An expected round of credit ratings downgrades and defaults of the highest rated tranches of complex securities backed by US commercial mortgage loans may set the stage for another credit crunch this autumn, new research has warned.

In a report from BNP Paribas, its London-based credit portfolio strategists said that with roughly $500bn (€355bn) of US commercial mortgaged-backed securities likely to be downgraded by one of the chief credit rating agencies this year, there could not be "a bigger red flag for the global financial system, which may bring back the credit crunch."