NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 17 classes of the SGCMS 2016-C5 transaction. SGCMS 2016-C5 is a $736.8 million CMBS conduit transaction collateralized by 47 commercial mortgage loans secured by 138 properties.
The properties in the collateral pool are located in 28 states, with two that represent more than 10.0% of the pool balance: California (12.8%) and Pennsylvania (12.2%). The pool has exposure to most of the major property type sectors, with three that represent more than 10.0% of the pool balance: retail (31.5%), office (31.2%), and lodging (20.9%). The loans have principal balances ranging from $1.7 million to $40.0 million for the largest loan in the pool, The Mall at Rockingham Park (5.4%), which consists of 540,867 sf of a 1.0 million sf, super-regional mall located in Salem, New Hampshire, approximately 32 miles northwest of Boston. The top five loans, which also include 85 Bluxome (5.2%), Plaza Mexico – Los Angeles (4.9%), 26 Astor Place (4.9%), and Holiday Inn Express Nashville - Downtown (4.7%), represent 25.0% of the initial pool balance, while the top 10 loans represent 43.4%.
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 Methodology. On an aggregate basis, KNCF was 5.4% 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, 38.0% less than third party appraisal values. The pool has an in-trust KLTV of 99.7% and an all-in KLTV of 103.4%. 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, SGCMS 2016-C5 published today at www.kbra.com. The report includes our 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: SGCMS 2016-C5
|Class||Initial Class Balance||Expected KBRA Rating|
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: SGCMS 2016-C5 Representations & Warranties Disclosure Report.
Related publications (available at www.kbra.com):
CMBS: SGCMS 2016-C5 Presale Report
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published December 3, 2015
CMBS 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).