The percentage of loans in CMBS paying off on their balloon date registered 64.6% -- eight points above the March reading of 56.6%, according to the Trepp April payoff report,
Trepp said that this rate has now exceeded 60% in six of the past eight months. By loan count, 73.6% of loans paid off -- the highest reading since September 2008. The 12-month rolling average by loan count is now 60.8%.
The Trepp statistics can be used to measure extension risk scenario assumptions in CMBS. The percentages only include loans that have gotten all the way to their balloon date without having prepaid or defeased. “Hopefully the data above will allow investors to refine their expected extension scenarios--particularly for IOs and first pay bonds,” said analysts in the report.
The pool counts only fixed rate, U.S. conduit loans (no floaters). Any loan that is delinquent going into the month that it is slated to payoff in is not included in the results.