NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) released this month’s CMBS Trend Watch today. In the “Spotlight” section of this edition, KBRA provides an overview of CMBS risk retention. Much of the text was extracted from our WFCM 2016-BNK1 ($870.6 million) presale publication, which was posted earlier today on www.kbra.com. The transaction is a landmark securitization as it is the first CMBS deal to include a retained interest that is intended to meet the definition of an “eligible vertical interest” in a manner intended to comply with US risk retention rules.
In this month’s Trend Watch we also highlight recent pricing volume, summarize our rating activity, and share updated statistics for our rated conduit universe in both textural form as well as an accompanying file which contains the KBRA Comparative Analytic Tool (KCAT). Highlights are as follows:
- $5.4 billion of private label issuance priced in July, bringing the year-to-date total to $32.6 billion, down 46% year-over-year. Five conduits priced in July, and spreads meaningfully improved as each deal that priced during the month tightened relative to the deal that immediately preceded it.
- On the rating front, KBRA published presales for seven deals ($5.8 billion) over the course of the month, including three conduit transactions, a SASB transaction, one Freddie K-Series deal, a single borrower SFR transaction, and one Freddie K-Series re-remic.
- Rating reviews were also conducted for 20 transactions, which resulted in 238 ratings actions, including 231 affirmations and seven upgrades. In conjunction with the surveillance activity, 32 KBRA Loans of Concern (K-LOC) were identified, which are loans that are either in default or at heightened risk of default in the near term.
- Although there were no notable changes to credit metrics on KBRA rated conduit transactions, the three-month average KLTV remains at 99.4%, the lowest it has been since February 2014.
To view the report, please click here.
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).
