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KBRA Releases Monthly CMBS Trend Watch

Kroll Bond Rating Agency (KBRA) releases February’s CMBS Trend Watch.

CMBS private label pricing volume ended February at $7.1 billion. This brings the year-to-date (YTD) issuance total to $17.8 billion, almost double 2019 YTD issuance of $9.3 billion. We currently have visibility of over 20 deals that could launch through the end of March, including as many as five conduits, five single-borrower (SB) transactions, two Freddie Mac K-Series, one large loan, one small balance commercial, as well as up to 10 commercial real estate collateralized loan obligations (CRE CLOs) that are in various stages of completion. However, some of these transactions may be delayed owing to heightened volatility in the broader markets stemming from coronavirus concerns.

The Spotlight section discusses how the composition of CMBS conduit pools changes over the course of the rating process. In 2019, the percentage of pool changes declined to 30.1% or 190 basis points below 2018 levels. This, however, did not meaningfully interrupt the net percentage change increase over the period, which is almost double the 2013 level of 17.4%. Loans are more likely to be removed from a given transaction if they had one or more of the following characteristics: a relatively low loan balance; a nonbank originator; tertiary market collateral; and/or were not yet funded at the time of KBRA’s preliminary analysis.

KBRA published February pre-sales for eight deals, including three conduits ($2.7 billion), two single-borrower transactions ($1.2 billion), one Freddie Mac K-Series ($1.4 billion), one large loan ($660 million), and one small balance commercial ($261.9 million) deal. February’s surveillance activity included rating actions on 364 classes consisting of 356 affirmations, one upgrade, and seven downgrades. KBRA highlighted 64 KBRA Loans of Concern (K-LOCs), as well as 12 KBRA Performance Outlook (KPO) changes.

The three-month rolling average IO Index recorded another high, moving to 79.1% from 73.7% in January.

To view the report, click here.


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 designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is 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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