KBRA Releases Monthly CMBS Trend Watch

October 5, 2021 3:30 PM EDT

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NEW YORK--(BUSINESS WIRE)-- Kroll Bond Rating Agency (KBRA) releases the September 2021 issue of CMBS Trend Watch.

CMBS private label pricing volume ended the month of September at $12.3 billion, bringing the year-to-date (YTD) issuance total to $69 billion, eclipsing the $58.4 billion in activity posted through Q3 YTD 2019, and up 75.4% year-over-year (YoY). We currently have visibility of up to 18 deals that could launch this October, including two conduits, eight to 10 single-borrower (SB) transactions, one Freddie Mac K-Series, and as many as five commercial real estate collateralized loan obligation (CRE CLO) transactions.

In the spotlight feature, KBRA reviews its issuer net cash flow (NCF) haircuts. Since KBRA started rating conduit transactions in 2012, the average KBRA net cash flow (KNCF) haircut to issuer NCF has steadily risen each year to its current YTD September 2021 level of 9.8%.

In September, KBRA published pre-sales for eight deals ($7.3 billion) including four conduits ($4.3 billion), three CRE CLO transactions ($2.1 billion), and one Freddie Mac K-Series ($955.5 million). September’s surveillance activity included rating actions on 495 classes consisting of 462 affirmations, 25 downgrades, and eight upgrades. There were 266 KBRA Loans of Concern (K-LOCs) identified during the month. There were also 19 KBRA Performance Outlook (KPO) changes: four to Outperform from Perform, one to Perform from Outperform, and 14 to Underperform from Perform.

Click here to view the report.

About KBRA

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.

Giselle Vuong, Associate
+1 (646) 731-2435

Larry Kay, Senior Director
+1 (646) 731-2452

Eric Thompson, Senior Managing Director
+1 (646) 731-2355

Business Development Contact

Michele Patterson, Managing Director
+1 (646) 731-2397

Source: Kroll Bond Rating Agency

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