More than 80% of all commercial loans that were one-month delinquent in the fourth quarter of 2008 remained delinquent at the next scheduled payment date. These loans have become a more accurate predictor of future performance for U.S. commercial mortgage-backed securities (CMBS), according to Fitch Ratings.
The fourth-quarter results for 30-day roll rates, which show the percentage of loans that were 30 days delinquent in the prior month that become 60 days delinquent, are more than twice the rate experienced during the first three quarters of 2008. Fitch attributes the increased rate to deteriorating real estate fundamentals and borrowers' inability or unwillingness to cure property-level issues.
‘The majority of loans that were 30 days delinquent in the first three quarters of the year were brought current prior to the next payment date,’ says Managing Director Susan Merrick. ‘The fourth quarter of the year presented a new roll-rate trend, as most loans that were 30-days delinquent advanced to a 60-day delinquency status.’
SOURCE: Fitch Ratings