Fitch Ratings Reports U.S. CREL CDO Delinquencies Fall Slightly

NEW YORK CITY, NY-- Delinquencies for U.S. CREL CDOs again declined slightly last month as asset managers continue to both extend loans and trade out credit risk assets, according to the latest U.S. CREL CDO delinquency index results from Fitch Ratings, which are included in this week’s U.S. CMBS newsletter.

The May 2010 delinquency rate decreased to 11.6% from 12.1% in April. 45 loan extensions were reported in May, including four former matured balloon loans.

Three previously delinquent assets were disposed of by
asset managers at losses ranging from 20% to 99.8% of par.

In May, total realized losses on credit risk assets were reported at over $50 million. ‘Many troubled assets disposed of at losses this past month were not yet considered delinquent,’ said Director Stacey McGovern.

‘The CREL delinquency index may understate the extent of credit risk assets as managers continue to pursue resolutions and/or trade out potentially troubled assets at losses to par, often prior to actual default.’

Contact:
Stacey McGovern +1-212-908-0722, or Karen Trebach, +1-212-908-0215, New York.
Media Relations: Sandro Scenga, New York, Tel: +1 212-908-0278:, sandro.scenga@fitchratings.com
Additional information is available at http://www.fitchratings.com/