Kroll Bond Rating Agency Releases Monthly CMBS Trend Watch

NEW YORK--()--Kroll Bond Rating Agency (KBRA) released this month’s CMBS Trend Watch today. In December, CMBS private-label pricing volume was $5.3 billion, bringing the 2016 total to $69.9 billion. This year’s pricing volume represents a 27.0% decrease compared to $95.8 billion in 2015. The transactions that priced this month consisted of six conduit transactions ($4.8 billion) and two single-borrower deals ($504.3 million).

Conduit pricing, despite some tiering in November, was relatively stable during Q4 2016. For the 10-year AAAs, 78% of conduits priced between S+110 and +120 with those deals aiming to be risk retention compliant, or with bank-only collateral possibly receiving some pricing benefit. In December, six conduits priced, all within the first half of the month, which ranged between S+110 and +118 bps. For the comparable BBB-‘s, spreads ranged between S+565 and +575.

KBRA published presales for four deals ($2.0 billion) over the course of the month, including one agency ($1.1 billion), one conduit ($606.8 million), one single-borrower ($271.0 million) and one Re-Remic ($87.6 million). Surveillance activity consisted of 15 transaction reviews, which resulted in 178 affirmations and one upgrade.

In our KBRA credit metrics review, the three-month rolling average KLTV increased for the third consecutive month, ending the year at 98.0%. The “credit barbell” indicator increased to 12.8% for the full-year 2016 from 10.9% in 2015, much of which was attributable to increasing numbers of low leverage loans being added to pools.

In this month’s spotlight section we provide an overview of pari passu notes in the KBRA-rated conduit universe. As of a percentage of principal balance, pari passu notes consecutively grew from 2012 to 2016. In 2016, pari passu notes comprised 43.7% of the KBRA-rated conduits, almost doubling 2015’s level of 24.9%.

With the December edition of Trend watch we have also included our KBRA Comparative Analytic Tool (KCAT). The file enables users to compare data points for all KBRA rated conduits.

Please click here to view the report.

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
Analytical:
Taeho Lee, 646-731-2317
Associate
tlee@kbra.com
or
Larry Kay, 646-731-2452
Director
lkay@kbra.com
or
Eric Thompson, 646-731-2355
Senior Managing Director
ethompson@kbra.com

Contacts

Kroll Bond Rating Agency
Analytical:
Taeho Lee, 646-731-2317
Associate
tlee@kbra.com
or
Larry Kay, 646-731-2452
Director
lkay@kbra.com
or
Eric Thompson, 646-731-2355
Senior Managing Director
ethompson@kbra.com