NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 16 classes of the MSBAM 2017-C34 transaction (see ratings list below). MSBAM 2017-C34 is a $1.05 million CMBS conduit transaction collateralized by 50 commercial mortgage loans secured by 179 properties.
The properties in the collateral pool are located in 29 states, with California (26.5%) and New York (14.2%) each representing more than 10.0% of the pool balance. The pool has exposure to all of the major property types, with two that represents more than 10.0% of the pool balance: retail (44.6%), office (25.2%). The loans have principal balances ranging from $1.3 million to $100.0 million for the largest loan in the pool, 222 Second Street (9.5%), a 452,418 sf, Class-A office building located in San Francisco, California. The five largest loans, which also include American Cancer Society Center (7.0%), 237 Park Avenue (6.7%), 9-19 9th Avenue (4.8%), and OKC Outlets (4.7%), represent 32.7% of the initial pool balance, while the 10 largest loans represent 54.0%.
KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of the 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 5.8% 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 99.9% and an all-in KLTV of 104.3%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan that are then used to assign our credit ratings.
For complete details on the analysis, please see our pre-sale report, MSBAM 2017-C34 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 included in our CMBS Monthly Trend Watch publication.
- Excel-based property cash flow statements for the top 20 loans.
Preliminary Ratings Assigned: MSBAM 2017-C34
| Class |
Initial Class Balance |
Expected KBRA Rating |
||||
| A-1 | $25,285,000 | AAA(sf) | ||||
| A-2 | $47,024,000 | AAA(sf) | ||||
| A-SB | $61,577,000 | AAA(sf) | ||||
| A-3 | $200,000,000 | AAA(sf) | ||||
| A-4 | $363,447,000 | AAA(sf) | ||||
| X-A |
$697,333,000* |
AAA(sf) | ||||
| X-B | $171,843,000* | AAA(sf) | ||||
| A-S | $77,205,000 | AAA(sf) | ||||
| B | $48,564,000 | AA(sf) | ||||
| C | $46,074,000 | A(sf) | ||||
| X-D | $56,036,000* | BBB-(sf) | ||||
| D | $56,036,00 | BBB-(sf) | ||||
| X-E | $24,905,000* | BB-(sf) | ||||
| E | $24,905,000 | BB-(sf) | ||||
| X-F | $11,207,000* | B-(sf) | ||||
| F | $11,207,000 | B-(sf) | ||||
| X-G | $34,867,004* | NR | ||||
| G | $34,867,004 | NR | ||||
|
RR Interest** |
N/A | N/A |
|
* Notional balance. |
|
** To satisfy the US risk retention rules, each of Bank of America, Morgan Stanley Bank, and Keybank are expected to purchase a portion of the RR Interest which is expected to be a “single vertical security” and an “eligible vertical interest”. The RR Interest will equal approximately 5.0% of each class of non-residual certificates issued. |
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 representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report available here.
Related Publications: (available at www.kbra.com)
- CMBS: MSBAM 2017-C34 Pre-Sale Report
- CMBS: MSBAM 2017-C34 Pre-Sale ReportCMBS: U.S. CMBS Multi-Borrower Rating Methodology, published January 4, 2017
- CMBS Property Evaluation Methodology, published December 3, 2015
- 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).
