Fitch U.S. CMBS VintageView: 30-Day Roll Rates Warrant Closer Look.

NEW YORK -- Roll rates from June to July on delinquent loans moving from 30-days to 60 days in Fitch rated transactions were 54%, marking the tenth straight month that over 50% of the 30 day delinquencies moved to 60 days delinquent, according to Fitch Ratings in its latest VintageView update for U.S. CMBS.

"As commercial real estate fundamentals continue to deteriorate, 30-day roll rates have become an important precursor in helping to anticipate future performance for CMBS delinquencies," says, Mary MacNeill, Managing Director, Fitch Ratings.

The majority of Fitch Loans of Concern are performing, accounting for 14.8% in multiborrower fixed rate deals and 28.8% in floating rate deals. As the weakening economy causes commercial real estate fundamentals to continue to decline, Loans of Concern and delinquencies are rising. Fitch Loans of Concern within the fixed-rate 2004 through 2007 vintages are up an average of 5% from June to July as yearend 2008 financial statements evidence declining cash flow trends. Fitch expects both 30 and 60 day delinquencies to continue to rise in these vintages as loans 30 days delinquent rose by an average of 62 basis points.

To compare a transaction to other deals within its vintage, see Fitch's special report dated July 27, 2009, 'Fitch U.S. CMBS VintageView', available at www.fitchratings.com under the following headers:

Structured Finance >> CMBS >> Special Reports

VintageView provides delinquency and Fitch Loan of Concern comparisons between any specific transaction and the average for that transaction's vintage and transaction type. Comparisons are broken down in the following categories:

--Fixed-rate multiborrower;

--Floating-rate large loan;

--Fixed-rate large loan;

--Fixed-rate small balance;

--Fixed-rate other.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.