NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 12 classes of BANK 2017-BNK8 (see ratings list below), a $1.1 billion CMBS conduit transaction collateralized by 50 commercial mortgage loans secured by 83 properties.
The collateral properties are located in 24 states, with three state exposures each representing more than 10.0% of the pool balance: New York (22.4%), California (19.6%), and Massachusetts (15.3%). The pool has exposure to most of the major property types, with three representing more than 10.0% of the pool balance: office (52.9%), Multifamily (16.5%), and retail (13.5%). The loans have principal balances ranging from $1.5 to $110.0 million for the largest loan in the pool, Griffin Portfolio (9.7%), which is secured by a portfolio of nine suburban office properties and a warehouse facility that are located in eight states. The five largest loans, which also include Park Square (8.8%), The New School (8.1%), 222 Second Street (7.2%), and Colorado Center (7.1%), represent 41.0% of the initial pool balance, while the top 10 loans represent 69.5%.
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 7.3% 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, 41.0% less than third party appraisal values. The pool has an in-trust KLTV of 95.2% and an all-in KLTV of 102.6%. 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, BANK 2017-BNK8 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: BANK 2017-BNK8
| Class | Class Balance (US$) |
Expected KBRA |
||||
| A-1 | $17,200,000 | AAA(sf) | ||||
| A-2 | $11,400,000 | AAA(sf) | ||||
| A-SB | $37,700,000 | AAA(sf) | ||||
| A-3 | $330,000,000 | AAA(sf) | ||||
| A-4 | $355,686,000 | AAA(sf) | ||||
| X-A | $751,986,0001 | AAA(sf) | ||||
| X-B | $192,025,0001 | AAA(sf) | ||||
| A-S | $65,799,000 | AAA(sf) | ||||
| B | $77,884,000 | AA(sf) | ||||
| C | $48,342,000 | A-(sf) | ||||
| X-D | $56,399,0001 | BBB-(sf) | ||||
| D | $56,399,000 | BBB-(sf) | ||||
| X-E | $28,200,0001 | NR | ||||
| E | $28,200,000 | NR | ||||
| X-F | $10,743,0001 | NR | ||||
| F | $10,743,000 | NR | ||||
| X-G | $34,913,6771 | NR | ||||
| G | $34,913,677 | NR | ||||
| RR Interest2 | N/A | N/A |
1 Notional balance
2 To satisfy the US risk retention rules, each of Morgan Stanley Capital Holdings LLC, Bank of America, national banking association and Wells Fargo Bank are expected to purchase the RR Interest which is expected to be a “single vertical security” and an “eligible vertical interest”. The RR Interest will represent at least 5.0% of each non-residual class of certificates.
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 is contained in the report entitled CMBS: BANK 2017-BNK8 Representations & Warranties Disclosure Report.
Related Publications (available at www.kbra.com):
- BANK 2017-BNK8 Pre-Sale Report
- U.S. CMBS Multi-Borrower Rating Methodology
- CMBS Property Evaluation Methodology
- Methodology for Rating Interest-Only Certificates in CMBS Transactions
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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).
