NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 16 classes of BANK 2017-BNK9 (see ratings list below), a $1.1 billion CMBS conduit transaction collateralized by 45 commercial mortgage loans secured by 89 properties.
The collateral properties are located in 30 states, with three state exposures representing more than 10.0% of the pool balance: California (23.2%), Texas (11.5%), and Pennsylvania (10.6%). The pool has exposure to all of the major property types, with three representing more than 10.0% of the pool balance: office (32.1%), retail (28.9%), and lodging (22.1%). The loans have principal balances ranging from $1.9 to $105.3 million for the largest loan in the pool, Duane Morris Plaza (10.0%), a 617,476 sf Class-A office building located in downtown Philadelphia. The five largest loans, which also include Griffin Portfolio (9.1%), Laguna Cliffs Marriott (8.1%), Marriott at Legacy Town Center (7.6%), and Hackensack Commons (6.3%), represent 41.1% of the initial pool balance, while the top 10 loans represent 63.6%.
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 6.8% 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, 40.9% less than third party appraisal values. The pool has an in-trust KLTV of 100.7% and an all-in KLTV of 103.5%. 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-BNK9 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-BNK9
| Class | Initial Class Balance | Expected KBRA Rating | ||||
| A-1 | $26,278,000 | AAA(sf) | ||||
| A-2 | $27,104,000 | AAA(sf) | ||||
| A-SB | $39,690,000 | AAA(sf) | ||||
| A-3 | $300,000,000 | AAA(sf) | ||||
| A-4 | $307,655,000 | AAA(sf) | ||||
| A-S | $41,293,000 | AAA(sf) | ||||
| B | $82,586,000 | AA(sf) | ||||
| C | $51,303,000 | A-(sf) | ||||
| D | $47,549,000 | BBB-(sf) | ||||
| E | $21,273,000 | BB-(sf) | ||||
| F | $15,015,000 | B-(sf) | ||||
| G | $41,293,526 | NR | ||||
| X-A | $700,727,0001 | AAA(sf) | ||||
| X-B | $175,182,0001 | AAA(sf) | ||||
| X-D | $47,549,0001 | BBB-(sf) | ||||
| X-E | $21,273,0001 | BB-(sf) | ||||
| X-F | $15,015,0001 | B-(sf) | ||||
| X-G | $41,293,5261 | NR | ||||
| RR Interest2 | N/A | N/A | ||||
1 Notional balance
2In satisfaction of the US Risk Retention rules, Bank of America, National Association will act as retaining sponsor and the RR Interest, is intended to meet the definition of a “eligible vertical interest”. Each of Bank of America, Morgan Stanley and Wells Fargo (or their majority owned affiliates) will retain a portion of the RR Interest. In the aggregate, the RR Interest will represent 5.0% of all non-residual certificates issued.
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-BNK9 Representations & Warranties Disclosure Report.
Related Publications (available at www.kbra.com):
- CMBS: BANK 2017-BNK9 Pre-Sale Report
- CMBS: BANK 2017-BNK9 Pre-Sale ReportU.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).
