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Thursday, 02 July 2020

KKR Keeps Perch Atop Ranking of CMBS B-Piece Buyers, Retainers of Risk

KKR Real Estate Credit Opportunity Partners retained its spot at the top of a ranking of CMBS B-piece buyers for the first half of the year, with a nearly 23 percent share of the market. It also is the top ranked retainer of risk in CMBS deals, having kept bonds with a face value of $294.55 million.

Commercial Real Estate Direct Staff Report

KKR Real Estate Credit Opportunity Partners retained its spot at the top of a ranking of CMBS B-Piece buyers for the first half of the year.

The affiliate of KKR Real Estate Finance Trust Inc., a mortgage REIT, added one B-piece during the second quarter to the three deals it bought into in the first, giving it a total of four investments from CMBS deals with a face value of $4.1 billion. That was 22.9 percent of the conduit B-piece market for the first half.

Conduit issuance for the first half was only $17.8 billion, down just more than 2 percent when compared with last year. Only nine conduit deals with a balance of $6.2 billion priced in the second quarter, giving each an average size of only $692.6 million. In contrast, the average conduit weighed in at $945.27 million for all of last year.

The small size was due to issuers stripping out hotel and many retail loans, which investors currently loathe, from transactions.

Domestic, Private-Label CMBS Issuance

1H2020

1H2019

 

Deal Type

#Deals

Vol

$mln

Mkt Shr%

#Deals

Vol

$mln

Mkt Shr%

YoY Chng%

Conduit

20

17,823.65

58.32

21

18,207.80

46.05

-2.11

Single-borrower

21

10,453.45

34.20

43

20,776.61

52.55

-49.69

Other

2

2,284.51

7.48

2

555.90

1.41

310.96

TOTAL

43

30,561.61

 

66

39,540.31

 

-22.71

KKR's market share had shrunk from the 30.7 percent it held at the end of the first quarter as Prime Finance bought into two conduit deals, giving it a 7.8 percent share of the market. It hadn't made any investments in the first quarter.

Most-Active CMBS B-Piece Buyers

1H2020

1H2019

Bpce Buyer

#Deals

Bal

$mln

Mkt

Shr%

#Deals

Bal

$mln

Mkt

Shr%

KKR Real Estate Credit

4

4,085.31

22.92

5

3,836.82

21.07

Ellington Management

2

2,533.37

14.21

0.25

208.26

1.14

Rialto Capital Advisors

2

1,770.65

9.93

4

4,008.67

22.02

Prime Finance

2

1,389.71

7.80

5.75

4,802.66

26.38

Eightfold Real Estate Capital

1

1,220.06

6.85

2

2,291.40

12.58

Seer Capital

0.75

900.08

5.05

0

0.00

0.00

Argentic Securities

1

830.50

4.66

0

0.00

0.00

3650 REIT

1

828.93

4.65

1

829.25

4.55

LoanCore Capital

1

727.41

4.08

2

1,472.73

8.09

Arbor Commercial Mortgage

1

727.15

4.08

0

0.00

0.00

LNR Securities

0.25

300.03

1.68

1

758.00

4.16

Cantor Fitzgerald

1

271.08

1.52

0

0.00

0.00

None

3

2,239.38

12.56

0

0.00

0.00

TOTALS

20

17,823.65

 

21

18,207.79

 

Issuers continued to prefer structuring CMBS deals with vertical risk retention, as 25 of this year's 43 deals had such a structure. Only 11 deals totaling $9.4 billion were structured with horizontal retention and seven with a balance of $7.2 billion had hybrid structures, all of those were conduits. In some cases, the same investor taking down the horizontal slice has taken down a companion vertical strip.

CMBS Risk Retention Structures 1H2020

 

Total

Conduit

Single Borrower

Other

 

#Deals

Bal

$mln

Shr

#Deals

Bal

$mln

Shr

#Deals

Bal

$mln

Shr

#Deals

Bal $mln

Shr

Horizontal

11

9,396.29

43.60

4

2,456.78

21.20

6

5,055.10

52.87%

1

1884.41

82.49

Vertical

25

13,968.83

64.82

9

8,170.38

70.50

15

5,398.35

56.46%

1

400.1

17.51

Hybrid (L-shaped)

7

7,196.49

33.39

7

7,196.49

62.09

0

0.00

0.00%

0

0

0.00%

TOTAL

43

30,561.61

 

20

17,823.65

 

21

10,453.45

 

2

2,284.51

 

KKR, meanwhile, also remained in the top spot among retainers of CMBS risk, increasing its investments this year to five horizontal slices with a face value of $294.55 million. Athene Annuity, which securitized a $1.9 billion portfolio of seasoned mortgages through JPMorgan Securities and Deutsche Bank, retained a horizontal slice of that deal, putting it well behind KKR with $174.3 million of retained risk so far this year.

KKR consistently has ranked among the top risk retainers since rules mandating the retention of risk pieces of structured-finance deals were instituted three years ago. It funds its retentions through a pair of investment vehicles, KKR Real Estate Credit Opportunity Partners I and II, both of which were launched in 2017.

Most-Active Retainers of CMBS Risk 1H2020

Investor

Vert #

Vert

Amt $mln

Hor #

Hor

Amt $mln

Total #

Total

Amt $mln

KKR Real Estate Credit Opportunity

   

5

294.55

5

294.55

Athene Annuity

   

1

174.30

1

174.30

Oxford Properties Group

   

1

170.05

1

170.05

JPMorgan Securities

9

130.31

   

9

130.31

Deutsche Bank

10

125.68

   

10

125.68

Goldman Sachs

9

107.37

   

9

107.37

Wells Fargo Securities

6

95.18

   

6

95.18

Rialto Capital Management

1

40.39

1

51.24

2

91.63

Citigroup

8

90.52

   

8

90.52

3650 REIT

1

14.26

1

66.31

2

80.57

LoanCore Capital

   

1

68.38

1

68.38

Arbor Commercial Mortgage

   

1

63.63

1

63.63

BofA Securities

4

62.66

   

4

62.66

Morgan Stanley

4

61.41

   

4

61.41

Shelter Growth

   

2

52.50

2

52.50

Barclays Capital

4

51.94

   

4

51.94

Cantor Fitzgerald

   

1

38.68

1

38.68

Argentic Securities

1

28.32

1

9.23

2

37.55

Sabal

1

20.01

   

1

20.01

Pacific Life

   

1

19.70

1

19.70

Eightfold Real Estate Capital

   

1

16.82

1

16.82

Societe Generale

2

13.62

   

2

13.62

Natixis

1

12.63

   

1

12.63

KeyBank

1

12.20

   

1

12.20

Prima Capital

   

1

8.30

1

8.30

 Comments? E-mail Orest Mandzy, or call him at (267) 327-4281.





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Data Digest

 

CMBS DELINQUENCY VOLUME

dqdataFP1

 

CMBS SPECIAL SERVICING VOLUME

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Top Bookrunners Domestic, Private-Label CMBS - 2017
Investment Bank #Deals Vol$mln MktShr%
Goldman Sachs 17.59 11,819.34 13.68
JPMorgan Securities 14.52 10,968.11 12.70
Citigroup 12.04 10,012.71 11.59
Wells Fargo Securities 14.02 9,936.06 11.50
Deutsche Bank 12.55 9,879.74 11.44

 

RCA CPPI

 

cppichart FP

 

 

CMBS 2.0 Spreads

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Top CMBS Loan Contributors - 2017
Lender #Loans Vol$mln MktShr%
Goldman Sachs 146.89 11,719.34 13.63
JPMorgan Chase Bank 117.68 10,114.14 11.76
Deutsche Bank 198.48 9,689.97 11.27
Morgan Stanley 166.18 8,539.78 9.93
Citigroup 199.05 8,088.24 9.41

 

 

 

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