NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 14 classes of BANK 2018-BNK11 (see ratings list below), a $688.2 million CMBS conduit transaction collateralized by 42 commercial mortgage loans secured by 76 properties.
The collateral properties are located in 23 states, with three state exposures each representing more than 10.0% of the pool balance: California (34.3%), Michigan (11.6%), and Virginia (10.6%). The pool has exposure to all of the major property types, with five each representing 10.0% or more of the pool balance: retail (27.4%), office (24.3%), multifamily (13.4%), self-storage (13.3%) and industrial (11.1%). The loans have principal balances ranging from $1.2 million to $66.6 million for the largest loan in the pool, Twelve Oaks Mall (9.7%), securing 716,771 sf of the super-regional mall located in Novi, Michigan, approximately 30 miles northwest of Detroit. The five largest loans, which also include Extra Space – TIAA Self Storage Portfolio (9.6%), Apple Campus 3 (9.2%), One Dulles Tower (9.2%), and Airport Business Center (7.7%), represent 45.3% of the initial pool balance, while the top 10 loans represent 69.2%.
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 7.7% 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, 40.1% less than third party appraisal values. The pool has an in-trust KLTV of 92.2% and an all-in KLTV of 102.9%. 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 2018-BNK11 published today at www.kbra.com. The report includes our BANK 2018-BNK11 KBRA Conduit 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 2018-BNK11
|Class||Initial Class Balance||Expected KBRA Rating|
|A-2||See Footnote (1)||AAA(sf)|
|A-3||See Footnote (1)||AAA(sf)|
|RR Interest||See Footnote (3)||NR|
1The exact initial certificate balances of the Class A-2 and A-3 certificates will not be determined until final pricing, However, the aggregate certificate balance of the Class A-2 and A-3 certificates is expected to be approximately $404.85 million. Each class’ initial certificate balance is expected to fall within the following ranges: Class A-2 - $100.0 million to $180.0 million; Class A-3 - $224.853 million to $304.853 million. 2Notional balance. 3In satisfaction of the US Risk Retention rules, Morgan Stanley Mortgage Capital Holdings LLC 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 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 available here.
Related Publications: (available at www.kbra.com)
- CMBS: BANK 2018-BNK11 Pre-Sale Report
- U.S. CMBS Multi-Borrower Rating Methodology
- CMBS Property Evaluation Methodology
- Methodology for Rating Interest-Only Certificates in CMBS Transactions
About KBRA and KBRA Europe
KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.