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KBRA Releases Research - CMBS Loan Performance Trends: February 2023
[February 27, 2023]

KBRA Releases Research - CMBS Loan Performance Trends: February 2023


KBRA releases a report on U.S. commercial mortgage-backed securities (CMBS) loan performance trends observed in the February 2023 servicer reporting period. The delinquency rate among KBRA-rated U.S. CMBS rose to 3.06% in February, an increase of 12 basis points (bps) from the prior month's 2.94%. This is the first time the rate has risen above the 3% threshold since June 2022 after it dipped to a post-COVID low of 2.76% in September 2022. Of the $646.2 million in CMBS loans that were sent to special servicing this reporting period, approximately $581.8 million or 90% were transferred due to imminent or actual maturity default, which is up from the 70%-80% range recorded for the past three months. Retail special servicing transfers totaled $418 million (65.7%), including two larger-balance mall loans: the $295 million The Shops at Mission Viejo (RBSCF 2013-SMV), which matured earlier this month, and the $244.9 million Crossgates Mall (COMM 2012-CR1, COMM 2012-CR2, and COMM 2012-CR3), which has an upcoming maturity date in May 2023.

In this report, KBRA provides observations across our $314.7 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 February 2023 performance data are as follows:

  • The delinquency rate for multifamily rose 47 bps month-over-month (MoM), largely driven by the $225 million Parkhill City loan (PKHL 2021-MF), which was reported as delinquent in November 2022, became current in December 2022, and was reflected as 30+ days delinquent this month. This pushed the multifamily delinquency rate above 2% this month to 2.33%. By comparison, the multifamily delinquency rate in October 2022 was 0.98%. The abrupt increase in the delinquency rate includes the $323.6 million Veritas Multifamily Portfolio (GSMS 2021-RENT) November 2022 maturity default.
  • Outsideof the multifamily sector, office (1.96%, +47 bps) and mixed-use (1.73%, +15 bps) posted the largest changes in delinquency by property type.
  • Roughly $1.1 million in CMBS loans were newly categorized as delinquent this month, a similar rate compared to recent months, of which 48.4% was reported as 30 days past due. Another 49.7% of this total were nonperforming matured balloons.



Click here to view the report.

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About KBRA

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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