March 15 (The following statement was released by the rating agency)
NEW YORK, March 15 (Fitch) The see-saw pattern continues for U.S. CREL CDO
delinquencies as they rose marginally last month, though the root of the
increase actually stemmed from a decline in total CDO collateral, according to
the latest index results from Fitch Ratings.
Late-pays on CREL CDOs increased to 13.1% from 12.7% in January. However, total
dollar balance of delinquent assets rose only minimally. The higher delinquency
rate was driven primarily by a decrease in the total balance of Fitch rated CDO
collateral. Since January, the total collateral balance has decreased by
approximately $350 million (2.3%).
Only five new delinquencies were reported in February. Among them included three
matured balloons, one term default, and a newly credit impaired security. The
largest new delinquency was a whole loan secured by a hotel located proximate to
T.F. Green International Airport in Rhode Island, which matured in the reporting
period, without repayment.
In February, asset managers reported only $7.4 million in realized principal
losses from the disposal of three assets. The largest reported loss was a 17%
realized loss on the discounted payoff (DPO) of a defaulted whole loan secured
by a portfolio of office properties located in San Antonio, TX.
Additional information is available in Fitch's weekly e-newsletter, 'U.S. CMBS
Market Trends', which also contains recent rating actions and an overview of
newly released CMBS research, including Fitch presales and Focus reports. The
link below enables market participants to sign up to receive future issues of