Kroll Bond Rating Agency Assigns Preliminary Ratings to CGCMT 2015-P1

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 16 classes of the CGCMT 2015-P1 transaction (see ratings list below). CGCMT 2015-P1 is a $1.1 billion CMBS conduit transaction collateralized by 45 commercial mortgage loans secured by 146 properties.

The underlying collateral properties are located in 27 states, with two states representing more than 10.0% of the pool balance, California (24.1%) and Florida (21.5%). There is exposure to all of the major property type segments, with two that represent more than 15.0% of the pool balance, retail (29.0%) and lodging (21.4%). The loans have principal balances ranging from $1.2 million to $100.0 million for the largest loan in the pool, The Decoration & Design Building (9.1%), which is secured by a 588,152 sf wholesale design center and showroom located in New York City’s borough of Manhattan. The top five loans, which also include Eden Roc (8.7%), Kaiser Center (8.2%), Hilton Nashville (6.8%), and Piazza Carmel (5.8%), represent 38.7% of the initial pool balance, while the top 10 loans represent 60.5%.

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 5.1% 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, 41.2% less than third party appraisal values. The pool has an in-trust KLTV of 101.4% and an all-in KLTV of 106.6%. 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, CGCMT 2015-P1 published 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: CGCMT 2015-P1

 
      Class       Class Balance (US$)       Expected Rating      
      A-1       $35,065,000       AAA(sf)      
      A-2       $55,289,000       AAA(sf)      
      A-3       $2,198,000       AAA(sf)      
      A-4       $235,000,000       AAA(sf)      
      A-5       $363,935,000       AAA(sf)      
      A-AB       $75,556,000       AAA(sf)      
      X-A       $838,269,000*       AAA(sf)      
      X-B       $58,898,000*       AAA(sf)      
      X-D       $56,159,000*       BBB-(sf)      
      A-S       $71,226,000       AAA(sf)      
      B       $58,898,000       AA(sf)      
      PEZ       $182,173,000**       A-(sf)      
      C       $52,049,000       A-(sf)      
      D       $56,159,000       BBB-(sf)      
      E       $23,285,000       BB(sf)      
      F       $10,958,000       BB-(sf)      
      G       $56,158,641       NR      

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

Related publications (available at www.kbra.com):
CMBS: CGCMT 2015-P1 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:
KBRA
Peter Shosho, 646-731-2392
pshosho@kbra.com
or
Yee Cent Wong, 646-731-2374
ywong@kbra.com
or
Alec Abrams, 646-731-2401
aabrams@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Follow us on Twitter!
@KrollBondRating

Contacts

Analytical:
KBRA
Peter Shosho, 646-731-2392
pshosho@kbra.com
or
Yee Cent Wong, 646-731-2374
ywong@kbra.com
or
Alec Abrams, 646-731-2401
aabrams@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Follow us on Twitter!
@KrollBondRating