KBRA Releases Research - Canadian CMBS Loan Default and Loss Study
KBRA releases its Canadian CMBS loan default and loss study, which reviews Canadian commercial mortgage-backed securities (CMBS) loans generally originated for securitization between Q4 1998 and Q2 2022. The study population totals 3,599 loans with an aggregate securitization balance of CAD27.6 billion. As of Q2 2023, 431 loans totaling CAD3.4 billion are still outstanding. Most of the study population (77.2% by loan count, 71.4% by volume) consists of loans from pre-2008 vintages, with approximately one-half (in terms of count and volume) from the 2004-2007 vintages. Most of the study population includes loans that amortize (96.1%) over the loan term. Further, many of the loans have recourse provisions (70%), for the loans where this information was available (3,099).
The cumulative default rate within the study population is 3.8% (135 loans defaulted) based on the performance data from 1998 through Q2 2023. Of the defaulted loans, 100 have been resolved so far with an average resolution time of 20.6 months. With aggregate total losses of CAD44.7 million, the cumulative loss rate for the total population is 0.2%. The average loss severity of loans with losses is 5.9%, and the loss severity of loans with losses >2% is 39%.
Click here to view the report.
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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