Bangkok--9 Jul--Fitch Ratings
Fitch Ratings has today said that downgrades of Asia Pacific structured finance tranches were up almost ten-fold in 2008, while upgrades during the year were a third of those seen in 2007.
The deterioration in Japanese CMBS contributed to a large portion of downgrades in the region in 2008, a trend likely to continue throughout 2009. As a result, the CMBS sector's stellar record for investment grade tranches either maintaining their ratings or being upgraded was tarnished, with nearly 4% of tranches in this sector being downgraded during 2008, compared to less than 0.5% during 1998-2008. Non-conforming RMBS from Australia and New Zealand also experienced downgrades, as their deteriorating economies led to higher than expected losses in this sub-sector. As a result, Asia Pacific RMBS lost its 100% long term record of all ratings being either affirmed or upgraded.
"The Outlook for CMBS ratings throughout the rest of 2009 in Japan and Australia is Negative. Recovery of the full underlying loan amounts in Japan is under pressure due to the challenging commercial real estate market, in terms of availability of finance and property values," says Alison Ho, Director and Head of Asia Pacific Performance Analytics.
RMBS was the most stable asset class during 2008, with over 98% of tranches either maintaining or improving their ratings. Synthetic investment grade corporate CDOs with assets located predominantly within the region experienced eight downgrades.
Mobius ELR-01 Trust (Mobius), the troubled Australian ABS transaction, was the only Asia Pacific transaction in this sector to experience downgrades in 2008. Several CDO tranches, plus three tranches from Mobius, were downgraded to 'D' in H109, the first defaults in this region to date.
Important exclusions from the 2008 study include CDOs where assets are not predominantly located within Asia Pacific, and RMBS tranches whose ratings are dependent on the ratings of lenders' mortgage insurance providers.
More details on rating activity in the region over the period 1998 to 2008 by geography and product, as well as a brief summary of rating actions so far in 2009 and the agency's outlook in key areas for the remainder of the year can be found in the report, '2008 Asia Pacific Structured Finance Transition and Default Study and H2 2009 Performance Outlook', available on the agency's public website www.fitchratings.com.
Contacts: Alison Ho, Hong Kong, +852 2263 9937; Ben McCarthy, Sydney, +612 8256 0388.
Media Relations: Shivani Sundralingam, Singapore, Tel: + 65 6796 7215, Email: [email protected].