KBRA Releases Monthly CMBS Trend Watch
KBRA releases the July 2022 issue of CMBS Trend Watch.
This month's Spotlight features a review of the impact of servicer advancing (or lack thereof) for end-of-life conduit transactions. Servicer advancing requires the master servicer to advance principal and interest on delinquent loans to the extent deemed recoverable. For end-of-life conduits, non-recoverable advance determinations (NRAD) would cause interest shortfalls to impact most or all of the outstanding classes, including those with relatively high levels of credit enhancement.
A look at the 2012 conduit universe shows a few transactions where the remaining loans are mostly nonperforming, and where the servicer determined that all advances of principal and interest on the loans are NRAD. This led to interest shortfalls that impacted most or all of the outstanding classes, including those with relatively high levels of credit enhancement. The Spotlight provides examles of affected transactions, as well as a more detailed discussion of NRADs.
The publication also provides highlights on new issuance in the sector, as well as surveillance activity.
In July, KBRA published pre-sales for four deals ($3.4 billion) including two SB transactions ($1.7 billion), one Freddie Mac K-Series ($1.2 billion), and one single-family rental ($464.8 million). July's surveillance activity included rating actions on 362 classes consisting of 348 affirmations, 10 downgrades, and four upgrades. The activity was effectuated across 34 transactions including 19 conduits, nine single-borrower transactions, three Freddie Mac K-Series, one commercial real estate collateralized loan obligation (CRE CLO), one large loan, and one re-remic transaction.
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.