Kroll Bond Rating Agency Releases Monthly CMBS Trend Watch

NEW YORK--()--Kroll Bond Rating Agency (KBRA) released this month’s CMBS Trend Watch today. 2017 continued its sluggish start with $3.8 billion of private label securities priced in February. Year-to-date volume is down 48.5% from this time last year and is the lowest it has been since 2012.

Things appear to be picking up on the conduit front: we are aware of nine upcoming transactions. Most of the deals are slated to launch in the coming weeks through April, while several have been announced and are awaiting final pricing. The latter category includes JPMCC 2017-JP5 (KBRA rated), a landmark deal that is the first CMBS conduit to utilize a horizontal risk retention structure. JP5 follows the first use of the “L” structure last month, which was employed in CD 2017-CD3 (KBRA rated), as well as a number of deals that utilized vertical structures.

Conduit spreads for the benchmark last cash flow (LCF) AAA started the month off at Swaps (S)+ 88, in line with the one deal that priced in January. However, the month ended slightly wider, as two deals priced at S+ 94 and 95. Moving in sync with the LCF AAAs, the comparable BBB- spreads started off the month at S +350, in line with the deal that priced in January, but widened out to S+ 450 towards the end of the month.

Since our last report, KBRA published presales for four deals ($3.9 billion), including the aforementioned JPMCC 2017-JP5 conduit ($1.1 billion), one Freddie K-Series transaction ($1.4 billion), one SASB ($975.0 million), and a liquidating trust securitization ($378.1 million). The latter transaction was innovative in that it is the first time an issuer has included newly originated loans in a liquidating trust securitization during the post-crash era. On the surveillance front, actions on 217 rated classes were taken this month, including 215 affirmations and two upgrades.

This month we spotlight our attendance at the Structured Finance Industry Group Vegas 2017 Conference, supplemented by a recap of our live Twitter coverage of select panels. Our industry experts participated in and moderated panels on a wide range of topics across structured finance, including RMBS 101; Pace; Marketplace Lending; A Credit Rating Agency Roundtable; Solar ABS, CMBS Risk Retention; Railcar, Shipping and Container ABS; and Aircraft Finance. We also provide highlights from two recent publications: CMBS Retail Exposure to Sears Holdings, Macy’s and JCPenney, and Secular Trends: E-Commerce and Marijuana Light Up Warehouse Space.

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

Contacts

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