NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency, Inc. (KBRA) is pleased to announce the assignment of preliminary ratings to 14 classes of the COMM 2015-LC21 transaction (see ratings list below). COMM 2015-LC21 is a $1.3 billion CMBS conduit transaction collateralized by 101 fixed rate commercial mortgage loans that are secured by 198 properties.
The underlying collateral properties are located in 42 different states, with five state exposures representing more than 5.0% of the pool balance: California (22.0%), Texas (13.7%), Illinois (6.1%), New York (6.1%) and Pennsylvania (5.3%). There is exposure to all of the major property type segments, with four that each represent more than 10.0% of the pool balance: retail (32.8%), lodging (22.4%), office (14.0%) and multifamily (10.3%). The loans have principal balances ranging from $0.8 million to $97.1 million for the largest loan in the pool, Courtyard by Marriott Portfolio (7.3%), which is secured by a portfolio of 65 select-service hotels. The five largest loans, which also include Courtyard by Marriott Pasadena (5.6%), Meridian at Brentwood (3.2%), 155 Mercer Street (3.1%), and Capistrano Business Center I & II (2.6%), represent 21.8% of the initial pool balance, while the ten largest loans represent 32.4%.
KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of 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 Guidelines. On an aggregate basis, KNCF was 4.0% 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, 36.4% less than third party appraisal values. The pool has an in-trust KLTV of 103.6% and an all-in KLTV of 109.1%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan, which are then used to assign our credit ratings.
For complete details on the analysis, please see our presale report, COMM 2015-LC21, published today at www.kbra.com. The report includes our new KBRA Comparative Analytic Tool (KCAT). KCAT is 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 provided in our CMBS Monthly Trend Watch publication.
- Excel based property cash flow statements for the top 20 loans.
Preliminary Ratings Assigned: COMM 2015-LC21
| Class | Class Balance (US$) | Expected Rating | ||||||
| A-1 | $57,900,000 | AAA(sf) | ||||||
| A-2 | $181,050,000 | AAA(sf) | ||||||
| A-SB | $90,150,000 | AAA(sf) | ||||||
| A-3 | $225,000,000 | AAA(sf) | ||||||
| A-4 | $371,223,000 | AAA(sf) | ||||||
| X-A | $1,042,641,000* | AAA(sf) | ||||||
| X-B | $118,970,000* | AAA(sf) | ||||||
| X-C | $59,485,000* | BBB-(sf) | ||||||
| X-D | $34,700,000* | NR | ||||||
| X-E | $24,785,000* | NR | ||||||
| X-F | $41,309,997* | NR | ||||||
| A-M | $117,318,000 | AAA(sf) | ||||||
| B | $67,747,000 | AA-(sf) | ||||||
| C | $51,223,000 | A-(sf) | ||||||
| D | $59,485,000 | BBB-(sf) | ||||||
| E | $34,700,000 | BB-(sf) | ||||||
| F | $24,785,000 | B-(sf) | ||||||
| G | $41,309,997 | NR |
* Notional balance
Related publications (available at www.kbra.com):
CMBS:
COMM 2015-LC21 Presale Report
CMBS:
U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012CMBS
Property Evaluation Guidelines, published March 3, 2015
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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).
