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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