Kroll Bond Rating Agency Assigns Preliminary Ratings to CSMC 2016-NXSR

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 19 classes of the CSMC 2016-NXSR transaction. CSMC 2016-NXSR is a $606.8 million CMBS conduit transaction collateralized by 33 commercial mortgage loans secured by 54 properties. On the securitization closing date, Natixis Real Estate Capital LLC intends to retain certificates representing 5.0% of the amount of each class of securities issued in the transaction in order to satisfy the definition of an “eligible vertical interest” under the US credit risk retention rules (as if such rules were applicable to this transaction).

The properties in the collateral pool are located in 21 states, with three state exposures that each represents more than 10.0% of the pool balance: New York (21.4%), New Jersey (13.9%) and Illinois (12.4%). The pool has exposure to most of the major property type sectors, with four that each represent more than 10.0% of the pool balance: retail (37.7%), lodging (16.2%), office (16.2%), and mixed-use (13.6%). The loans have principal balances ranging from $2.3 million to $60.0 million for the largest loan in the pool, Novo Nordisk (9.9%), a 761,824 sf, Class-A suburban office complex located in Plainsboro Township, New Jersey. The five largest loans, which also include Rentar Plaza (9.9%), Gurnee Mills (9.9%), QLIC (8.2%), and Walgreens Portfolio I (5.4%), represent 43.2% of the initial pool balance, while the 10 largest loans represent 66.2%.

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 5.2% 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, 39.8% less than third party appraisal values. The pool has an in-trust KLTV of 101.8% and an all-in KLTV of 103.7%. 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, CSMC 2016-NXSR 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: CSMC 2016-NXSR

Class           Initial Class Balance             Expected KBRA Rating

Initial Issuance

Certificates

A-1           $22,779,000             AAA(sf)
A-2           $85,980,000             AAA(sf)
A-3           $115,000,000             AAA(sf)
A-4           $174,907,000             AAA(sf)
A-SB           $26,116,000             AAA(sf)
X-A           $455,124,000*             AAA(sf)
X-B           $40,961,000*             AAA(sf)
A-S           $30,342,000             AAA(sf)
B           $40,961,000             AA(sf)
C           $31,100,000             A-(sf)
D           $31,100,000             BBB-(sf)
E           $18,963,000             BB-(sf)
X-E           $18,963,000*             BB-(sf)
F           $6,827,000             B-(sf)
X-F           $6,827,000*             B-(sf)
NR           $22,757,039             NR
X-NR           $22,757,000*             NR

Exchangeable

Certificates**

V1-A           $455,124,000             AAA(sf)
V1-B           $40,961,000             AA(sf)
V1-C           $31,100,000             A-(sf)
V1-D           $31,100,000             BBB-(sf)
V1-E           $48,547,039             NR
V2           $606,832,039             NR

*Notional balance.

**Each class balance represents the maximum amount of each class that could be issued in an exchange as of the closing date.

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: CSMC 2016-NXSR Representations & Warranties Disclosure Report.

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

CMBS: CSMC 2016-NXSR 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

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

Analytical:
Kroll Bond Rating Agency
Ravish Kamath, 646-731-2328
rkamath@kbra.com
or
Michael Brown, 646-731-2307
mbbrown@kbra.com
or
Robin Regan, 646-731-2358
rregan@kbra.com
or
Anna Hertzman, 646-731-2367
ahertzman@kbra.com

Contacts

Analytical:
Kroll Bond Rating Agency
Ravish Kamath, 646-731-2328
rkamath@kbra.com
or
Michael Brown, 646-731-2307
mbbrown@kbra.com
or
Robin Regan, 646-731-2358
rregan@kbra.com
or
Anna Hertzman, 646-731-2367
ahertzman@kbra.com