The sector added 90 Basis Points this month, logging a 4-month consecutive record high
The CRED iQ CRE CLO distress rate added 90 basis points in February – reaching a new high of 16%. A year ago, the distress rate was only 9.4% but has been steadily rising as these floating rate loans are failing to pay off at their maturity dates. Underpinning the distress rate, February’s delinquency rate tacked on 44 basis points to 12.2%; similarly, the special servicing rate added 57 basis points to 9.4% in this print.
The CRED iQ distress rate includes any loan reported 30 days delinquent or worse, past their maturity, specially serviced, or a combination of these. We also examined the most recent property-level net operating income figures and compared them to underwritten expectations.
Payment Status
Looking across payment status in February, 30.7% of loans are performing matured (down from 33.4% in January). 32.7% of loans were non-performing matured (up from 25.6% last month). Combining these two metrics, 63.4% of the CRE CLO loans in our study are past their maturity dates, (up 436 basis points from 59.0% in last month’s report). 20.3% of the CRE CLO loans are current (up from18.8% in January) . Combining late but less than 30 days delinquent, the percentage increases to 23.1% –up from 22.1% in our January print.
Delinquent loans that have not past their maturity date accounted for 13.5% of the CRE CLO loans — down from 18.9% in January
Analysis Scope & Methodology
CRED iQ consolidated all of the loan-level performance data for every outstanding CRE CLO loan to measure the underlying risks associated with these transitional assets. Our team examined $66.4 billion in active CRE CLO loans. Many of these loans were originated in 2021 at times where cap rates were low, valuations high, low interest rates, and are starting to run into maturity issues given the spike in rates.
Some of the largest issuers of CRE CLO debt over the past five years include MF1, Arbor, LoanCore, Benefit Street Partners, Bridge Investment Group, FS Rialto, and TPG. The vast majority of the $79.1 billion in CRE CLO loans are structured with floating rates with 3-year loan terms equipped with loan extension options if certain financial hurdles are met.
About CRED iQ
CRED iQ is a market data provider that offers a robust suite of data and software solutions tailored for commercial real estate and finance professionals.
With over $2.3 trillion of CRE loans, CRED iQ delivers instant access to a comprehensive range of financial data and analytics for millions of properties in every market. CRED iQ’s data and analytical capabilities are instrumental in helping investors, lenders and brokers make informed and strategic decisions critical to their business.
