ick in both the number of defaults and average loan size of new defaults resulted in a one-quarter point climb in March delinquencies to end the month at 1.53%, according to the latest U.S. CMBS Loan Delinquency Index results from Fitch Ratings. ‘Continued larger loan defaults within the index are indicative of the moderate to severe macroeconomic stress environment that Fitch now views as applicable to U.S. [commercial mortgage-backed securities] (CMBS) performance," says Fitch's managing director and U.S. CMBS group head, Susan Merrick. "Recent vintage transactions, which are typically more concentrated by loan balance and have greater exposure to larger loans without stabilized income at issuance, will prove particularly susceptible to future losses attributable to the prolonged macroeconomic downturn." The 2006 through 2008 vintages, which represent 56.6% of the Fitch-rated universe, now account for approximately 53.8% of all delinquencies within the index. The recent vintage defaults are rising at a relatively fast pace compared to averages indicated by historical default curves. Whereas defaults in a non-recessionary environment typically spike three to five years subsequent to issuance, macroeconomic contraction, coupled with the higher leverage and pro-forma underwriting that are characteristic of recent vintages, has accelerated default rates for loans in the 2006 through 2008 vintages. In March 2009, 202 loans rated by Fitch totaling $1.7 billion became newly delinquent. Excluding small-balance and B note loans, the average size of the new defaults was $10.1 million. Twenty-one loans with a balance exceeding $20 million were added to the index last month, 15 of which were collateralized by retail properties. New defaults included the $86 million Metropolis Shopping Center located in Plainfield, Ill.; the $81 million Southland Mall in Hayward, Calif.; and the $74 million Deerbrook Mall located in Humble, TX. SOURCE: Fitch
