Fitch Reports Rise In CRE CDO Delinquencies

uencies for U.S. commercial real estate collateralized debt obligations (CDOs) rose last month due to $136.9 million in asset manager repurchases of troubled assets, according to delinquency index results from [link=]Fitch Ratings[/link]. The June 2010 delinquency rate increased to 12.2% from 11.6% in May, according to Fitch, with seven whole loans – 58 basis points (bps) – repurchased from three different CDOs, compared to 7 bps for May and 25 bps for April. The rating agency's prospective analysis determined that the average base case modeled losses for these CDOs are 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%. SOURCE: Fitch


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