CDOs, MBSs, CMBS, CMOs

Commercial Mortgage Delinquencies Mixed with CMBS Faring Worst

Posted on Thursday, June 30, 2011

Delinquency rates among different commercial and multifamily mortgage investor groups were mixed in the first quarter of 2011, according to a study released Wednesday by the Mortgage Bankers Association (MBA).
The delinquency rate for loans held in commercial mortgage-backed securities (CMBS) reached the highest level since this series of the MBA report began in 1997, but the trade group noted that the climb was slower than in recent quarters.
Delinquency rates for other investor groups, however, remain below levels seen in the last major real estate downturn during the early 1990s — some by large margins.
The MBA analysis looks at commercial and multifamily delinquency rates for five of the largest investor groups: commercial banks and thrifts, CMBS, life insurance companies, Fannie Mae, and Freddie Mac. Together these groups hold more than 86 percent of commercial and multifamily mortgage debt outstanding.
(Note: Delinquency measurements in terms of days past due are not consistent across the various groups.)
Between the fourth quarter of 2010 and first quarter of 2011, the 90-plus day delinquency rate on loans held by FDIC-insured banks and thrifts remained the same at 4.18 percent. This rate is 2.40 percentage points lower than the series high of 6.58 percent reached in the second quarter of 1991, during the savings and loan crisis.
In March 2011, MBA released a DataNote covering the performance of commercial and multifamily mortgages at commercial banks and thrifts over the entire year 2010. The DataNote found that commercial and multifamily mortgages had the lowest charge-off rates of any major loan type and had delinquency rates lower than the overall book of loans and leases held by banks and thrifts.
The 30-plus day delinquency rate on commercial and multifamily loans held in CMBS increased 0.23 percentage points during the first quarter to 9.18 percent. The rate hit a record high for this series. The CMBS delinquency calculation is the only one to also include REO.
Commercial and multifamily mortgages held in life company portfolios carried a 60-plus day delinquency rate of 0.14 percent in Q1, down 0.05 percentage points from the previous quarter. That’s 7.23 percentage points lower than the series high of 7.37 percent seen during the fourth quarter of 1993.
The 60-plus day delinquency rate on multifamily loans held or insured by Fannie Mae decreased 0.07 percentage points to 0.64 percent. The rate is 2.98 percentage points lower than the series high of 3.62 percent hit during the fourth quarter of 1991.
Freddie Mac’s multifamily loans 60-plus days delinquent during the first quarter increased 0.10 percentage points to 0.36 percent, and came in 6.45 percentage points below the 6.81 percent series high in 1992.
By Carrie Bay, DS News


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