Kroll Bond Rating Agency Assigns Preliminary Ratings to MSCI 2015-MS1

NEW YORK--()--Kroll Bond Rating Agency, Inc. (KBRA) is pleased to announce the assignment of preliminary ratings to 14 classes of the MSCI 2015-MS1 (ratings list below). MSCI 2015-MS1 is an $885.4 million CMBS conduit transaction collateralized by 54 fixed rate commercial mortgage loans that are secured by 59 properties.

The properties in the collateral pool are located in 22 states, with two states representing more than 10.0% of the pool balance: New York (26.4%) and California (20.9%). The pool has exposure to all the major property types, with three that represent more than 10.0% of the pool balance: retail (41.9%), office (20.8%), and multifamily (16.7%). The loans have principal balances ranging from $1.9 million to $80.0 million for the largest loan in the pool, TKG 3 Retail Portfolio (9.0%), which consists of six retail properties containing a total of 1.4 million sf located in six different states. The top five loans, which also include 300 South Riverside Plaza Fee (7.6%), 32 Old Slip Fee (6.8%), Waterfront at Port Chester (6.0%), and Alderwood Mall (5.7%), represent 35.1% of the initial pool balance, while the top 10 loans represent 57.7%.

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 Guidelines. On an aggregate basis, KNCF was 5.4% 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, 40.6% less than third party appraisal values. The pool has an in-trust KLTV of 97.5% and an all-in KLTV of 102.5%. 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, MSCI 2015-MS1 published today at www.krollbondratings.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: MSCI 2015-MS1

         
Class   Class Balance (US$)   Expected Rating
A-1   $31,800,000   AAA(sf)
A-2   $17,000,000   AAA(sf)
A-3   $215,000,000   AAA(sf)
A-4   $310,798,000   AAA(sf)
A-SB   $45,200,000   AAA(sf)
X-A   $619,798,000*   AAA(sf)
X-B   $52,019,000*   AAA(sf)
A-S   $52,019,000   AAA(sf)
B   $70,834,000   AA-(sf)
PST   $154,950,000**   A-(sf)
C   $32,097,000   A-(sf)
D   $40,951,000   BBB-(sf)
E   $18,815,000   BB(sf)
F   $14,388,000   B(sf)
G   $36,524,723   NR

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

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 entitled CMBS: MSCI 2015-MS1 Representations & Warranties Disclosure Report.

Related publications (available at www.krollbondratings.com):
CMBS: MSCI 2015-MS1 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:
Ed Barrett, (215) 882-5845
ebarrett@kbra.com
or
Yee Cent Wong, (646) 731-2374
ywong@kbra.com
or
Dayna Volpe, (646) 731-2391
dvolpe@kbra.com
or
Javier Colon, (646) 731-2460
jcolon@kbra.com

Contacts

Analytical:
Ed Barrett, (215) 882-5845
ebarrett@kbra.com
or
Yee Cent Wong, (646) 731-2374
ywong@kbra.com
or
Dayna Volpe, (646) 731-2391
dvolpe@kbra.com
or
Javier Colon, (646) 731-2460
jcolon@kbra.com