KBRA Releases Research – CMBS Loan Performance Trends: March 2023

KBRA releases a report on U.S. commercial mortgage-backed securities (CMBS) loan performance trends observed in the March 2023 servicer reporting period The delinquency rate among KBRA-rated U.S. CMBS declined 22 basis points (bps) in March to 2.84%. The decline was largely attributable to a change in delinquency status of several specially serviced malls and, to a lesser extent, the inclusion of four newly issued conduits totaling $3.3 billion in the calculation. This is in sharp contrast to February, when the delinquency rate increased 12 bps to 3.06%, marking the first time the rate had risen above 3% after falling to a post-COVID low of 2.76% in September 2022.

Of the $615.7 million in CMBS loans sent to special servicing this reporting period, roughly $328.3 million or 53.6% of the transfers were due to imminent or actual maturity default—down from recent levels when it reached as high as 90% last month.

In this report, KBRA provides observations across our $316.2 billion rated universe of U.S. private label CMBS including conduits, single-asset single borrower (SASB), and large loan (LL) transactions.

Other key observations of the March 2023 performance data are as follows:

• As mentioned, due to the change in status of a number specially serviced malls, the total volume of delinquent retail loans decreased to $3 billion in March from $3.8 billion in February, which led to a 119-bp decrease in the retail delinquency rate to 4.3%. The drop is partly due to the $300 million Bridgewater Commons (GSMS 2012-BWTR) and the $195 million Valencia Town Center (UBSBB 2013-C5) being paid through March 2023 despite having missed their respective maturity dates in November 2022 and January 2023. This month the status of both loans changed to performing matured from nonperforming matured. In both transactions the special servicer notes that an assumption and modification or extension is being considered.
• Excluding retail, mixed-use (4.01%, +29 bps), lodging (3.55%, -37 bps), and office (2.22%, +26 bps) saw the largest monthly delinquency rate changes by property type. The delinquency rate increase for office was partly from the $100 million One City Centre (JPMBB 2015-C29, JPMBB 2015-C30) being reported as 30 days past due.

Click here to view the report.

Related Publications

• CMBS Trend Watch: February 2023
• CMBS Loan Performance Trends: February 2023
• KBRA Revises Loan KPOs to Underperform for Nine CMBS Single-Borrower Office Transactions
• Conduit CMBS Default and Loss Study: Spotlight on Five-Year Loans

• CRE Secular Trends: How Long Will Tailwinds Benefit Industrial?
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KBRA is a full-service credit rating agency registered in the U.S., the EU and the UK, and is designated to provide structured finance ratings in Canada. KBRA’s ratings can be used by investors for regulatory capital purposes in multiple jurisdictions.

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