Kroll Bond Rating Agency Assigns Preliminary Ratings to CFCRE 2016-C7

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 16 classes of the CFCRE 2016-C7 transaction (see ratings list below). CFCRE 2016-C7 is a $652.9 million CMBS conduit transaction collateralized by 37 commercial mortgage loans secured by 64 properties.

The properties in the collateral pool are located in 28 states, with one that represents more than 10.0% of the pool balance: California (12.4%). The pool has exposure to most of the major property types, with two that represent more than 15.0% of the pool balance: retail (38.2%) and lodging (18.9%). The loans have principal balances ranging from $1.7 million to $56.6 million for the largest loan in the pool, Hilton Hawaiian Village (8.7%), a 2,860-key full-service hotel located on Waikiki Beach approximately 2.7 miles from the Honolulu CBD, on the island of Oahu in Hawaii. The top five loans, which also include 25 Senate Place Jersey City (8.6%), Google Kirkland Campus Phase II (7.7%), Fresno Fashion Fair (6.3%), and Potomac Mills (6.2%), represent 37.4% of the initial pool balance, while the top 10 loans represent 61.9%.

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 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, 42.9% less than third party appraisal values. The pool has an in-trust KLTV of 96.6% and an all-in KLTV of 103.8%. 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, CFCRE 2016-C7 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: CFCRE 2016-C7

Class       Initial Class Balance       Expected KBRA Rating
A-1       $20,266,000       AAA(sf)
A-2       $184,000,000       AAA(sf)
A-3       $224,436,000       AAA(sf)
A-SB       $28,337,000       AAA(sf)
X-A       $457,039,000*       AAA(sf)
X-B       $77,534,000*       AAA(sf)
X-C       $32,645,000*       AAA(sf)
A-M       $42,439,000       AAA(sf)
B       $35,095,000       AA(sf)
C       $32,645,000       A(sf)
D       $35,094,000       BBB-(sf)
X-D       $35,094,000*       BBB-(sf)
E       $16,323,000       BB(sf)
X-E       $16,323,000*       BB(sf)
F       $7,346,000       B(sf)
X-F       $7,346,000*       B(sf)
G       $26,932,725       NR
X-G       $26,932,725*       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: CFCRE 2016-C7 Representations & Warranties Disclosure Report.

Related publications (available at www.kbra.com):
CMBS: CFCRE 2016-C7 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

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
John Triantafyllou, 646-731-2396
jtriantafyllou@kbra.com
or
Yee Cent Wong, 646-731-2374
ywong@kbra.com
or
Robin Regan, 646-731-2358
rregan@kbra.com
or
Erika Hinman, 646-731-2418
ehinman@kbra.com
or
Follow us on Twitter!
@KrollBondRating

Contacts

Analytical:
Kroll Bond Rating Agency
John Triantafyllou, 646-731-2396
jtriantafyllou@kbra.com
or
Yee Cent Wong, 646-731-2374
ywong@kbra.com
or
Robin Regan, 646-731-2358
rregan@kbra.com
or
Erika Hinman, 646-731-2418
ehinman@kbra.com
or
Follow us on Twitter!
@KrollBondRating