Kroll Bond Rating Agency Releases CMBS Research: Not All Loans Make the Final Cut

NEW YORK--()--Kroll Bond Rating Agency (KBRA) released a report today which provides insight into the nature of changes that occur to CMBS loan pools during the securitization process. Many of the changes come in the form of loan “drops” – loans that don’t make the cut for a variety of reasons, which can include B-Buyer kick-outs, or instances where borrowers turn to alternative funding sources other than CMBS. In its analysis, KBRA studied 105 transactions rated by the firm from 2013 to 2015, and focused on loans that were removed from the 41 conduit transactions rated by KBRA in 2015. Some key findings and observations from the report are highlighted below:

  • The proportion of the pool balance that is subject to change has been on the rise since 2013.
  • Small and medium sized loans were removed more than twice as much as loans with principal balances of $50.0 million or larger.
  • Tertiary market loans were removed more frequently than primary market loans.
  • Loans secured by industrial and multifamily properties had the highest removal rate.
  • Loans originated by “non-bank” lenders were removed more frequently than loans originated by banks, and the removed non-bank loans were more highly leveraged.
  • Nearly two-thirds of the loans were unfunded at the time of preliminary feedback.
  • Unfunded loans were removed more than twice as much as funded loans.
  • More than one-third of the “dropped” loans were not securitized as of March 31, 2016.
  • Some “dropped” loans reappeared in multiple pools.

To view the report, please click here.

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

Kroll Bond Rating Agency
Yee Cent Wong, Managing Director
(646) 731-2374
ywong@kbra.com
or
Eric Thompson, Senior Managing Director
(646) 731-2355
ethompson@kbra.com
or
Ken Kor, Senior Analyst
(646) 731-2339
kkor@kbra.com

Contacts

Kroll Bond Rating Agency
Yee Cent Wong, Managing Director
(646) 731-2374
ywong@kbra.com
or
Eric Thompson, Senior Managing Director
(646) 731-2355
ethompson@kbra.com
or
Ken Kor, Senior Analyst
(646) 731-2339
kkor@kbra.com