(The following statement was released by the rating agency)
Nov 08 -
-- In September, interest shortfalls led to further note-level defaults,
which pushed the number of defaults in 2012 to 21.
-- We expect the increase in the number of loans in our special servicing
index to continue.
-- LTV covenant breaches caused a slight increase in our total
nonmonetary breach rate.
-- We expect loan performance to continue to come under pressure in 2013.
The performance of the commercial mortgage-backed securities (CMBS) transactions that
Standard & Poor's Ratings Services includes in its index continued to decline in September 2012,
as six more classes of notes defaulted following interest shortfalls in five
transactions. This has pushed the number of defaults in 2012 to 21, which is
more than half the total number of defaults (37) in 2011.
Credit analyst James Belchamber said "We anticipate the rating default index
will increase by year-end 2012, as a result of the final reporting period, but
should stay below 2011 levels,"
According to our October 2012 European CMBS monthly bulletin, two out of eight
loans scheduled to mature defaulted in September--we are currently awaiting
information on the remaining six. On the other hand, our 12-month rolling
maturity default rate has decreased to 13.88% from 15.52% as a result of the
(approximately) GBP720 million repayment of one large loan.
Mr. Belchamber continued: "We do not consider this decrease to be part of a
new downward trend and envision that this index will increase in the coming
months, in line with future reporting periods. Overall, we expect loan
performance to continue to come under pressure in 2013, as a large number of
loans near maturity and interruptions to cash flow and margin mismatches
become more pronounced."
RELATED CRITERIA AND RESEARCH
-- European CMBS Monthly Bulletin (October 2012): Interest Shortfalls
Lead To Further Note-Level Defaults, Nov. 7, 2012