Fitch U.S. CMBS Newsletter: U.S. CREL CDO Delinquency Rate Rises on Asset Repurchases
NEW YORK--(BUSINESS WIRE)-- Delinquencies for U.S. CREL CDOs rose last month due to $136.9 million in asset manager repurchases of troubled assets, according to the latest U.S. CREL CDO delinquency index results from Fitch Ratings, which are highlighted in this week's U.S. CMBS newsletter.
The June 2010 delinquency rate increased to 12.2% from 11.6% in May. Asset managers continue to actively repurchase defaulted and credit impaired assets from CDOs. In June, seven whole loans (58 basis points (bps)) were repurchased from three different CDOs, compared to 7 bps for May and 25 bps for April.
Fitch Ratings recently completed reviews of all 35 of its rated CREL CDOs pursuant to its updated surveillance criteria. In the agency's prospective analysis, the average base case modeled losses for these CDOs is approximately 34% while total realized losses to date are approximately 5%. Similarly, the average modeled default rate is significantly greater than the current delinquency rate: 56% compared to 12.2%. As real estate fundamentals tend to lag the overall economy, Fitch's ratings already reflect the anticipated increase in total delinquencies and realized losses expected over the next several years. In the near term, the CREL delinquency index understates the extent of credit risk assets as managers pursue resolutions and/or trade out potentially troubled assets at losses to par, often prior to actual default.
Additional information is available in Fitch's weekly e-newsletter, 'U.S. CMBS Market Trends'. The link below enables access to Fitch's U.S. CMBS Market Trends weekly updates:
Additional information is available at 'www.fitchratings.com'
ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE.
CONTACT:
Fitch Ratings
Stacey McGovern, +1-212-908-0722
Karen Trebach, +1-212-908-0215
Sandro Scenga, +1-212-908-0278 (Media Relations)
sandro.scenga@fitchratings.com
KEYWORDS: United States North America New York
INDUSTRY KEYWORDS: Professional Services Finance
MEDIA:
Latest Commentary