Fitch rates EMC and Opera as top CMBS programmes

Citigroup’s EMC and Eurohypo’s Opera CMBS loan conduits are the best performing in Europe, while ABN Amro’s Talisman, followed by Lehman Brothers’ Windermere, are the worst, according to Fitch Ratings.

Fitch said EMC and Opera had the highest proportion of fully performing loans, both at 82%. EMC also had the highest level of repayments (62.6%), due to the conduit’s concentration of earlier-vintage and smaller loans.

By contrast, only 13.6% of Credit Suisse’s Titan loans have been repaid. Fitch looked at a range of reasons for non-performance. The highest proportion of payment defaults occurred in  Titan and Talisman – 12.5% and 12.1% of the conduits’ loans, respectively.

Payment defaults in the other eight largest conduits it looked at accounted for 4-9% of loans, but there have been no defaults in Morgan Stanley’s ELoC and Eurohypo’s Opera.

“When comparing loans’ outstanding leverage, the lowest average Fitch LTV is posted for [RBS’s] Epic programme, followed by the Opera and ELoC programmes,” said Gioia Dominedo, senior director in Fitch’s European CMBS team.

“At the other end of the spectrum are Titan, [Deutsche Bank’s] DECO and [Barclays Capital’s] Eclipse programmes, which have average A-note Fitch LTVs over 100%.” The volume of issuance varied greatly among institutions when the CMBS market was open.