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. Issuance continued the pace set last month with more than $13.8 billion across 17 transactions pricing in November. Of the $13.8 billion, there were $5.6 billion in private-label CMBS transactions and $1.3 billion in single-family rental (SFR) deals. During the month, KBRA assigned ratings to 11 securitizations totaling $6.7 billion which included three floating-rate large loan transactions, two conduits, two single-family rental deals, two Freddie re-remics, a CRE CLO, and a fixed rated large loan transaction. In surveillance, we affirmed 71 classes and upgraded one rating across eight transactions. There were no other rating changes or Watch status placements.

We are introducing a new KBRA Credit Metric, KLTV>110%, as transactions with weighted average KLTVs of 100% or more have become the norm. We will continue to report statistics on loans with leverage in excess of 100% KLTV as well.

In terms of conduit metrics, the number of highly leverage loans with KLTVs>100% has risen significantly this year. However, this month the average declined 2.4 points to end the month at 30.2%. The decline was attributable to the two conduit transactions we rated this month, which had an average of 20.3% of loans with KLTVs>110%. This is almost 10.0 points below the three-month rolling average.

The two conduit transactions we rated this month had an average KLTV of 101.7%, which supported the November three-month rolling average KLTV of 101.5%. The three month average for loans with KLTVs>100% also remained relatively unchanged, at 66.4%.

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
Ravish Kamath, 646-731-2328
Associate
rkamath@kbra.com
or
Pramit Sheth, 646-731-2330
Director
psheth@kbra.com

Contacts

Kroll Bond Rating Agency
Terri Magnani, 646-731-2415
Senior Director
tmagnani@kbra.com
or
Ravish Kamath, 646-731-2328
Associate
rkamath@kbra.com
or
Pramit Sheth, 646-731-2330
Director
psheth@kbra.com