CMBS unpaid balances reach $62.19 billion, CRE CDO delinquencies up
The delinquent unpaid balance within commercial mortgage-backed securities is more than double a year ago and 28 times higher than March 2007. In its monthly delinquency report, Realpoint said the delinquent unpaid balance for CMBS last month rose 1.3% to $62.19 billion from $61.39 billion in August. The gain of $801.2 million in September is higher than the previous two months, but below the average of $3.14 billion a month during the first half of 2010, according to Realpoint. A year ago, the delinquent unpaid balance was $31.73 billion. The September delinquency ratio of 8.04% rose slightly from 7.93% a month prior and is up substantially from 3.94% a year earlier, according to Realpoint. The research firm said the current ratio is 28 times higher than the record low of 0.283% in June 2007. "The continued increase in both delinquent unpaid balance and percentage is now being impacted by the rapid growth in liquidations on a monthly basis and a potential slow-down in the reporting of new delinquency for the remainder of 2010," according to Realpoint analysts. Realpoint now expects the delinquent unpaid CMBS balance to remain between $60 billion and $70 billion through the end of the year, keeping the ratio between 8% and 9%. "The potential to grow higher than 9%, however, remains under more heavily stressed scenarios involving additional large loan defaults," according to Realpoint. Analysts said this view is due to several "high-risk loans from recent vintage transactions that continue to show signs of stress and default risk, along with continued/expected balloon maturity defaults where refinance proceeds are not available." Realpoint said California remains the most-dominant driver of the space accounting for about 13% of all CMBS delinquencies. California, Florida, and Texas collectively account for almost a third of all delinquent mortgages in CMBS through September. Meanwhile, Fitch Ratings said delinquencies within collateralized-debt obligations in commercial real estate loans rose 12.9% last month. Analysts said loans secured by office and multifamily properties were more than 70% of the 19 new delinquencies last month within rated CREL CDO, including eight term defaults, seven matured balloons and four credit-impaired securities. The agency rates 35 CREL CDOs that collectively comprise about 1,100 loans and 500 securities with an aggregate balance of $22.6 billion. Analysts said 14 of the securities were failing at least one overcollateralization test. Write to Jason Philyaw.