Kroll Bond Rating Agency Releases Monthly Newsletter: CMBS Trend Watch

NEW YORK--()--Kroll Bond Rating Agency (KBRA) released today its CMBS monthly newsletter, CMBS Trend Watch. September was the busiest month on record in the commercial mortgage backed securities market since the Great Recession with more than $12.6 billion in transactions priced. KBRA rated $10.0 billion in securitizations allocated between $9.0 billion in CRE transactions and $1.0 billion in single-family rental deals.

KBRA assigned ratings to 13 securitizations this month, including five conduits, two Freddie re-remics, two single-family rental deals, a floating-rate large loan transaction, a Freddie Mac K series, an NPL securitization, and a small balance commercial deal – the first time KBRA has rated such a transaction.

In terms of conduit metrics, the three-month rolling average KLTV for September was nearly unchanged from the previous month at 100.3% with KLTVs ranging from 98.6% to 102.5%. At the same time, the three-month rolling average for KLTV>100% declined to 59.1% from 60.2% in August. This can be linked to one transaction we rated this month, JPMBB 2014-C23, whose percentage of KLTV>100% was 37.4%, below our rated universe average of 60.0% for September.

Despite the stability in the three-month rolling average KLTV figure, we continue to see higher leverage deals. KBRA provided preliminary feedback for one transaction during the last week of September which had a KLTV of 103.8% while the percentage of loans with leverage in excess of 100% was 69.1%. The high leverage loans included the two largest in the pool which had KLTVs of approximately 119%.

The three-month rolling average for KDSC reached the highest level for 2014 this month, at 1.71x versus 1.64x last month. The increase was attributable to lower loan coupons, which harkened back to the 2013 average levels of 4.5%, and the aforementioned increase in partial-term IO loans.

On the surveillance front, in September KBRA published its 100th surveillance report, with the tally reaching 106 through month-end. During the month KBRA affirmed ratings on 84 classes and upgraded two classes within eight transactions which included four conduits, a floating-rate large loan, a Freddie Mac K series and a single borrower transaction.

In our commitment to transparency, we updated our comprehensive set of the statistics for our rated conduits along with this issue of Trend Watch. The spreadsheet is available at this link: KBRA Credit Metrics. The file includes a “Comp Calculator” feature that allows users to dynamically compare credit metrics across our rated conduit universe.

About Kroll Bond Rating Agency

KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).

Contacts

Kroll Bond Rating Agency
Terri Magnani, 646-731-2415
Senior Director
tmagnani@kbra.com
or
Nicoletta Kotsianas, 646-731-2308
Associate Director
nkotsianas@kbra.com
or
Ravish Kamath, 646-731-2328
Associate
rkamath@kbra.com

Contacts

Kroll Bond Rating Agency
Terri Magnani, 646-731-2415
Senior Director
tmagnani@kbra.com
or
Nicoletta Kotsianas, 646-731-2308
Associate Director
nkotsianas@kbra.com
or
Ravish Kamath, 646-731-2328
Associate
rkamath@kbra.com