NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) released today its CMBS monthly newsletter, CMBS Trend Watch.
There was no summer lull in CMBS issuance this month, during which we assigned 99 ratings to five conduits, two single borrower transactions, a Freddie Mac K-Series securitization, and a Freddie Mac re-securitization. In addition to the new issuance activity, KBRA’s surveillance team affirmed its ratings on 188 classes, upgraded its ratings on four classes, and withdrew the rating for one class which was paid in full.
The three-month rolling average KLTV remained flat during the month at 102.4%, up slightly from 102.3% in June, and was meaningfully lower than the preceding three months, when the figure reached 103.5% or more. As we noted in our Beyond the Metrics Report last week, it is becoming increasingly prevalent this year to see deals with meaningful exposures to low leverage loans that skew overall pool metrics, and this month was no exception, which contributed to the downward trend. The three-month rolling average IO Index also improved, positing its second consecutive decline to 39.8% from 41.3% in June, and is at its lowest level since February 2015 – a trend we suspect will reverse itself as the year unfolds. In the current month, the partial term IO average increased to 42.3% from 38.0%, and was more than offset by the decline in the full term IO average to 25.1% from 28.3%. The three-month rolling KDSC declined to 1.87x, down from 1.92x in June as the weighted average KDSC for the five deals we rated was 1.74x.
In the Publications Corner section, we also highlight our research commentary entitled “Beyond the Credit Metrics Research Report”, which was released last week. The report identifies loan and collateral features that could present additional credit risk in CMBS deals irrespective of credit metrics such as leverage and debt service coverage.
In our commitment to transparency, we updated our comprehensive set of the statistics for our rated conduits along with this issue of Trend Watch within the KBRA Comparative Analytic Tool (KCAT). The file enables users to compare data points from all KBRA rated conduits.
To view the report, please click here: www.krollbondratings.com/show_report/2724
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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).