Kroll Bond Rating Agency Assigns Preliminary Ratings to JPMCC 2016-JP4

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 14 classes of the JPMCC 2016-JP4 transaction (see ratings list below). JPMCC 2016-JP4 is a $997.6 million CMBS conduit transaction collateralized by 40 commercial mortgage loans secured by 72 properties.

The underlying collateral properties are located in 28 states, with only one representing more than 10.0% of the pool, California (17.8%). The pool has exposure to most of the major property types, with three that represent more than 10.0% of the pool balance: retail (36.8%), office (33.8%), and lodging (18.5%). The loans have principal balances ranging from $1.0 million to $94.0 million for the largest loan in the pool, Hilton Hawaiian Village (9.4%), a 2,860-key full-service hotel located on Waikiki Beach in Honolulu, Hawaii, approximately 2.7 miles southeast of the city’s CBD. The top five loans, which also include Fresno Fashion Fair Mall (8.0%), 9 West 57th Street (6.3%), Riverway (6.3%), and Moffett Gateway (6.0%), represent 36.1% of the initial pool balance, while the top 10 loans represent 56.3%.

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 6.0% 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, 39.6% less than third party appraisal values. The pool has an in-trust KLTV of 94.8% and an all-in KLTV of 105.8%. 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, JPMCC 2016-JP4 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: JPMCC 2016-JP4

Class     Initial Class Balance     Expected KBRA Rating
A-1     $35,667,000     AAA
A-2     $129,067,000     AAA
A-3     $215,000,000     AAA
A-4     $266,136,000     AAA
A-SB     $52,478,000     AAA
A-S     $59,858,000     AAA
X-A     $758,206,000*     AAA
B     $61,106,000     AA-
X-B     $61,106,000*     AAA
C     $49,882,000     A-
D     $56,117,000     BBB-
X-C     $105,999,000*     BBB-
E     $22,447,000     BB
F     $17,459,000     B-
NR     $32,423,640     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: JPMCC 2016-JP4 Representations & Warranties Disclosure Report.

Related publications (available at www.kbra.com):
CMBS: JPMCC 2016-JP4 Presale Report
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published December 3, 2015
CMBS Property Evaluation Methodology, published December 3, 2015
Methodology for Rating Interest-Only Certificates in CMBS Transactions, published June 6, 2016

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 Contacts:
Erika Hinman
(646) 731-2418
ehinman@kbra.com
or
Patrick McQuinn
(646) 731-2445
pmcquinn@kbra.com
or
Yee Cent Wong
(646) 731-2374
ywong@kbra.com
or
Dayna Carley
(646) 731-2391
dcarley@kbra.com

Contacts

Kroll Bond Rating Agency
Analytical Contacts:
Erika Hinman
(646) 731-2418
ehinman@kbra.com
or
Patrick McQuinn
(646) 731-2445
pmcquinn@kbra.com
or
Yee Cent Wong
(646) 731-2374
ywong@kbra.com
or
Dayna Carley
(646) 731-2391
dcarley@kbra.com