CLO Distress Rate Reaches New Peak in December

The CRED iQ CRE CLO distress rate added 60 basis points in December – reaching a new high of 13.8%.  Underpinning the distress rate, December’s delinquency rate for collateralized loan obligations came in largely flat at 11.8%; while the special servicing rate saw a 180-basis point increase, reaching 9%.  

CRED iQ’s analysis revealed that that 61.9% of CRE CLOs loans are operating below a 1.00 DSCR (NCF), up from 59.2% last month. Net Cash Flow (NCF) is a key variable in calculating a loan’s DSCR which determines the strength and creditworthiness of a given loan.

Among metro areas, Indianapolis-Carmel continues to lead the U.S. with a 70.6% distress rate. However, that figure trims 270 bps from the November print of CRE CLO loans in some form of distress.

The CRED iQ distress rate includes any loans reported 30 days delinquent or worse, past their maturity, specially serviced or a combination of these.