NEW YORK--(EON: Enhanced Online News)--Kroll Bond Rating Agency (KBRA) released this month’s CMBS Trend Watch today. In November, CMBS private-label pricing volume totaled $11.9 billion, the highest monthly volume since September 2014. Despite this month’s heavy supply, the year-to-date 2016 total of $64.5 billion is still down 28.8% year-over-year.
November’s wides of Swaps (S)+120 remained in line with October levels for the benchmark AAA’s. In November, three conduit deals priced with spreads between S+100 to S+107. Two of these deals, CD 2016-CD2 (S+100) and MSC 2016-BNK2 (S+107), may have benefitted from a “risk retention premium” as they were structured to comply with the pending rules. The third deal, GSMS 2016-GS4 (S+102), was low leveraged, with a weighted KLTV and appraisal LTV of 89.4% and 51.1%, respectively.
KBRA published presales for nine transactions ($6.6 billion) in November. The transaction types included six conduits, one single-asset single-borrower (SASB), one single-family rental (SFR) and a small balance commercial securitization. Surveillance activity consisted of 47 transaction reviews which resulted in 364 affirmations and one downgrade. Of the affirmations, 151 were in conjunction with the release of KBRA’s Single-Borrower SFR: Comprehensive Surveillance Report on November 28, 2016.
In our KBRA credit metrics review, after establishing a multiyear low of 95.5% in September, the three-month rolling average KLTV began to increase in October, which continued into November. The “credit barbell” indicator increased in excess of 2.0 times from 1Q 2016 to 3Q 2016, much of which was attributable to increasing numbers of low leverage loans being added to pools. Although the trend broke in October, the barbell indicator experienced a marked increase in November.
With the November edition of Trend watch we have also included our KBRA Comparative Analytic Tool (KCAT). The file enables users to compare data points for all KBRA rated conduits.
To read the report, please click here.
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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).