Fitch: '02 CMBS Loan Losses Minimal

A study of loan losses on commercial mortgage-backed securities by Fitch Ratings has found that the overall dollar losses as of year-end 2002 in the transactions studied amounted to only 0.17% of the total loan balances in Fitch-rated conduit, large-loan, and fusion CMBS deals.The rating agency said it expects losses at the end of this year to remain under 0.20% of the total conduit collateral, an amount that Fitch sees as "insufficient to impact CMBS investment-grade classes." Loans resolved through a servicer-negotiated discounted payoff had an average loss of 28.9%, with an average resolution time of 11.9 months, while loans that became real estate owned had an average loss severity of 64.3% and took 23.4 months to resolve. However, "DPO resolutions are less likely to be available as an option on collateral that is older, obsolete, or in a declining market," said Mary O'Rourke, a Fitch senior director. In dollar terms, Fitch saw an additional $241.5 million in loan balance losses on the loan defaults that were resolved in 2002. Of the 228 defaulted loans that were resolved, 55% did not result in any realized losses. The 2002 losses represented 21% of the "original total balance" of the defaulted loans that were resolved, the rating agency said. Fitch can be found on the Web at http://www.fitchratings.com.