KBRA Releases Monthly CMBS Trend Watch: CRE CLO Modification Spotlight
Kroll Bond Rating Agency (KBRA) releases the July 2021 issue of CMBS Trend Watch.
In this month's spotlight section, we provide an update to our CRE CLO Loan Default and Loss Study published last month, following a number of conversations with market constituents. Two of the more prevalent topics discussed were the potential impact of modifications on note protection tests (NPT) and the tracking of credit impaired loans that were repurchased from deals.
The publication also highlights new issue and surveillance activity for the month of July. Over the month, KBRA published pre-sales for six deals ($3.6 billion) including one conduit ($1.4 billion), three SB transactions ($1 billion), one single-family renta transaction ($305.8 million), and one CRE CLO transaction ($900 million). July's surveillance activity included rating actions on 415 classes consisting of 390 affirmations, and 25 downgrades. There were 319 KBRA Loans of Concern (K-LOCs) identified during the month, and 10 KBRA Performance Outlook (KPO) changes, all to Underperform from Perform.
Click here to view the report.
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.
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