Kroll Bond Rating Agency Assigns Preliminary Ratings to CD 2017-CD5
July 17 2017 - 10:04AM
Business Wire
Kroll Bond Rating Agency (KBRA) is pleased to announce the
assignment of preliminary ratings to 16 classes of the CD 2017-CD5
transaction (see ratings list below). CD 2017-CD5 is a $931.6
million CMBS conduit transaction collateralized by 48 commercial
mortgage loans secured by 134 properties.
The properties in the collateral pool are located in 28 states,
with only New York (25.5%) and California (22.6%) each representing
more than 10.0% of the pool balance. The pool has exposure to all
the major property types, including three that represent more than
15.0% of the pool balance: office (30.1%), lodging (21.7%), and
retail (17.0%). The loans have principal balances ranging from $1.9
million to $100.0 million for the largest loan in the pool, the
General Motors Building (10.7%), which is secured by a 2.0 million
sf trophy office building located on Fifth Avenue in the Midtown
area of New York City’s Manhattan borough. The five largest loans,
which also include Olympic Tower (6.4%), AHIP Northeast Portfolio
IV (6.1%), 245 Park Avenue (5.5%), and Starwood Capital Group Hotel
Portfolio (4.3%), represent 33.0% of the initial pool balance,
while the top 10 loans represent 51.9%.
KBRA’s analysis of the transaction incorporated our
multi-borrower rating process that begins with our analysts'
evaluation of the underlying collateral properties' financial and
operating performance, which determine KBRA’s estimate of
sustainable net cash flow (KNCF) and KBRA value using our CMBS
Property Evaluation Methodology. On an aggregate basis, KNCF
was 7.1% less than the issuer cash flow. KBRA capitalization rates
were applied to each asset’s KNCF to derive values that were, on an
aggregate basis, 40.1% less than third party appraisal values. The
pool has an in-trust KLTV of 92.2% and an all-in KLTV of 102.7%.
The model deploys rent and occupancy stresses, probability of
default regressions, and loss given default calculations to
determine losses for each collateral loan that are then used to
assign our credit ratings.
For complete details on the analysis, please see our presale
report, CD 2017-CD5 published today at www.kbra.com.
The report includes our KBRA Comparative Analytic Tool (KCAT), an
easy to use, Excel-based workbook that provides the following
information:
- KBRA Deal Tape – Contains KBRA loan
level details for every loan in the pool, and the ability for users
to input adjustments to KNCF and KBRA Cap Rates and see the related
impact on key deal metrics.
- KBRA Credit Metrics Comparison Tool –
Enables the user to compare the subject transaction to a
user-defined transaction comp set. The feature provides many of the
fields that are included in our CMBS Monthly Trend Watch
publication.
- Excel-based property cash flow
statements for the top 20 loans.
Preliminary Ratings Assigned: CD 2017-CD5
Class Initial Class Balance
Expected KBRA Rating Non-Retained Certificates
A-1 $32,096,000
AAA (sf) A-2 $70,987,000
AAA (sf) A-3
$225,000,000 AAA (sf) A-4
$252,232,000 AAA (sf)
A-AB $47,057,000
AAA (sf) A-S $103,068,000
AAA (sf) X-A
$730,440,000* AAA (sf) B
$39,211,000 AA (sf)
X-B $39,211,000*
AAA (sf) C $32,489,000
A- (sf) X-C
$32,489,000* AAA (sf) D
$39,211,000 BBB- (sf)
X-D $39,211,000*
BBB- (sf) E $15,684,000
BB- (sf) X-E
$15,684,000* BB- (sf) F**
$8,962,000 B (sf)
G** $30,249,217 NR
Retained Eligible Vertical Interest VRR Interest***
$35,402,658 NR
*Notional balance**To satisfy the US risk retention rules, a
third party purchaser will purchase and retain an “eligible
horizontal residual interest” consisting of the Class F and G
certificates, representing approximately 1.2% of the fair value of
all of the non-residual interests issued by the issuer, determined
in accordance with GAAP.***To satisfy the remaining risk retention
requirements, each loan seller (CREFI, CGMRC and DBNY) is expected
to retain a portion of the VRR interest, which is an “eligible
vertical interest” in the form of a single security in the
aggregate amount of approximately 3.8% of the aggregate certificate
balance of all of the non-residual interests issued by the issuer.
The balance shown for the VRR Interest is approximate and may
change upon pricing.
Representations & Warranties
Disclosure:
All Nationally Recognized Statistical Rating Organizations are
required, pursuant to SEC Rule 17g-7, to provide a description of a
transaction’s asset-level representations, warranties and
enforcement mechanisms set forth in the related offering documents
when issuing credit ratings. KBRA’s disclosure for this transaction
is contained in the report entitled CMBS: CD 2017-CD5
Representations & Warranties Disclosure Report.
Related publications
(available at www.kbra.com):
- CMBS: CD 2017-CD5 Pre-Sale
Report
- CMBS: U.S. CMBS Multi-Borrower
Rating Methodology
- CMBS Property Evaluation
Methodology
- Methodology for Rating Interest-Only
Certificates in CMBS Transactions
About Kroll Bond Rating
Agency
KBRA is registered with the U.S. Securities and Exchange
Commission as a Nationally Recognized Statistical Rating
Organization (NRSRO). In addition, KBRA is recognized by the
National Association of Insurance Commissioners (NAIC) as a Credit
Rating Provider (CRP).
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version on businesswire.com: http://www.businesswire.com/news/home/20170717005735/en/
Analytical:KBRAAaron Reed,
646-731-2306Directorareed@kbra.comorYee Cent Wong,
646-731-2474Managing Directorywong@kbra.comorRavish Kamath,
646-731-2328Directorrkamath@kbra.comorRobin Regan,
646-731-2358Managing Directorrregan@kbra.com