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CMBS Performance and Maturity Update 

March 20, 2023

• The CMBS delinquency rate increased 18 bps in February to 3.12%. This was the highest upward movement since December 2021 (up 16 bps) and follows a January reading of 2.94%, the second-lowest since the start of the pandemic. The lowest post-pandemic delinquency rate was 2.92%, reached in September 2022.
• The uptick in the February delinquency rate was largely driven by office and multifamily loans, which were up 55 bps and 27 bps, respectively. Retail was up 17 bps while industrial and hotel were flat.
• We anticipate the delinquency rate may grow more volatile, given the challenging macro environment. This reflects a landscape where borrowers will see higher refinancing rates and the real potential for lower property-level cash flows and asset valuations.
• December’s delinquency rate is still 719 bps lower from its peak of 10.31% in June 2020 during the height of lockdowns during the pandemic.

• The SS rate was up 7 bps in February to 5.18%, the fifth increase since reaching a post-pandemic low of 4.80% in July 2022. As with the delinquency rate, the uptick in the SS rate in February was driven by office and multifamily, which were up 42 bps and 43 bps, respectively.
• While the SS rate remains well below its high of 10.48% (September 2020), the height of the pandemic, higher benchmark and cap rates and the risk of an economic slowdown suggest asset valuations may deteriorate, increasing the potential for more loans to be transferred to SS in 2023 than seen to date.

• As of 3/17/23, CMBS maturities over the next 10 years total approximately $620 billion, with over $147 billion (24%) maturing in 2023 and $115 billion (19%) in 2024.
•  By overall maturities through 2024, office leads the pack with $55 billion (21%) followed by hotel with $54 billion (21%). Multifamily maturities over this time total only $30 billion (11%).

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