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RBS Introduces CMBS Conduit Monitor

Royal Bank of Scotland (RBS) introduced its new CMBS Conduit Credit Monitor this month, which details delinquency rates, default and loss balances as well as severities for the fixed-rate conduit CMBS universe.

In its debut report, RBS said that the balance of CMBS conduit loans fell $3 billion to $618 billion from $621 billion as paydowns and liquidations offset new issuance last December.

CMBS loans on watchlist for December remained steady at 22.3% and the amount of loans in special servicer increased slightly to 12.7%.

Delinquent CMBS loans rose by $1 billion month-over-month or 0.2 percentage points. Year-over-year, delinquencies have increased $21 billion (3.9% of outstanding) to $58 billion (9.4% of outstanding) from $37 billion (5.5% of outstanding).

December data also showed 96 loans worth $535 million were liquidated at an average 62% loss severity. Last year, 1,177 loans totaling $7.4 billion were liquidated at a weighted average loss severity of nearly 59%.

The RBS December data showed that 12 loans, totaling $2.9 billion, were modified. Beacon Seattle & Washington D.C. Portfolio was the largest at $2.6 billion. The loan is split in six pari-passu pieces.

It also showed that 65% of all loans in special servicer have updated appraisals and the average appraisal reduction is nearly 50%.

The largest loan in special servicing that did not have an appraisal reduction is the Farallon Portfolio (ML-CFC 2007-8 $250 million; ML-CFC 2007-9 $500 million; MLMT 2008-C1 $150 million).

The RBS report also indicated that there are more than $60 billion loans coming due in 2011 without an extension option.

The largest January fixed-rate conduit maturity is the $125 million Valley View Center loan securitized in CD 2006-CD2 with a scheduled maturity date of Jan. 1.

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