Fitch Ratings recently conducted a study covering CMBS issued from 1990-2003. This included 914 transactions valued at about $484 billion. Of this group, 20 had at least one class defaulted by at least one of the major ratings agencies. In all, said Fitch, there were 41 defaulted classes out of a population of 8,296. The defaulted classes totaled $958 million, or 0.20% of the amount of all the CMBS transactions. Excluding transactions issued in 2002 and 2003, the default rate slightly increases to 0.28% said Fitch.
Of the 20 transactions with defaults, Fitch said that five experienced investment-grade defaults totaling $467 million, and 15 had below investment-grade defaults totaling $491 million. The investment-grade defaults represented 0.17% of the investment-grade universe by number of classes, calculated Fitch, and 0.10% by dollar amount. The below investment-grade defaults were 1.53% by number of classes, and 1.61% on a dollar basis.