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.

This month there was a fair amount of surveillance activity, and during the month KBRA affirmed ratings on 93 classes and upgraded six classes across 15 transactions. The upgrades were effectuated on two Freddie K-Series transactions (3 classes), one floating rate deal (2 classes), and one IO resecuritization (1 class). There were no ratings downgrades during the month, and three ratings were withdrawn following the full repayment of the related securities. In conjunction with the reviews, five KBRA Loans of Concern (K-LOCs) were highlighted.

Loans with KLTVs ≥ 100% and ≥ 110% continued to rise in August, and reached new record highs of 70.8% and 42.9%, respectively. The steepest increase YTD was found in loans ≥ 110% KLTV. Full term IO exposure declined for the fourth consecutive month to 22.9% on a trailing three month basis and the combined percentage of full and partial term IO of 64.6% is the lowest it’s been since August 2014.

In the Publications Corner section, we also highlight our research commentary entitled “A Closer Look at Credit Bar-Belling”, which was released earlier week. The report identifies how the increase in credit bar-belling has masked overall pool leverage and introduces the KBRA credit bar-bell indicator. It is becoming increasingly prevalent this year to see deals with meaningful exposures to low leverage loans that skew overall pool metrics, and August was no exception. One pool that priced in August had a 6.7% exposure to low leverage loans. Had the exposure not been present, the transaction’s KLTV would not be skewed and reported a full 3.8% higher, at 108.5%.

In our commitment to transparency, we updated our comprehensive set of the statistics for our rated conduits along with this issue of Trend Watch within the KBRA Comparative Analytic Tool (KCAT). The file enables users to compare data points from all KBRA rated conduits.

To view the report, please click here: https://www.krollbondratings.com/show_report/2863

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

Analytical Contacts:
Paul Fitzsimmons, (646) 731-2495
Managing Director
pfitzsimmons@kbra.com
or
Eric Thompson, (646) 731-2355
Senior Managing Director
ethompson@kbra.com
or
Follow us on Twitter!
@kbraCMBS

Contacts

Analytical Contacts:
Paul Fitzsimmons, (646) 731-2495
Managing Director
pfitzsimmons@kbra.com
or
Eric Thompson, (646) 731-2355
Senior Managing Director
ethompson@kbra.com
or
Follow us on Twitter!
@kbraCMBS