NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) released this month’s CMBS Trend Watch today. CMBS private-label pricing volume was just $1.7 billion this month, the lowest it has been since 2012. The transactions that priced consisted of one conduit ($1.3 billion), which is the first to employ an L-shaped risk retention structure, and one single-asset single-borrower (SASB) ($365.0 million).
The conduit that priced in January (CD 2017-CD3) was well received, with its benchmark 10-year AAA pricing at S+90 basis points (bps). This represented a 20-bp premium from last month’s tights and was 24-bp inside the average benchmark spread. The BBB- spread of S+380 bps for the CD3 deal also represented significant tightening from December levels.
KBRA published presales for two deals ($1.7 billion) over the course of the month, including the aforementioned conduit ($1.3 billion) and one SASB transaction ($350.0 million), GSMS 2017-485L. Surveillance activity for the month consisted of 180 ratings actions, including four classes that were upgraded. KBRA also highlighted 26 KBRA Loans of Concern that were outstanding at the time of the surveillance reviews.
In our KBRA metrics section, we noted that the three-month rolling average KLTV was relatively flat, decreasing slightly to 97.7% from 98.0% in December.
In this month’s spotlight section, we highlight some of our observations from our report, “Despite Turbulence, Loan Drops Flat in 2016,” that was released earlier this month. The report focuses on some of the characteristics of loans that were dropped in the 34 KBRA-rated transactions in 2016 between the time of preliminary and final feedback. Despite notable fluctuations in issuance levels, KBRA found that almost a quarter (24.3%) of the transaction balance changed, on average, due to loan drops, adds, and balance updates. This percentage is in line with the 2015 figure of 24.5%.
With the January 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 access the full report.
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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).