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 May, CMBS private-label pricing volume was $8.1 billion, more than doubling last month’s pricing of $3.7 billion. This month’s issuance activity included six conduits ($5.1 billion) and six single-borrower ($3.0 billion) transactions, bringing the year-to-date volume to $24.3 billion. Although volume is slightly down by 6.3% on a year-over-year comparison, momentum is building.

Looking at the forward pipeline, we may see as many as nine single borrower deals and five conduits price in June. If all of these deals are completed, June will be the largest month for single-borrower deals since March 2015. Most of the single-borrower deals completed this year consisted of office and lodging collateral; however, we understand that a couple of shopping mall deals could come to market as well.

Six conduits priced during the month of May, and they mostly came out within a 10bp band for the benchmark 10-year AAA, fairly consistent with other conduit deals that already priced this year. However, there was one outlier, CFCRE 2017-C8, which priced wide. Excluding this transaction, the benchmark class ranged between S+92 and S+98 with an average of S+95. The comparable BBB- spreads ranged between S+395 and S+500; however, pricing for this class was only available for three of the six transactions.

KBRA published seven pre-sales ($4.5 billion), including three conduits ($2.6 billion), three single borrowers ($1.7 billion) and one small-balance commercial transaction ($223.1 million). There were 500 surveillance actions placed this month including, 492 affirmations, six upgrades and two downgrades. Of the affirmations, 114 were effectuated in conjunction with the release of KBRA’s Single-Borrower SFR Comprehensive Surveillance Report on May 17, 2017. As part of May’s surveillance activity, KBRA highlighted 60 KBRA Loans of Concern (K-LOCs) that were outstanding at the time of review. K-LOCs are loans that are either in default or at heightened risk of default.

In our spotlight section, we provide an overview of our research report titled ”Oil Price Increases Won’t Plug CMBS Losses,” which is an updated analysis on the impact of falling oil prices on energy-related CMBS loans. The number and current principal balance of oil-exposed K-LOCs has almost doubled since our last review, and currently includes 83 loans ($1.1 billion) spread across 65 transactions.

Please click here to 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 Contacts:
KBRA
Larry Kay, 646-731-2452
Senior Director
lkay@kbra.com
or
Eric Thompson, 646-731-2355
Senior Managing Director
ethompson@kbra.com

Contacts

Analytical Contacts:
KBRA
Larry Kay, 646-731-2452
Senior Director
lkay@kbra.com
or
Eric Thompson, 646-731-2355
Senior Managing Director
ethompson@kbra.com