KBRA Releases Monthly CMBS Trend Watch

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Kroll Bond Rating Agency (KBRA) released December’s CMBS Trend Watch today.

With this edition of Trend Watch, we’ve included a slide presentation that summarizes some of the trends in new issuance conduit credit that we’ve observed over the past year. Topics include In-Trust KLTV, Credit Barbelling, All-In KLTV, KBRA’s IO Index, and Concentration Risk. We’ve also provided a review of rating surveillance activity, as well as a high level overview of KBRA Loans of Concern (K-LOCs) that we have identified across the 2.0 conduit universe. We’re hopeful that readers find it helpful in advance of the CREFC conference.

In our Spotlight section, we focus on the increased level of primary market exposure in KBRA rated conduits over the past year. In 2017, primary market exposure surpassed the 50.0% mark for the first time since we began rating conduits in 2012, and finished the year at 54.3%, which was up almost 9 points from 2016. The section looks at market tiers through a number of lenses, including in-trust and all-in leverage, property type, and interest-only exposure. It also highlights the proportion of pari passu notes among market tiers.

The publication also recaps issuance and rating activity. Private label pricing volume ended the year at $88.1 billion, a 26.2% increase from full-year (FY) 2016. Driving the increased volume in 2017 was greater single borrower issuance, which saw an 88.7% year-over-year (YOY) increase to $36.5 billion. Meanwhile, conduit issuance remained relatively flat at $48.5 billion, increasing by 1.4% during the same period.

We expect single borrower issuance to remain strong in 2018. At this juncture, we are aware of a dozen or more single borrower deals that may launch by early February. In addition, we expect to see as many as three CREL CLOs in that time frame, as well as a few conduits.

On the ratings front, KBRA published pre-sales for six deals ($5.1 billion), including two conduits ($1.6 billion), one Freddie K-Series transaction ($1.5 billion), one CREL CLO ($1.0 billion), one single borrower ($600.0 million), and one single-family rental (SFR) ($394.2 million). December’s surveillance actions included 283 affirmations and five upgrades, which were effectuated across 25 transactions. In conjunction with the surveillance reviews, KBRA highlighted 42 K-LOCs.

To view the report, please click here.


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About KBRA and KBRA Europe

KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.

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Business Wire: 19:00 GMT Friday 5th January 2018

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