Kroll Bond Rating Agency Assigns Preliminary Ratings to BSPRT 2017-FL1

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to three classes of the BSPRT 2017-FL1 transaction, a $418.1 million managed CRE CLO securitization.

The transaction, which will be fully ramped at closing, features a 12-month reinvestment period as well as overcollateralization and interest coverage cash diversion tests. It will initially be collateralized by 25 floating-rate non-recourse loans with an aggregate cut-off date principal balance of $418.1 million, secured by the fee and leasehold interests in 31 properties. Eight assets are whole loans (32.5% of the cut-off date aggregate loan pool balance) and the remaining 17 assets (67.5%) are senior or senior pari passu participation interests in whole loans where the companion participation is held outside of the trust.

During the reinvestment period, principal proceeds from loan payoffs and sales of defaulted or credit risk mortgage assets, as well as cash contributed by the preferred shareholder, can be used to acquire mortgage assets that meet specified eligibility criteria. Such criteria include, among other things, maximum LTV and minimum DSC requirements; pool level concentration limits for property type and geographic location; certain restrictions on participation interests and future funding assets and the requirement that a no downgrade confirmation be requested from KBRA for each newly acquired asset.

KBRA’s analysis of the transaction involved a detailed evaluation of the underlying cash flows using our CMBS Property Evaluation Methodology and the application of our US CMBS Multi-Borrower Rating Methodology. The results of the analysis yielded KNCF for the underlying collateral properties that was, on average, 8.9% less than the issuer cash flow. KBRA primarily relied on the direct capitalization approach, along with other valuation methods to arrive at valuations of each of the underlying properties. The KBRA values were, on average, 38.7% and 46.9% lower than the appraisers’ as-is values and stabilized values, respectively. The resulting KBRA in-trust Loan to Value (KLTV) was 119.7%. We also conducted scenario analyses to evaluate and incorporate the impact of the transaction’s structural features in our ratings assignment process.

For complete details on the analysis, please see our pre-sale report, BSPRT 2017-FL1 published today at www.kbra.com. The preliminary ratings are based on information known to KBRA at the time of this publication. Information received subsequent to this release could result in the assignment of ratings that differ from the preliminary ratings.

 

Preliminary Ratings Assigned: BSPRT 2017-FL1

 
Class     Note Balance     Expected KBRA Rating
A     $223,600,000     AAA (sf)
B     $48,000,000     AA+ (sf)
C     $67,900,000     BBB- (sf)
Preferred Shares     $78,561,345     NR
       

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 that are set forth in the offering document when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report entitled CMBS: BSPRT 2017-FL1 Representations & Warranties Disclosure Report.

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

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
Michael McGorty, 646-731-2454
mmcgorty@kbra.com
or
Michael Brown, 646-731-2307
mbbrown@kbra.com
or
Robin Regan, 646-731-2358
rregan@kbra.com
or
Nitin Bhasin, CFA, 646-731-2334
nbhasin@kbra.com
or
Follow us on Twitter!
@KrollBondRating

Contacts

Analytical:
Kroll Bond Rating Agency
Michael McGorty, 646-731-2454
mmcgorty@kbra.com
or
Michael Brown, 646-731-2307
mbbrown@kbra.com
or
Robin Regan, 646-731-2358
rregan@kbra.com
or
Nitin Bhasin, CFA, 646-731-2334
nbhasin@kbra.com
or
Follow us on Twitter!
@KrollBondRating