Delinquencies on U.S. commercial real estate loan collateralized debt obligations delinquencies (CREL CDO) remained at 11.6% for the second straight month in September, according to the latest index results from Fitch Ratings.
CREL CDO realized losses to date were approximately 13% of par (based on original fully ramped collateral). The average modeled lifetime expected loss on Fitch's rated portfolio is 37.7% (based on each CDO's last review). Last month, there were 29 CREL CDOs rated by Fitch Ratings that reported delinquencies ranging from 0.2% to 63.7%. The new delinquent assets that emerged in September consisted of three credit-impaired securities, one term default, and a new REO asset with interests contributed to two different CDOs.
Last month, managers reported approximately $87 million in realized principal losses from the disposal of 20 assets. The average recovery on these assets was 47%, Fitch Ratings says, while the largest reported loss was $27.9 million on a mezzanine loan.