Fitch: Monthly Index Finds No New CREL CDO Late-Pays

For the first time in five years, Fitch’s index indicated that a month passed without any new U.S. commercial real estate loan collateralized debt obligation delinquencies.

“The overall rate of CREL CDO late-pays fell to 11.8% last month from 12.7% in May as no new delinquent assets were reported and 15 assets were removed from the index,” according to Fitch. “The removed assets included ten assets disposed of at losses, two defaulted assets that paid in full, two loans repurchased by asset managers in May, and one matured balloon loan that was recently extended.”

Fitch added, “While one large loan default could swing the CREL CDO delinquency rate back up rather quickly, the decline in late pays in recent months is an encouraging sign for the market.”

According to the company, “CDO managers reported approximately $55 million in realized principal losses in June from asset disposals.

“The average loss on these assets, which include both loans and securities, was 51%. The largest single loss was related to the discounted payoff at approximately 50% of par of a nonperforming matured whole loan.”

Twenty-eight CREL CDOs rated by Fitch recorded a broad range of delinquency rates, some as low as 0.3% and some as high as 83.8% last month.

“In total, 44% of the rated CREL CDOs were failing at least one overcollateralization test in June,” Fitch said.