Kroll Bond Rating Agency released a research report analyzing non-performing loan transactions issued following the global financial crisis in 2008 and 2009.

According to KBRA, concerns regarding commercial real estate risk have understandably increased recently, owing to higher interest rates and challenges in the banking sector. There is uncertainty concerning whether there will be commercial real estate non-performing loan securitizations in the future, a thought shared by certain market constituents, with some making inquiries surrounding non-performing loan securitizations. KBRA said that while such transactions are unlikely this year, it is possible that some could be explored for issuance next year.

The KBRA report discusses the history of U.S. non-performing loan securitizations dating back to the 1990s and then dives into the commercial real estate non-performing loans issued after the global financial crisis, examining issuance volumes, collateral characteristics, transaction structures and the ultimate performance of those securitizations, most of which are KBRA rated. The KBRA-rated non-performing loan transactions had pool balances ranging from $157.3 million to $899.3 million and an average of $512 million, as measured by the collateral’s outstanding unpaid principal balance. Sponsors acquired their portfolios at an average of approximately 46% below par and their projected recoveries were around 37% more than the purchase price.