"We noted at the time that delinquencies should start leveling off under the assumption that borrowers that did not need relief or had been meeting their debt obligations between April and June were unlikely to flip to delinquency status for the first time in July," Clancy said. "There were certainly plenty of first-time 30-day delinquencies in July, but that number has slowed and a large number of loans were 'cured.' Those two forces combined to push the delinquency rate—preliminarily—lower this month."

The rate is turning out to be less affected than expected by postponement of payments as part of COVID-19 relief.

"It was intended that for loans that were granted a forbearance, the loan status would be reported as current by the servicer, but the paid to date would not advance," Clancy said. "In reality, we saw very few instances of loans that fall under this category. Thus far, only $1.9 billion in loans saw the note flip to current with the paid to date not advancing. This was dominated by a few large loans that make up the majority of the $1.9 billion."

About $1.4 billion worth of loans were marked "current" as a result of the loan being extended – sometimes by an "embedded extension" and sometimes by a modification, Clancy reported. About $3.4 billion in loans went "current" with the paid to date not advancing, he said. Of that $3.4 billion, only about 10% of the balance has a special servicer or watchlist commentary that indicates relief has been granted, Clancy said.

"For some of the remaining 90%, the relief was 'cancelled' and the loan was brought current," Clancy said. "It is worth noting, however, that there is a huge 'purgatory' of loans that may have been forborne for which the data is still inconclusive. With that in mind, it is possible that a wave of forbearance notices might be on the way."

Trepp plans to publish a complete July commercial mortgage backed securities delinquency report soon, according to Clancy, who spearheads that research.