Fitch: U.S. CREL CDO Delinquencies Above 7%

NEW YORK--(Business Wire)--
Over 20 newly delinquent assets led to an increase in U.S. commercial real
estate loan (CREL) CDO delinquencies to 7.8% for April 2009, up from 6.5% in
March 2009, according to the latest CREL CDO delinquency index (CREL DI) from
Fitch Ratings. Fitch currently rates 35 CREL CDOs encompassing approximately
1,100 loans and 370 rated securities/assets with a balance of $23.8 billion.

The CREL DI has now surpassed 7% with over 75% of all Fitch rated CREL CDOs
containing at least one delinquent loan. 'At this rate of increase, the
delinquencies for CREL CDOs are likely to exceed 15% by the end of this year,'
said Senior Director Karen Trebach. Individual CDO delinquency rates ranged from
0% to approximately 24% of the CDO par balance, in the April reporting period.

New delinquencies included an A-note secured by a General Growth Properties,
Inc. (GGP) affiliated regional mall. The borrower was listed as a debtor in
GGP's April 2009 bankruptcy court filing. Other exposure to GGP in the CREL DI
includes seven real estate bank loan interests in seven different CDOs (51 basis
points). On April 16, Fitch downgraded GGP's and GGP's wholly-owned subsidiary
The Rouse Company's Issuer Default Ratings (IDR) to 'D' with related bank loan
facilities and unsecured senior notes affirmed at 'C/RR5', suggesting below
average recovery prospects ranging from 11% to 30%.

CREL CDO asset managers continue to trade impaired assets out of CDOs at a
discount, including at least eleven credit impaired interests from seven
different CDOs. Ten of these assets were sold at prices ranging from 2% to 50%
of par while one mezzanine loan was written off as a total loss. Three of these
assets were included in last month's CREL DI. Fitch considers all losses to par
in its evaluation of the credit enhancement available for each CDO tranche.

29 loans, including one matured balloon, were extended in the April reporting
period. Many of these were short term extensions to allow time to negotiate
longer term extensions, or pursue refinancing, which in most cases, Fitch
expects will be unobtainable.

While whole loans and A-notes comprise the highest percentage of asset type in
the CREL DI at 73%, mezzanine debt is the next highest at 13.1%, up from 8% in
March 2009. Due to the unsecured nature of mezzanine debt and generally high
leverage on these positions, Fitch assumes little to no recoveries in its
analysis of these delinquencies.

Loans backed by interests in land represent the highest percentage of assets in
the CREL DI at approximately 27.7%. The next highest percentage is multifamily
at 23.1%.

The CREL DI includes loans that are 60 days or longer delinquent, matured
balloon loans, and the current month's repurchased assets.

Fitch's rating definitions and the terms of use of such ratings are available on
the agency's public site, 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.

Fitch Ratings, New York
Karen Trebach, 212-908-0215
Stacey McGovern, 212-908-0722
or
Media Relations:
Sandro Scenga, 212-908-0278
Email: sandro.scenga@fitchratings.com

Copyright Business Wire 2009