Kroll Bond Rating Agency Assigns Preliminary Ratings to COMM 2015-CCRE22

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 18 classes of the COMM 2015-CCRE22 transaction (see ratings list below). COMM 2015-CCRE22 is a $1.3 billion CMBS conduit transaction collateralized by 59 fixed rate commercial mortgage loans that are secured by 74 properties.

The underlying collateral properties are located in 23 states, the District of Columbia and US Virgin Islands. There are two states representing more than 10.0% of the pool balance: New York (28.2%) and Texas (11.5%). There is exposure to all of the major property type segments, with three that each account for over 10.0% of the pool: office (43.8%), hospitality (25.0%) and retail (14.6%). The loans have principal balances ranging from $1.9 million to $100.0 million for the largest loan in the pool, 26 Broadway (7.7%), an 839,316 sf, 291-story, Class-B office building located in the downtown area of New York City’s Manhattan borough. The top five loans, which also include the Wells Fargo Crossed Portfolio (7.3%), 3 Columbus Circle (6.6%), One Riverway (6.2%), and Marriott Burbank (5.4%), represent 33.2% of the initial pool balance, while the top 10 loans represent 51.7%.

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 Guidelines. On an aggregate basis, KNCF was 8.4% 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, 39.9% less than third party appraisal values. The pool has an in-trust KLTV of 104.3% and an all-in KLTV of 110.6%. 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, COMM 2015-CCRE22 published today at www.kbra.com. The report includes our new KBRA Comparative Analytic Tool (KCAT). KCAT is 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: COMM 2015-CCRE22

Class               Class Balance (US$)               Expected Rating
A-1               $46,400,000               AAA(sf)
A-2               $178,900,000               AAA(sf)
A-3               $108,950,000               AAA(sf)
A-SB               $79,800,000               AAA(sf)
A-4               $200,000,000               AAA(sf)
A-5               $293,492,000               AAA(sf)
X-A               $988,573,000*               AAA(sf)
X-B               $132,890,000*               AAA(sf)
X-C               $68,066,000*               BBB-(sf)
X-D               $43,757,000*               BB-(sf)
A-M               $81,031,000               AAA(sf)
B               $76,169,000               AA-(sf)
PEZ               $213,921,000**               A-(sf)
C               $56,721,000               A-(sf)
D               $68,066,000               BBB-(sf)
E               $27,550,000               BB(sf)
F               $16,207,000               BB-(sf)
G               $24,309,000               B-(sf)
H               $38,894,958               NR
                           

* Notional balance
** Represents the maximum amount of Class PEZ certificates that could be issued in an exchange.

17g-7 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 entitled CMBS: COMM 2015-CCRE22 17G-7 Disclosure Report.

Related publications (available at www.krollbondratings.com):
CMBS: COMM 2015-CCRE22 Presale Report
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012
CMBS Property Evaluation Guidelines, published March 3, 2015

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:
Ravish Kamath, 646-731-2328
rkamath@kbra.com
or
Joseph Kelly, 646-731-2365
jkelly@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Ken Kor, 646-731-2339
kkor@kbra.com

Contacts

Analytical:
Ravish Kamath, 646-731-2328
rkamath@kbra.com
or
Joseph Kelly, 646-731-2365
jkelly@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Ken Kor, 646-731-2339
kkor@kbra.com