In this report, KBRA continues to track several key metrics sourced from quarterly collateral loan tapes provided by the issuers of KBRA-rated RRL securitizations, in dashboard form. Changes in such metrics can provide an indication of the general health and credit quality of the portfolios. The May analysis used collateral tapes dated through March 2023, and for this update we utilized reports dated through June 2023. Notably, cash and liquidity figures, on average, have come down from recent peaks. However, ARR continues to increase across the names in the portfolios. Debt-to-recurring revenue is up modestly, and loan-to-value (LTV) is flat.
- Balance sheet cash is down approximately 30% quarter-over-quarter (QoQ) but remains up 1.5% year-over-year (YoY). Notably, the QoQ reduction is mainly concentrated among a handful of borrowers. Absent these names, cash would have trended flatter QoQ.
- On an aggregate basis, ARR for the borrowers in the dashboard has increased approximately 3.4% QoQ and 39% year-over-year (YoY), which is relatively consistent with the last report. After a modest QoQ rise of 6.3% through March, the debt-to-recurring revenue ratio increased 1.7% and is up 3.5% YoY.
- Liquidity cushion, which measures cash and capacity under undrawn revolvers, is down approximately 12% QoQ but remains up 33% YoY.
- The average LTV ratio is flat QoQ and up 1.6% YoY.
- The weighted-average life (WAL) of the loans has decreased 3.6% QoQ and 3.8% YoY.
- The all-in rate for the loans in the dashboard is now 11.3%, up 0.4% QoQ and 3.8% YoY. Interest payment-in-kind (PIK) has continued to modestly trend upward. Just over one-third of the RRLs in the dashboard currently report a PIK balance, which is flat QoQ. There are currently no reported delinquencies or defaults.
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KBRA is a full-service credit rating agency registered in the U.S., the EU, and the UK, and is designated to provide structured finance ratings in Canada. KBRA’s ratings can be used by investors for regulatory capital purposes in multiple jurisdictions.