June 14 (The following statement was released by the rating agency)
U.S. CREL CDO delinquencies fell last month to 12.7% from 13.2% in April, according to the latest index results from Fitch Ratings. Only three new delinquencies were reported in the month, including a matured balloon loan, a newly credit impaired security, and a credit risk mezzanine loan that was repurchased at par by the asset manager.
Seven assets were removed from the Index. These assets included four whole loans that were modified and extended, and three assets that were disposed of at significant to full losses. All four modified and extended loans were modeled with losses in Fitch's prior review of the respective CDOs. That said, extensions could allow CREL CDO properties time to bring below market occupancies in line with their respective markets and stabilize property cash flows going forward.
In May, asset managers reported approximately $94 million in realized principal losses from the disposal of nine assets. The largest single loss was related to the disposal of senior and subordinate interests in a failed resort development located in southwestern Montana that were contributed to the same CREL CDO. The borrower was in Chapter 7 bankruptcy and only 12% of the entire CDO debt was recovered as part of the bankruptcy trustee's liquidation of the property.
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