KBRA Releases Monthly CMBS Trend Watch

NEW YORK--()--Kroll Bond Rating Agency (KBRA) released September’s CMBS Trend Watch today.

September private-label pricing volume was $8.5 billion, bringing the Q3 2017 total to $26.1 billion. This is the highest quarterly volume figure since Q1 2015, and it represents almost half (43%) of the $60.4 billion that has priced to date, which is up 35% year-over-year.

With new issue conduit spreads exhibiting stability, deal volume remained robust during the month, although it was down from the $9.9 billion that priced in August. Heavy volume is anticipated to continue this month, as we expect up to five conduits to launch, and as many as eight single borrower transactions.

New issue conduit pricing in September remained in line with August for the benchmark AAA class. The September AAA LCF spread-to-swaps ranged between +89 and +96 bps, compared to the August range of +90 and +95 bps. However, spreads for the BBB- class saw moderate widening among those deals where pricing was available. It ranged from +370 to +460 bps during September, compared to the August range of +325 to +360 bps.

In September, KBRA published pre-sales for nine deals ($9.0 billion), including four conduits, two single borrowers, two Freddie K-Series transactions, and one single-borrower single-family rental (SFR). There were 324 surveillance actions taken across 28 transactions during the month, including 319 affirmations, and five upgrades. As part of August’s surveillance activity, KBRA highlighted 50 KBRA Loans of Concern (K-LOCs), which are loans that are either in default or at heightened risk of default.

The three-month average KDSC and KBRA Debt Yield (KDY) both continued their upward trajectory in September. The three-month average KDSC increased for six consecutive months and ended September at 2.12x. The three-month average KDY had its seventh consecutive monthly increase, and reached 10.4%, its highest level in four years.

In this edition of Trend Watch, we also highlighted our recently released publications, including As Off-Price Department Store Sales Decline, Different Strategies Emerge, A Deeper Dive on REIT Bond Leverage - AAA in Disguise, and Tropical Storm Irma - KBRA Rated CMBS Exposure.

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