BOLTs组合：美国商业房地产抵押贷款支持证券：SASB独家报道

Restricted - External Lea Overby+1 617 342 4293lea.overby@barclays.comBCI, USAnuj Jain, CFA+1 212 412 1404anuj.jain2@barclays.comBCI, US SASB Deal SurveillanceMay 2025 Remittances•Downgrade activity remained muted in May: However, we continue to see elevated risks ofdowngrades given higher rates and weaker collateral performance.•Good Start to 2025 Maturities: Although a sizable portion of 2Q25 maturities had repaid priorto the start of the quarter, April remittances reported little further improvement, and Mayreported no improvement. However, we expect to see an uptick next month due to theincrease in primary issuance.Loan-Level Highlights•JPMCC 2021-BOLT:The AspiriaOfficeCampus loan resolved with a 30% loss to the Trust, inline with expectations based on the July 2024 appraisal. The timing may have come as asurprise, as the loan was not specially serviced or delinquent at the time of resolution,although we had flagged it in the SASB Stew as having a higher risk of default at its pendingAugust 2025 maturity.•GSMS 2018-RIVR:An updated appraisal valued the asset at $87.4mn, down 82% from thevalue at issuance and well below the $110mn balance of Class A in the deal, which wasoriginally rated AAA by both S&P and KBRA.•BBCMS 2018-TALL:The Willis Tower loan reported an updated appraisal of $1.03bn, 43%below the $1.78bn value at issuance and below the $1.325bn loan balance. However, the loanhas recently been extended to 2028 with two additional one-year extension options, givingthe borrower more time to improve the value of the property.•BBCCR 2015-GTP:As expected, the NGP V GSA Portfolio loan transferred to special servicingdue to its pending maturity date. Commentary states that the borrower will provide aproposal for a modification and extension, and we expect the modification to include anincentive to pay down the loan through property sales.•AOTA 2015-1211:As first reported inCommercial Observer, the loan is likely to receive athree-year extension.•BSST 2022-1700:A receiver has been put in place for 1700 Market Street, although the loanreports as current.•NCMS 2017-75B:The borrower for 75 Broad Street has stated there isinsufficientcash flow topay debt service and asked for a modification. Occupancy is only 60% and DSCR is 0.59x, anda modification involving an A/B split or reduced interest rate could be forthcoming.•JPMCC 2014-DSTY:The two loans in this deal reverted to performing matured, andcommentary states that the current strategy includes re-instating the previous forbearanceagreement.•We added two more 2024 vintage SASBs to the SASB Stew, bringing the total to 12 out of 108deals.BFLD 2024-WRHSandGSMS 2024-UPTNboth reported sharp declines in cash flow.We include an Excel attachment with our database of keymetrics for outstanding SASB transactions, as well as thetables in the appendix of this report. 2 Spreads tightened significantly in May. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4Issuance rebounded sharply in May . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5Delinquencies Tick Slightly Higher. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8Updated Appraisals, Interest Shortfalls, and Realized Losses. . . . . . . . . 10Downgrade Activity Remained Muted in May. . . . . . . . . . . . . . . . . . . . . . . 11Good Start to 2025 Maturities, but Performance has Stalled. . . . . . . . .14Appendix I: Loan Details. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153 FIGURE 2. Secondary BBB Spreads100200300400500IndustrialMultifamilyOfficeSpread/DM5/30/20254/30/2025Source: Barclays ResearchSpreads tightened significantly in MaySASB spreads retraced much of the February and March widening as risk appetite returned tothe market. AAA spreads foroffice/industrial/multifamilyspreads now stand only 5bp widerthan February levels, but AAA spreads for the the more economically sensitive retail and andlodging sectors AAA spreads remain 35 and 22bp wider, respectively. Down the stack, BBBspreads tightened m/m, and the credit curve flattened (Figure 1 and Figure 2).With spreads tightening to inside BSL CLOs, the relative value case for SASBs hasevaporated. AAA SASB spreads are now inside AAA BSL CLOs at around 128bp. (Please see theCLO Technical Titan for more spread comparisons.) While SASB BBB spreads are still wide ofyear-end levels,office/industrial/multifamilyBBB spreads are inside BBB BSL CLOs, althoughlodging and retail spreads still remain wide. Because CRE collateral performance mightdeteriorate if there is a recession or if rates continue to stay elevated, we recommend investorstake advantage of the current risk-on appetite to shed SASB risk. LodgingRetail12/31/2024 FIGURE 1. Secondary AAA SpreadsSource: Barclays Research2 June 2025 FIGURE 3. Spreads and Other Metrics for SASB Deals Priced since the last publicationLoan NamePropertyTypeLocationWAL(yrs)MaxWAL(yrs)BenchmarkPricingDateMFVarious30-MayBlackstoneINVarious25