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.
• Outside of 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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