U.S. commercial real estate loan CDO delinquencies are up again from last month, according to the latest U.S. CREL CDO loan delinquency index from Derivative Fitch. Three new delinquent loans contributed to a 0.47% U.S. CREL CDO loan delinquency rate for December 2007, compared to last month's delinquency rate of 0.15%, excluding repurchased loans, Fitch said. Seven loans were delinquent as of the December 2007 index, two of which, that are collateral in two different CDOs, are secured by the same property, Fitch said. Three loans, representing 0.15% of the CREL CDO collateral were 30 days or less delinquent in December 2007. One loan, which accounts for 50% of the total 30-day or less delinquencies, is a chronic late payer that is not currently anticipated to result in a loss to the CDO, Fitch said. The rating agency said it will increase the probability of default to 100% for delinquent loans that are unlikely to return to current. This adjustment could increase the loan's expected loss in the cases where the probability of default was not already 100%.
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Spreads ranging from 16-18 basis points over the three-month, interpolated yield curve on the P1 (Moody's) and F1+ (Fitch) notes, to 160 to 170 over the benchmark on the class D notes.
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Broken down by product type, the agency's NJCLASS Standard Fixed product should account for a large majority of the loans, 75.4%. NJCLASS Consolidation will account for the next-largest group, 14.1%.
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The notes will price against Treasurys, with spreads expected to fall between 85 and 90 basis points over the benchmark.
April 24 -
The JPMorgan Chase CEO took aim Tuesday at the proposed Basel III endgame rules, hindrances to mergers and bureaucratic burdens. "I would love to have a more productive relationship with regulators, but I think it takes conversation," Dimon said.
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Bluegreen Vacation originated the loans and Fitch expressed confidence in its record of good performance as servicer.
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Many legal experts think the Supreme Court will rule in favor of the Consumer Financial Protection Bureau in a case challenging its funding. Such a ruling would unleash a flurry of litigation that has been on hold pending the outcome of the constitutional challenge.
April 23