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Structured Finance 2000-2018 Issuance Loss Estimates Down

Total losses on US and Canadian structured finance (SF) bonds are concentrated in crisis-era transactions (2005-2007 vintages) and primarily consist of losses on US RMBS, Fitch Ratings says in a new report. Losses on SF tranches issued prior to 2009 contribute 99.9% of total SF losses. Approximately 95% of pre-crisis bond issuance is resolved (repaid or loss realized) or withdrawn. 

Retail Remains Biggest Sore Spot for U.S. CMBS

As the broader retail sector continues its profound change, the ripple effect for U.S. CMBS is being felt even in malls that have survived thus far according to Fitch Ratings in its 2019 Virtual Investor Video Series for Structured Finance.
 

Retail Remains Biggest Sore Spot for U.S. CMBS

California Earthquakes Do Not Affect US RMBS, CMBS Ratings

The recent earthquakes in southeast California are not expected to have any effect on the ratings of US residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities (CMBS), says Fitch Ratings.

Weak Performance in US CMBS Student Housing Persists

Student housing remains a subsector of concern in the Fitch-rated CMBS 2.0 universe and performance is expected to continue to fare worse than traditional multifamily in the near to medium term. Although student housing loans comprise less than 2% of the overall CMBS 2.0 universe, these loans have been the largest contributor to overall multifamily defaults. 

U.S. CMBS Shielded from New York City Rent Regulations

New York City's newly enacted tenant protection legislation will not negatively affect Fitch-rated U.S. CMBS multifamily loans or deals these loans are securitized in.

'AAAsf' & 'AAsf' US CMBS 2.0 Bonds Resilient to Value Declines

U.S. CMBS 2.0 bonds rated 'AAAsf' and 'AAsf' would remain broadly resilient to significant commercial real estate valuation declines, according to a stress test report published today by Fitch Ratings. Given the increasing late cycle concerns and peak valuations, Fitch has stress-tested a representative sample of its rated U.S. CMBS 2.0 deals (2010 and later vintages) in the event of two hypothetical downturn scenarios of increasing severity.

Fitch Ratings Says Tougher View of Malls in U.S. CMBS Warranted as Their Struggles Continue

Taking a more conservative ratings approach on malls in U.S. CMBS will prove to be a valuable preventative measure against downgrades over time as the evolving retail business model renders some malls obsolete and adversely affects others that have survived thus far

Webinar

US CMBS Default/ Loss Study Webinar

In this webinar we discuss findings from our annual US CMBS 2018 Loan Loss Study. Highlights will include loan loss severity rates, overall and by property type, as well as discussions on some of the larger and more interesting 2018 resolutions, and our outlook for the coming year.

Speaker: Karen Trebach – Senior Director, Structured Finance.

Listen Now

EMEA Structured Finance Losses Remain Very Low

Total losses on EMEA structured finance (SF) are low and are concentrated in certain crisis-era transactions, Fitch Ratings says in a new report. More than three-quarters of all expected losses have now been realised. 
 

Available On-DemandFitch Discusses EMEA Structured Finance Losses 2000-2018
 

Adverse Selection Drives Higher Losses for Legacy U.S. CMBS

Adverse selection within the waning U.S. CMBS 1.0 universe - loans originated prior to 2009 - drives higher loss severities in 2018, according to Fitch Ratings annual U.S. CMBS loss study. While cumulative 2018 CMBS loss severities were in line with recent years at 45.6%, compared with 45.9% in 2017, average annual loss severity rose to 42.1% from 35.6% in 2017. 

U.S. CMBS Loan Defaults Fall Sharply; Retail Remains a Concern

Loan defaults declined sharply for U.S. CMBS last year with more of the same likely for 2019, according to the latest annual U.S. CMBS loan default study.

U.S. CMBS Delinquency Rate Posts Increase in March

An uptick in new delinquencies and light resolution volume last month ended the five consecutive months of decline in Fitch Ratings' U.S. CMBS delinquency rate. 

Webcast

IBOR Transition Webinar

Available On-Demand

Fitch’s Chief Credit Officer, Jeremy Carter, and Group Credit Officer, Andreas Wilgen, discuss the progress which has been made to prepare financial markets for the discontinuation of IBOR indices and highlight the risks which still remain.

 

Listen Now

Webinar

U.S. CMBS 2.0 Defaults: Bank vs. Nonbank Originators

On-Demand Webinar 

Now that CMBS 2.0 has several years of performance history, come listen to Bob Vrchota and Melissa Che discuss the differences between the performance of bank and nonbank originated loans that have defaulted to date. Join us as we discuss the drivers behind the loan defaults and gain insight on the timing of defaults.

Report Press ReleaseNonbank U.S. CMBS Originators Default More and Earlier

IBOR Transition Makes Progress, but Key Risks Unaddressed

Substantial progress in recent months will better prepare financial markets for the discontinuation of IBOR indices, but transition risks remain, Fitch Ratings says in a new report. Our ratings address the payment of interest (and principal) in accordance with the underlying terms of an obligation and would not be directly affected by transition from one reference rate to another or any accompanying spread adjustment. 

U.S. CMBS Delinquencies Finish 2018 Lower; Further Decline Expected by YE 2019

Strong resolution volume of CMBS 1.0 assets and continued new issuance activity contributed to the steep decline in the U.S. CMBS delinquency rate last month, according to the latest index results. 

Investment Grade Entities Must Guarantee Leases for "Extra-Credit" in U.S. CMBS

More favorable treatment to Investment Grade (IG) tenants when analyzing loans in U.S. CMBS transactions given the lower expected default rate relative to below IG or unrated tenants. However, issuers and originators must verify that an IG entity is named on the lease, or an IG entity guarantees the lease of a property backing a U.S. CMBS loan to warrant the additional benefit that Fitch assigns to highly rated tenants.

Canadian CMBS Loan Defaults and Losses Remain Low

Defaults and losses for Canadian CMBS loans remain very low despite the Great Recession, the 2014 global oil price decline and the Fort McMurray wildfires, according to Fitch Ratings in its latest Canadian CMBS loan default and loss study. 

Outlook 2019

Late-Cycle Risk Grows for NA Structured Finance in 2019

The structured finance markets in North America are positioned for another stable year in 2019; however, Fitch Ratings' outlook report points to several noteworthy external factors investors should consider.

Houston Exposure Still an Area of Concern for U.S. CMBS

The city of Houston has shown signs of economic improvements, though the property market is still dealing with some headwinds according to Fitch Ratings in its latest U.S. CMBS newsletter.

Sears Store Closures May Affect U.S. CMBS

Sears Holdings' Chapter 11 bankruptcy filing will likely place additional stress on the existing performance of already underperforming regional malls throughout the country, which, according to Fitch Ratings, means added stress on some of its rated U.S. CMBS. Across the Fitch-rated CMBS portfolio, the overall exposure to Sears and Kmart consists of 126 loans totaling approximately $6.6 billion securitized in 116 transactions.

U.S. CMBS 2.0 Borrowers Continue to Refinance Loans Early

Increasing loan prepayment and defeasance volume is largely driven by U.S. CMBS 2.0 borrowers continuing to take advantage of the current low interest rate environment and stable to improving property performance. Borrowers are acting in anticipation of further interest rate rises this year and in 2019. Fitch Ratings expects the trend to slow through 2019 in conjunction with each additional interest rate increase.

More Unsolicited SF Comments are Likely due to Late-Cycle Behavior

Late-cycle credit behaviour is manifesting in securitisations more frequently of late, which has triggered more unsolicited commentaries from Fitch Ratings on structured finance deals not rated by the agency and in certain sectors, according to the rating agency in a new report.

Fitch-Rated U.S. CMBS Can Absorb $3B Hurricane Michael Exposure

Negative rating actions are unlikely for roughly $3.4 billion of Fitch-rated U.S. CMBS with exposure to properties in Florida and Georgia affected by Hurricane Michael last week given servicer advancing, insurance coverage typical of CMBS loans and strong sponsorship among the larger affected properties, according to the rating agency's latest weekly U.S. CMBS newsletter.

U.S. CMBS Delinquency Rate Dips Further in September

Strong new issuance volume, along with steady loan resolution activity and minimal new delinquencies, fueled the fifth consecutive month of decline in the U.S. CMBS delinquency rate, according to the latest index results from Fitch Ratings.

NOI Growth Decelerates Across Property Types in U.S. CMBS

Property type NOI growth continues to decelerate in U.S. CMBS, according to Fitch Ratings in its latest weekly U.S. CMBS newsletter. NOI for properties securitized within Fitch-rated U.S. CMBS conduit deals rose again last year by 1.9%. However, Fitch observed a continuation of the trend of slowing growth over the last four years.
 

Virtual Investor Series 2018

Global Virtual Investor Meeting Videos

This series features senior analysts across our structured finance teams answering the questions we regularly address in one-on-one investor meetings. It covers overall market trends, specific transaction performance, and broad economic issues to give you the insights and perspective you’d get at one of our in-person meetings.

 

Watch the Videos

 

Elizabeth Finance 2018 DAC Lacks 'AAAsf' Protection

Elizabeth Finance 2018 DAC exposes noteholders to a concentrated portfolio of secondary quality regional UK properties financed by two loans. The CMBS cannot support 'AAAsf' or 'AAsf' ratings, regardless of leverage, particularly given that repayments from refinancing borrowers will be repaid to note classes on a pro-rata basis (according to DBRS's presale report).

Rise of IO Loans in New U.S. CMBS Drawing More Scrutiny from Fitch

Interest only (IO) loans in new U.S. CMBS deals receive harsher treatment by Fitch Ratings to help stem the risk of higher defaults and losses, as detailed in a new report.

US CMBS Delinquencies Will Decline by Year End

The US commercial mortgage-backed securities (CMBS) delinquency rate is expected to finish 2018 between 2.25% and 2.75%, Fitch Ratings says. Strong new issuance activity, performance stability of CMBS 2.0 loans, the small volume of maturities for the remainder of 2018 and continued resolution activity by special servicers will all contribute to keeping delinquencies in this low range.

Contacts

Ben McCarthy

APAC

Ben McCarthy

Analytical

+61 2 8256 0388

Spencer Wilson

APAC

Spencer Wilson

Business

+61 2 8256 0305

Euan Gatfield

EMEA

Euan Gatfield

Analytical

+44 20 3530 1157

Nigel Green

EMEA

Nigel Green

Business

+44 20 3530 1507

Huxley Somerville

North America

Huxley Somerville

Analytical

+1 212 908 0381

Zanda Lynn

NORTH AMERICA

Zanda Lynn

Business

+1 212 908 0601

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