Kroll Bond Rating Agency Assigns Preliminary Ratings to MSBAM 2015-C25

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 15 classes of the MSBAM 2015-C25 transaction (see ratings list below). MSBAM 2015-C25 is a $1.2 billion CMBS conduit transaction collateralized by 56 commercial mortgage loans secured by 102 properties.

The underlying collateral properties are located in 34 states, with two states that represent more than 10.0% of the pool balance, New York (19.5%) and California (11.5%). There is exposure to all of the major property type segments, with five that represent more than 10.0% of the pool balance: office (22.4%), retail (21.6%), multifamily (19.7%), mixed-use (14.1%), and lodging (13.6%). The loans have principal balances ranging from $1.9 million to $115.0 million for the largest loan in the pool, Herald Center (9.8%), a 249,063 sf, mixed-use building located in the Midtown section of New York City’s borough of Manhattan. The five largest loans, which also include 261 Fifth Avenue (9.3%), Roosevelt New Orleans Waldorf Astoria (7.0%), Coastal Equities Retail Portfolio (5.1%), and Colorado Technology Center Portfolio (5.0%), represent 36.1% of the initial pool balance, while the top 10 loans represent 53.5%.

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 4.0% 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, 38.4% less than third party appraisal values. The pool has an in-trust KLTV of 107.5% and an all-in KLTV of 113.9%. 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, MSBAM 2015-C25 published 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: MSBAM 2015-C25

Class       Class Balance (US$)       Expected Rating
A-1       $34,000,000       AAA(sf)
A-2       $28,700,000       AAA(sf)
A-SB       $93,700,000       AAA(sf)
A-3       $115,000,000       AAA(sf)
A-4       $230,000,000       AAA(sf)
A-5       $324,193,000       AAA(sf)
X-A       $825,593,000*       AAA(sf)
X-B       $135,633,000*       AAA(sf)
X-D       $63,394,000*       BBB-(sf)
A-S       $45,702,000       AAA(sf)
B       $89,931,000       AA-(sf)
C       $56,022,000       A-(sf)
D       $63,394,000       BBB-(sf)
E       $29,485,000       BB-(sf)
F       $13,269,000       B-(sf)
G       $55,022,010       NR

* Notional balance

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: MSBAM 2015-C25 Representations & Warranties Disclosure Report.

Related publications (available at www.kbra.com):

CMBS: MSBAM 2015-C25 Presale Report

CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012

CMBS Property Evaluation Guidelines, published March 3, 2015

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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).

Contacts

Kroll Bond Rating Agency
Analytical Contacts:
John Triantafyllou
(646) 731-2396
jtriantafyllou@kbra.com
or
Dayna Volpe
(646) 731-2391
dvolpe@kbra.com
or
Joseph Kelly
(646) 731-2365
jkelly@kbra.com
or
Anna Hertzman
(646) 731-2367
ahertzman@kbra.com

Contacts

Kroll Bond Rating Agency
Analytical Contacts:
John Triantafyllou
(646) 731-2396
jtriantafyllou@kbra.com
or
Dayna Volpe
(646) 731-2391
dvolpe@kbra.com
or
Joseph Kelly
(646) 731-2365
jkelly@kbra.com
or
Anna Hertzman
(646) 731-2367
ahertzman@kbra.com