Fitch: Roll Rates Warrant Closer Look Into CMBS Market

ates from June to July on delinquent loans moving from 30 days to 60 days in Fitch-rated transactions were 54%, marking the 10th straight month that over 50% of the 30-day delinquencies moved to 60 days delinquent, according to Fitch Ratings in its latest VintageView update for U.S. commercial mortgage-backed securities (CMBS). ‘As commercial real estate fundamentals continue to deteriorate, 30-day roll rates have become an important precursor in helping to anticipate future performance for CMBS delinquencies,’ says Mary MacNeill, managing director with Fitch Ratings. The majority of Fitch Loans of Concern are performing, accounting for 14.8% in multi-borrower, fixed-rate deals and 28.8% in floating-rate deals. As the weakening economy causes commercial real estate fundamentals to continue their decline, Loans of Concern and delinquencies are rising. Fitch Loans of Concern within the fixed-rate 2004 through 2007 vintages are up an average of 5% from June to July, as year-end 2008 financial statements evidence declining cashflow trends. Fitch expects both 30- and 60-day delinquencies to continue to rise in these vintages, as loans 30-day delinquent rose by an average of 62 basis points. SOURCE: Fitch


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