Kroll Bond Rating Agency Assigns Preliminary Ratings to MSBAM 2016-C31

NEW YORK--()--Kroll Bond Rating Agency, Inc. (KBRA) is pleased to announce the assignment of preliminary ratings to 17 classes of the MSBAM 2016-C31 transaction (see ratings list below). MSBAM 2016-C31 is a $953.2 million CMBS conduit transaction collateralized by 60 commercial mortgage loans secured by 101 properties.

The properties in the collateral pool are located in 28 states and the District of Columbia, with only one state, Florida (11.2%), accounting for more than 10.0% of the pool balance. The pool has exposure to most of the major property type sectors, with three that represent more than 10.0% of the pool balance: office (40.1%), retail (34.5%), and lodging (14.9%). The loans have principal balances ranging from $2.0 million to $80.0 million for the largest loan in the pool, Huntington Center (8.4%), a 907,010 sf Class-A office building located in Columbus, Ohio. The top five loans, which also include One Met Life Way (7.2%), Hyatt Regency Sarasota (5.7%), SpringHill Suites – Seattle (4.7%), and Vintage Park (4.7%), represent 30.7% of the initial pool balance, while the top 10 loans represent 49.7%.

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 4.2% 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, 37.7% less than third party appraisal values. The pool has an in-trust KLTV of 101.7% and an all-in KLTV of 103.6%. 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, MSBAM 2016-C31 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 provided in our CMBS Monthly Trend Watch publication.
  • Excel based property cash flow statements for the top 20 loans.

Preliminary Ratings Assigned: MSBAM 2016-C31

Class       Initial Class Balance      

Expected KBRA

Rating

A-1       $50,100,000       AAA(sf)
A-2       $27,600,000       AAA(sf)
A-SB       $69,700,000       AAA(sf)
A-3       $17,811,000       AAA(sf)
A-4       $210,000,000       AAA(sf)
A-5       $292,019,000       AAA(sf)
X-A       $667,230,000*       AAA(sf)
A-S       $65,531,000       AAA(sf)
B       $45,277,000       AA(sf)
X-B       $110,808,000*       AAA(sf)
C       $44,085,000       A(sf)
D       $52,425,000       BBB(sf)
X-D       $52,425,000*       BBB(sf)
E       $25,021,000       BB+(sf)
X-E       $25,021,000*       BB+(sf)
F       $10,723,000       B+(sf)
X-F       $10,723,000*       B+(sf)
G       $42,894,169       NR
X-G       $42,894,169*       NR

* Notional balance.

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: MSBAM 2016-C31 Representations & Warranties Disclosure Report.

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

CMBS: MSBAM 2016-C31 Presale Report

CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published December 3, 2015

CMBS Property Evaluation Methodology, published December 3, 2015

CMBS: Methodology for Rating Interest-Only Certificates in CMBS Transactions, published June 6, 2016

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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).

Contacts

Analytical:
Kroll Bond Rating Agency, Inc.
Albert Lee, 646-731-2448
alee@kbra.com
or
Michael Brown, 646-731-2307
mbbrown@kbra.com
or
Dayna Carley, 646-731-2391
dcarley@kbra.com
or
Stephanie Ruys de Perez, 646-731-2466
sruysdeperez@kbra.com

Contacts

Analytical:
Kroll Bond Rating Agency, Inc.
Albert Lee, 646-731-2448
alee@kbra.com
or
Michael Brown, 646-731-2307
mbbrown@kbra.com
or
Dayna Carley, 646-731-2391
dcarley@kbra.com
or
Stephanie Ruys de Perez, 646-731-2466
sruysdeperez@kbra.com