News

CREFC's October 2023 Monthly CMBS Loan Performance Report

November 29, 2023

CRE Finance Council has released a report on CMBS loan performance for October.*

Key takeaways:

DELINQUENCY RATE MOVES HIGHER AGAIN IN OCTOBER

 

 

  • Conduit/SASB CMBS combined delinquency of 4.63%
    • Up 24 bps from prior month; delinquency rate has increased 5 out of last 6 months and higher by 159 bps since YE22
    • According to Trepp, a $941mm SASB industrial loan (which has since cured) was responsible for much of the increase; excluding this loan, the uptick in delinquency would have been only 9 bps
  • October’s delinquency rate still 568 bps below 10.31% peak in June 2020 – height of pandemic-related lockdowns
  • Office delinquency stands at 5.75%, up 17 bps from prior month and 417 bps from YE22 (1.58%); Office SS of 8.55%
    • Convergence of WFH-induced demand shock, high rates, and pullback in bank lending will continue to present office headwinds
    • Office cap rates expected to drift wider over longer run
  • SS loans down slightly to 6.80% in October, from 6.87% in prior month
    • As per servicers, loans transferring to SS mostly related to current market dynamics; office loans dominate new entries
    • Servicers say most loans with COVID-related forbearances have returned to original loan terms and are performing as expected
    • Loans still in forbearance or modified are generally paying as required
  • Delinquency rate for SASB continues to climb
    • SASB delinquency rate climbing steadily at 4.3% in October vs. YE22’s 1.4%. SASB distress driven by floating-rate loans that are challenged with securing new interest rate cap and swap agreements at higher strike rates and continued challenges in the office sector (much of which is financed by SASB CMBS).
    • Conduit delinquency uptick more measured: 4.9% in October vs. YE22’s 4.1%
  • Loans in-foreclosure and REO asset rates remain low at 1.3% and 0.8%, respectively
    • Office delinquency and SS rates will increase over the coming months as more loans with near-term maturity dates have difficulty refinancing; foreclosure and REO rates expected to trend upward as a result

*Source: Trepp. CMBS data in this report reflect a total outstanding balance of $611.7B: 59% ($361.2B) conduit CMBS, 41% ($250.5B) single-asset/single-borrower (SASB) CMBS.

Click here to download the full report. Contact Raj Aidasani for more information on CMBS loan performance.


Contact 

Raj Aidasani
Managing Director, Research
646.884.7566

The information provided herein is general in nature and for educational purposes only. CRE Finance Council makes no representations as to the accuracy, completeness, timeliness, validity, usefulness, or suitability of the information provided. The information should not be relied upon or interpreted as legal, financial, tax, accounting, investment, commercial or other advice, and CRE Finance Council disclaims all liability for any such reliance. © 2023 CRE Finance Council. All rights reserved.

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