KBRA revises the KBRA Performance Outlook (KPO) on four European CMBS loans to Underperform following a sensitivity analysis to assess the potential impact of the deteriorating economic environment. The analysis produced hypothetical stressed loan-to-value and interest coverage ratios for each loan in KBRA’s rated universe of typical CMBS transactions. This information, along with maturity date, leasing and operating profile, property type, and jurisdiction were also considered in determining the KPO changes.

A KPO is an assessment of Outperform, Perform, or Underperform based on recent and expected collateral performance. It is generally assigned to loans approximately one year after securitisation, at the time of our first annual surveillance review, and is monitored thereafter. A KPO revision does not necessarily occur before a rating change or indicate a change is imminent.

Loans with KPO revisions to Underperform are:

• Taurus 2019-3 UK
• Taurus 2021-2 SP
• Taurus 2020-1 NL
• Taurus 2021-4 UK: United VI

Click here to view the report.

Related Publications

• Rising Interest Rates to Increase Hedging Extension Costs and Refinance Risk
• CMBS LTV Covenant Breach Risk on the Rise
• UK Light Industrial and Urban Logistics Sectors: Storm Clouds Ahead for Rental Growth
• UK Consumer Crunch: Challenging Times Ahead

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.

View source version on businesswire.com: https://www.businesswire.com/news/home/20221107005823/en/