Kroll Bond Rating Agency Assigns Preliminary Ratings to CGCMT 2016-P3

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 15 classes of the CGCMT 2016-P3 transaction (see ratings list below). CGCMT 2016-P3 is a $771.0 million CMBS conduit transaction collateralized by 37 commercial mortgage loans secured by 75 properties.

The properties in the collateral pool are located in 26 states, with one state, New York (39.8%), representing more than 10.0% of the pool balance. The pool has exposure to all the major property types, with four that represent more than 10.0% of the pool balance: office (31.3%), retail (24.7%), hospitality (20.5%) and industrial (15.4%). The loans have principal balances ranging from $2.0 million to $65.0 million for the largest loan in the pool, Empire Mall (8.4%), a 1.1 million sf, super regional mall located in Sioux Falls, South Dakota. The top five loans, which also include Marriott Midwest Portfolio (7.1%), Nyack College NYC (7.1%), 600 Broadway (6.5%) and 79 Madison Avenue (5.8%), represent 35.0% of the initial pool balance, while the top 10 loans represent 61.3%.

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 6.2% 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, 41.1% less than third party appraisal values. The pool has an in-trust KLTV of 100.0% and an all-in KLTV of 110.8%. 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, CGCMT 2016-P3 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: CGCMT 2016-P3

 
Liability Structure

Class of
Certificates

  Initial Class Balance  

Credit
Enhancement

 

Expected
KBRA Rating

 

Rated Final Distribution
Date

                 
A-1   $13,614,000   30.000%   AAA(sf)   April 2049
A-2   $98,127,000   30.000%   AAA(sf)   April 2049
A-3   $175,000,000   30.000%   AAA(sf)   April 2049
A-4   $221,743,000   30.000%   AAA(sf)   April 2049
A-AB   $31,196,000   30.000%   AAA(sf)   April 2049
X-A   $580,156,0001   N/A   AAA(sf)   April 2049
X-B   $42,404,0001   N/A   AAA(sf)   April 2049
X-D   $44,331,0001   N/A   BBB-(sf)   April 2049
A-S   $40,476,000   24.750%   AAA(sf)   April 2049
B   $42,404,000   19.250%   AA(sf)   April 2049
C   $38,548,000   14.250%   A-(sf)   April 2049
EC   $121,428,0002   14.250%   A-(sf)   April 2049
D   $44,331,000   8.500%   BBB-(sf)   April 2049
E   $19,274,000   6.000%   BB(sf)   April 2049
F   $9,637,000   4.750%   B(sf)   April 2049
G   $36,622,163   0.000%   NR   April 2049
1   Notional balance.
2 Represents the maximum amount of Class EC certificates that could be issued in an exchange.

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: CGCMT 2016-P3 Representations & Warranties Disclosure Report.

Related publications (available at www.kbra.com):

CMBS: CGCMT 2016-P3 Presale Report
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published December 3, 2015
CMBS Property Evaluation Methodology, published December 3, 2015

Follow us on Twitter!
@KrollBondRating

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

Kroll Bond Rating Agency
Analytical:
Matthew Horner, 646-731-2477
mhorner@kbra.com
or
Yee Cent Wong, 646-731-2374
ywong@kbra.com
or
James Wang, 646-731-2450
jwang@kbra.com
or
Dayna Carley, 646- 731-2391
dcarley@kbra.com

Contacts

Kroll Bond Rating Agency
Analytical:
Matthew Horner, 646-731-2477
mhorner@kbra.com
or
Yee Cent Wong, 646-731-2374
ywong@kbra.com
or
James Wang, 646-731-2450
jwang@kbra.com
or
Dayna Carley, 646- 731-2391
dcarley@kbra.com