DBRS Morningstar Releases Commentary on What to Expect From Pandemic-Related Losses

DBRS, Inc. (DBRS Morningstar) released a commentary titled “Glimmers of Hope in Pandemic Valuations,” which identified and analyzed some $9.79 billion in securitized commercial mortgages that were sent to special servicing since March and whose collateral was subsequently reappraised. Even though updated appraisals on properties backing these loans suggest an average value decline of 24.0% since origination, only about 17% have a loan-to-value ratio (LTV) of 100% or higher, resulting in a value deficiency. Our analysis also found that just $372.0 million, or 3.8% of the outstanding principal balance, had a value deficiency, which compares favorably with the 9.5% loss rate on loans issued in the run-up to the Great Financial Crisis. The coronavirus has had the most dramatic effect on hotel and retail assets, with regional malls hit the hardest.

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The commentary is available at www.dbrsmorningstar.com.

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