KBRA releases a report on U.S. commercial mortgage-backed securities (CMBS) loan performance trends observed in the August 2022 servicer reporting period. The delinquency rate among KBRA-rated CMBS continued to retreat for the second consecutive month, with a decline of 13 basis points (bps) to 2.78%. August also marked a second month of double-digit declines in the delinquency rate after logging a 15-bp increase in June, which was also only the second time it has risen after a COVID-era peak of 8.2% in June 2020. While distressed CMBS continues to resolve, the capital markets continue to be volatile as the economic and inflationary outlook remains unclear.

The decline in the delinquency rate was most notable for lodging (4.57%; -25 bps), retail (5.10%; -28 bps), and office (1.49%; -10 bps), while industrial recorded a slight increased to 0.49% (+11 bps). The combined percentage of delinquent and specially serviced loans dipped by five basis points month over month, with lodging (-28 bps) and mixed-use (-45 bps) recording the largest improvements. The largest specially serviced asset to resolve this month was the $57.2 million real estate owned (REO) WPC Department Store Portfolio Portfolio (BACM 2015-UBS7, MSC 2015-UBS8, CSAIL 2015-C3), which paid off with a loss in excess of its original loan balance. In addition, two large loan assets backing MSBAM 2012-CKSV were transferred to special servicing for imminent maturity default.

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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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