Fitch: U.S. CMBS and CDO Delinquencies Continue Climb

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An uptick in both the number and average loan size of new commercial mortgage-backed security defaults resulted in a one-quarter point climb in March delinquencies to end the month at 1.53%, according to the latest U.S. CMBS Loan Delinquency Index results from Fitch Ratings.

“Continued larger loan defaults within the Index are indicative of the moderate to severe macroeconomic stress environment that Fitch now views as applicable to U.S. CMBS performance,” said Fitch Managing Director and U.S. CMBS Group Head Susan Merrick. “Recent vintage transactions, which are typically more concentrated by loan balance and have greater exposure to larger loans without stabilized income at issuance, will prove particularly susceptible to future losses attributable to the prolonged macroeconomic downturn.”

The 2006 through 2008 vintages, which represent 56.6% of the Fitch rated universe, now account for approximately 53.8% of all delinquencies within the Index.

U.S. commercial real estate collateralized debt obligations (CDO) also saw an increase in delinquencies. Twenty-one newly delinquent assets pushed the delinquency rate up for 6.5% for March from 5.4% in February, according to the latest Commercial Real Estate CDO delinquency index from Fitch Ratings. Fitch currently rates 35 commercial real estate CDOs encompassing approximately 1,100 loans and 370 rated securities and assets with a balance of $23.8 billion.

“Further maturity defaults are likely as the illiquid credit markets provide limited prospects for the payoff of loans,” said Senior Director Karen Trebach for Fitch.  


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