Kroll Bond Rating Agency Assigns Preliminary Ratings to JPMBB 2016-C1

NEW YORK--()--Kroll Bond Rating Agency, Inc. (KBRA) is pleased to announce the assignment of preliminary ratings to 18 classes of the JPMBB 2016-C1 transaction (see ratings list below). JPMBB 2016-C1 is a $1.0 billion CMBS conduit transaction collateralized by 50 commercial mortgage loans secured by 110 properties.

The underlying collateral properties are located in 31 states, with three state exposures, New York (25.3%), Florida (14.7%) and Texas (10.8%), that represent more than 10.0% of the pool balance. There is exposure to all the major property type segments, with four that represent more than 10.0% of the pool balance: office (36.4%), lodging (19.1%), multifamily (14.7%) and retail (10.8%). The loans have principal balances ranging from $2.4 million to $95.0 million for the largest loan in the pool, 215 Park Avenue South (9.3%), which is secured by a 324,422 sf, Class-B office building located in the Gramercy neighborhood of New York City’s borough of Manhattan. The top five loans, which also include 5 Penn Plaza (7.6%), 32 Avenue of Americas (7.1%), 7700 Parmer (6.8%), and Naples Grande Beach Resort (6.8%), represent 37.7% of the initial pool balance, while the top 10 loans represent 58.9%.

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 Methodology. On an aggregate basis, KNCF was 4.6% 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, 40.5% less than third party appraisal values. The pool has an in-trust KLTV of 103.7% and an all-in KLTV of 105.1%. 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, JPMBB 2016-C1 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: JPMBB 2016-C1

                 
Class       Class Balance (US$)       Expected Rating
A-1       $29,181,000       AAA(sf)
A-2       $95,864,000       AAA(sf)
A-3       $44,513,000       AAA(sf)
A-4       $175,000,000       AAA(sf)
A-5       $317,480,000       AAA(sf)
A-SB       $53,301,000       AAA(sf)
X-A       $774,099,000(1)       AAA(sf)
X-B       $58,760,000(1)       AAA(sf)
X-C       $47,263,000(1)       AAA(sf)
X-D       $56,206,000(1)       BBB-(sf)
A-S       $58,760,000       AAA(sf)
B       $58,760,000       AA-(sf)
C       $47,263,000       A-(sf)
D-1       $34,490,000       BBB(sf)
D-2       $21,716,000       BBB-(sf)
D       $56,206,000**       BBB-(sf)
E       $29,380,000       BB-(sf)
F       $11,496,000       B-(sf)
NR       $48,708,765       NR

*Notional balance

** Represents the maximum balance of Class D certificates that could be issued in exchange for Class D-1 and D-2 certificates

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 can be found in the report entitled CMBS: JPMBB 2016-C1 Representations & Warranties Disclosure Report.

Related publications (available at www.kbra.com):
CMBS: JPMBB 2016-C1 Presale Report
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published December 3, 2015CMBS Property Evaluation Methodology, published December 3, 2015

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).

Contacts

Analytical:
Kroll Bond Rating Agency
Lynn D’Eugenio, 646-731-2487
ldeugenio@kbra.com
or
Joseph Kelly, 646-731-2365
jkelly@kbra.com
or
Robin Regan, 646-731-2358
rregan@kbra.com
or
Christina Moy, 646-731-2327
cmoy@kbra.com
or
Follow us on Twitter!
@KrollBondRating

Contacts

Analytical:
Kroll Bond Rating Agency
Lynn D’Eugenio, 646-731-2487
ldeugenio@kbra.com
or
Joseph Kelly, 646-731-2365
jkelly@kbra.com
or
Robin Regan, 646-731-2358
rregan@kbra.com
or
Christina Moy, 646-731-2327
cmoy@kbra.com
or
Follow us on Twitter!
@KrollBondRating