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Derivative Fitch Launches Monthly U.S. CREL CDO Delinquency Index.

Business Wire

| November 06, 2007 | COPYRIGHT 2009 Business Wire. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan.  All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)Copyright

NEW YORK -- Delinquency rates on U.S. commercial real estate loan (CREL) CDOs are at historical lows mirroring U.S. CMBS, though there may be more volatility in the coming months, according to Derivative Fitch's inaugural monthly U.S. CREL CDO loan delinquency index.

Derivative Fitch currently rates 35 CREL CDOs encompassing nearly 1,100 loans with a balance of $23.5 billion. "With a smaller universe, more transitional collateral, and higher leverage than CMBS, Derivative Fitch expects more volatility in the monthly CREL CDO delinquency rate compared to CMBS," said Senior Director Karen Trebach.

When considering repurchased loans, the October 2007 U.S. CREL CDO loan delinquency rate of 0.36% is higher than the U.S. CMBS delinquency rate of 0.29% for…

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Source: HighBeam Research, Derivative Fitch Launches Monthly U.S. CREL CDO Delinquency Index.

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