Fitch: U.S. CMBS Losses are Increasing, Loss Severities Stable.

CHICAGO -- Losses are on the rise in U.S. CMBS, according to Fitch Ratings in its latest CMBS Loss Study. While Fitch expects this trend to continue due to loan seasoning and growing CMBS volume, loss severities have remained stable. 'For loans liquidated in 2004, the loss severity was 40.8%, compared with 40.1% in 2003,' said Britt Johnson, Director, Fitch Ratings. 'Historically, severities have remained close to 40%, and Fitch does not expect this to change.'

In the Fitch Loss Study, loss and default statistics by property type and vintage are also discussed. While 2004 retail loan defaults dropped by almost half from 2003, this property type continues to cause significant losses. Conversely, losses caused by multifamily loans were the least of the three major property types; however, multifamily defaults constitute the most of any property type during 2004.

The highest defaults and losses by dollars occurred in the 1997-2000 and 1996-1998 vintages, respectively. 'Contrary to what this loss data suggests,' noted Johnson, 'deals issued in 1996-1998 are not necessarily poorer performers from a bond perspective. Substantial credit enhancement and several years of amortization have resulted in many upgrades: 44% of upgrades in 2004 were to bonds in these vintage years.'

For more information, '2005 U.S. CMBS Loss Study' is available on the Fitch Ratings web site at www.fitchratings.com.

Fitch's rating definitions are available on the agency's public web site, www.fitchratings.com. Published ratings, criteria and methodologies, and relevant policies and procedures are also available from this site, at all times. This document will remain on the public site for seven days.