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 March, CMBS private-label pricing volume was $6.0 billion across five conduits, two single borrowers, one liquidating trust securitization and a commercial real estate (CRE) multi-borrower securitization. For the quarter, pricing volume ended at $11.5 billion, a 34% decrease year over year.

Based on transactions that we are either engaged on, under a preliminary review, or reflecting conversations that we’ve had with market participants, we expect to see approximately a dozen conduits launched into early June. In addition, there are quite a few single borrower transactions in the preliminary pipeline, as well as CRE CLOs and large loan floating rate transactions. Of course, a number of these may not come to fruition, and we expect things to evolve as it is early in the second quarter.

The first conduit that priced this month was a Goldman Sachs securitization (GSMS 2017-GS5), which was well received by the market. The AAA last cash flow (LCF) spreads for the deal came in at Swaps (S)+88, matching the tightest spreads of the year. The market drifted wider as the month went on, eventually ending the month at S+98. Part of the widening could be attributed to the fall in the ten-year treasury yield during the month with investors requiring compensating spreads.

KBRA published pre-sales for seven deals ($5.7 billion) during the month of March, including four conduits ($4.2 billion), one single borrower ($218.6 million), one CRE CLO ($567.4 million) and one CRE multi-borrower securitization ($758.8 million). There were 337 surveillance actions this month, including 327 affirmations, eight upgrades and two downgrades.

The three-month rolling average KLTV increased for the second consecutive month to 100.4% in March from 99.6% in February. With the end of the first quarter, there has been a drop in our barbell indicator to 12.0% from 14.7% in Q4 2016. However, despite the indicator moving lower, high-leverage loans are contributing to approximately three-fourths of the indicator, which is an influencing factor in KLTV’s upward momentum.

In March, we released our five part Property Beat series on the secular trends that are transforming the commercial real estate landscape. In addition, three other reports were also published.

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

Please click here to access the full 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

Analytical:
Larry Kay, 646-731-2452
Senior Director
lkay@kbra.com
or
Eric Thompson, 646-731-2355
Senior Managing Director
ethompson@kbra.com
or
Follow us on Twitter!
@KrollBondRating

Contacts

Analytical:
Larry Kay, 646-731-2452
Senior Director
lkay@kbra.com
or
Eric Thompson, 646-731-2355
Senior Managing Director
ethompson@kbra.com
or
Follow us on Twitter!
@KrollBondRating