At a glance
- All 93 loans in the cohort, $3.95 billion of outstanding balance, carry floating rates indexed to SOFR plus a spread fixed when the loan was made.
- Trepp finds 93.8% of the cohort's performing balance with a reported most recent NCF DSCR below 1.0x, the level at which property cash flow stops covering the loan payment.
- The vintage gap is widest in Georgia, where the cohort is delinquent at 59.65% and supplies 10 of the state's 11 delinquent CRE CLO multifamily loans.
Multifamily loans securitized into CRE CLOs in 2021 and 2022 hold 12.2% of CRE CLO multifamily balance in the five states with the most securitized multifamily debt, Trepp reports. Those states are California, Texas, New York, Florida and Georgia, where the vintage accounts for 80.2% of the delinquent balance, according to research Trepp published Oct. 16.
That vintage is delinquent at 20.21%, against 0.69% for CRE CLO multifamily loans securitized in every other year.
All 93 loans in the cohort, $3.95 billion of outstanding balance, carry floating rates indexed to SOFR plus a spread fixed when the loan was made. SOFR averaged 0.04% in 2021 and 3.66% in September 2026, a 3.62 percentage point increase. Trepp calculates that a loan originated near the 2021 average would pay roughly 3.6 percentage points more interest at an unchanged spread and with no effective interest rate cap. The cohort's median coupon is now 7.16%.
Coverage falls below the debt-service line
Median net cash flow DSCR for the cohort fell to 0.64x in the most recent reporting period from 1.60x at securitization.
Trepp finds 93.8% of the cohort's performing balance with a reported most recent NCF DSCR below 1.0x, the level at which property cash flow stops covering the loan payment. Delinquent loans in the cohort fell further, to a median 0.50x from 1.72x at securitization.
The vintage gap is widest in Georgia, where the cohort is delinquent at 59.65% and supplies 10 of the state's 11 delinquent CRE CLO multifamily loans. In New York, one of the state's three delinquent CRE CLO multifamily loans comes from the cohort, so what Trepp calls the state's 89.2x multiple rests on a single loan. California has no delinquent CRE CLO multifamily loans outside the cohort, per Trepp.
Trepp notes that a higher coupon raises the loan payment, so coverage can fall even when cash flow holds steady. These are short-term loans, typically used to buy or reposition properties. The coverage math matters most when they need refinancing, and a cohort at 0.64x median coverage suggests limited capacity to refinance on current terms.
Reported by the Real estate debt desk from Trepp Research. Published . Corrections