U.S. CREL CDO Delinquencies Rise

U.S. commercial real estate loan CDO delinquencies are up again from last month, according to the latest U.S. CREL CDO loan delinquency index from Derivative Fitch. Three new delinquent loans contributed to a 0.47% U.S. CREL CDO loan delinquency rate for December 2007, compared to last month’s delinquency rate of 0.15%, excluding repurchased loans, Fitch said. Seven loans were delinquent as of the December 2007 index, two of which, that are collateral in two different CDOs, are secured by the same property, Fitch said. Three loans, representing 0.15% of the CREL CDO collateral were 30 days or less delinquent in December 2007. One loan, which accounts for 50% of the total 30-day or less delinquencies, is a chronic late payer that is not currently anticipated to result in a loss to the CDO, Fitch said. The rating agency said it will increase the probability of default to 100% for delinquent loans that are unlikely to return to current. This adjustment could increase the loan’s expected loss in the cases where the probability of default was not already 100%.