KBRA Releases Research ? CMBS Loan Performance Trends: February Update
Kroll Bond Rating Agency (KBRA) releases a report on U.S. commercial mortgage-backed securities (CMBS) loan performance trends observed in the February 2021 servicer reporting period. The delinquency rate for the period came in 60 basis points (bps) lower than in the previous month, at 5.9%, among KBRA-rated CMBS. This is the largest single-month decrease and the eighth consecutive month where the rate has declined or was flat from its June peak at 8.2%. The decline was influenced by loan modification of several larger loans, at which time the related loans were reflected as current.
This month, KBRA analyzed 19,045 outstanding CMBS 2.0 conduit loans (KBRA rated and non-KBRA rated) for those that were reported as modified by the servicer during the pandemic (between April 2020 and December 2020). We observed 739 loans (3.9% of the population) totaling $20.4 billion (5.8% of population by balance) had been modified. We also reviewed the delinquency status of each loan. It revealed that 103 (13.9%) of the modified loans were reported as delinquent (12.5% by balance) as of the February remittance. This would imply that after the loan was modified, the borrower subsequently defaulted on the terms of the modification and/or on debt service payments. Conversely, nearly 86% of the modified loans are continuing to perform post-modification.
Click here to view the report.
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KBRA is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and is a certified Credit Rating Agency (CRA) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe is registered with ESMA as a CRA. Kroll Bond Rating Agency Europe is located at 6-8 College Green, Dublin 2, Ireland.
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