KBRA Releases Study – CMBS Loan Performance Trends: February Update
NEW YORK–(COMMERCIAL THREAD) – Kroll Bond Rating Agency (KBRA) publishes a report on US Commercial Mortgage Backed Securities (CMBS) lending performance trends observed during the February 2021 service reference period. default rate over the period fell 60 basis points (bps) from the previous month, to 5.9%, among KBRA-rated CMBSs. It was the largest single-month drop and the eighth consecutive month the rate fell or remained stable from its June peak of 8.2%. The decrease was influenced by the loan modification of several larger loans, during which time the corresponding loans were recorded as current.
This month, KBRA analyzed 19,045 outstanding CMBS 2.0 Conducted Loans (rated KBRA and not KBRA) for those that were reported as modified by the servicer during the pandemic (between April 2020 and December 2020). We observed that 739 loans (3.9% of the population) totaling $ 20.4 billion (5.8% of the population by balance) had been modified. We also looked at the delinquency status of each loan. It found that 103 (13.9%) of the amended loans were reported as past due (12.5% by balance) as of the February forgiveness. This would imply that after the loan modification, the borrower subsequently defaulted on the terms of the modification and / or the debt service payment. Conversely, nearly 86% of modified loans continue to operate after modification.
Click on here to view the report.
About KBRA and KBRA Europe
KBRA is a full-service credit rating agency registered with the United States Securities and Exchange Commission as an NRSRO. In addition, KBRA is appointed as the designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or a shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider and is a credit rating agency (ARC) certified with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe is registered with ESMA as a rating agency. Kroll Bond Rating Agency Europe is located at 6-8 College Green, Dublin 2, Ireland.