KBRA releases a report on U.S. commercial mortgage-backed securities (CMBS) loan performance trends observed in the November 2022 servicer reporting period. The delinquency rate among KBRA-rated U.S. CMBS trended up by 11 basis points (bps) in November 2022 to 2.89% after remaining relatively unchanged between August and October. This increase in the delinquency rate is partly driven by a meaningful amount of loans that have been unable to pay off at maturity. Of the $1.3 billion of loans that became newly delinquent this month, over 50% were reported as nonperforming matured balloons. In addition, of the $693 million transferred to the special servicer this reporting period, nearly 70% identified imminent or actual maturity default as the reason.

As stated in CMBS 2023 Sector Outlook: Continued Uncertainty, KBRA expects a modest rise in CMBS delinquencies through 2023 due to the current interest rate environment and economic uncertainty, as more loans may transfer to special servicing—particularly those nearing their maturity date. In this report, KBRA provides observations across our $319.2 billion rated universe of U.S. private label CMBS including conduits, single-asset single borrower, and large loan transactions.

The combined percentage of delinquent and/or specially serviced loans increased to 4.69% in November, up 24 bps from last month. Notably, multifamily saw its delinquency rate increase by 148 bps to 2.73%. The relatively larger increase in multifamily was driven up as the total balance of specially serviced or delinquent multifamily loans rose to $1.1 billion from $525.1 million. Two loans accounted for most of the increase: Parkhill City (PKHL 2021-MF), which reported as 30 days delinquent for the first time, and the $343.6 million Veritas Multifamily Portfolio Pool (GSMS 2021-RENT), which transferred to special servicing after it failed to extend or pay off at its initial November 2022 maturity. KBRA has placed various classes of GSMS 2021-RENT on Watch Downgrade (for details, see the press release).

Click here to view the report.

Related Publications

• CMBS Trend Watch: October 2022
• CMBS Loan Performance Trends: October 2022
• CRE CLO Cash Balances Trend Upward as Market Slows
• Single-Borrower CMBS Default and Loss Study: Despite Pandemic-Driven Default Highs, Losses Remain Low

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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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