Details in the earnings report show how eroding credit market conditions are impacting JER's financial health: its 60-day and greater delinquencies on loan collateral underlying its CMBS "first-loss" investments was 165 basis points at March 31, 2009; they were 83 basis points at December 31, 2008.

Also as of April 30, 2009, the 60-day and greater delinquency rate increased to 191 basis points. Its special servicing portfolio on March 31 consisted of 104 loans with an unpaid principal balance of approximately $1.2 billion. As of May 5, 2009, the number of loans in special servicing increased to 126 loans with an aggregate unpaid principal balance of approximately $2.3 billion.

Primarily due to the continuing increases in delinquencies and the special servicing portfolio, as well as current weakness in the real estate and credit markets, JER Investors is increasing its loss projections on the approximately $48 billion of commercial real estate loan collateral underlying its CMBS first-loss investments as of March 31 to approximately $1.2 billion, from approximately $964 million at December 31, 2008.

"In addition, we accelerated the projected timing of such losses and currently estimate that approximately 59.5% of the total projected losses will occur through 2011 compared to approximately 51.6% in our December 31, 2008 loss projections, and approximately 15.1% in our original underwriting," it said in a statement. JER Investors did not return a call to GlobeSt.com in time for publication.