2006, and 37% for 2007.
