NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to six classes of XAN 2018-RSO6, a $514.2 million commercial real estate collateralized loan obligation (CRE CLO) securitization with the post-closing ability to acquire companion pari passu participations related to the closing date assets. The transaction will initially be collateralized by 27 commercial mortgage assets, consisting of 20 pari passu participations (68.1%) and seven whole loans (31.9%) backed by a total of 38 properties. The mortgage assets are secured by the related borrowers’ fee simple interests in 36 properties (92.3%) and leasehold interests in two properties (7.7%).
The transaction structure permits the acquisition of companion participations related to the initial assets for the 30-month period following the closing date. In addition, defaulted and impaired assets can be sold to the majority preferred shareholder at par. The transaction also includes an overcollateralization (OC) test and if the OC ratio is not satisfied on any determination date, on the following payment date, all interest proceeds remaining after payment of interest on the Class D notes will be diverted and used to pay down principal of the Class A through D notes until the OC test is satisfied or such classes are paid in full.
KBRA’s analysis of the transaction involved a detailed evaluation of the underlying cash flows using our CMBS Property Evaluation Methodology and the application of our US CMBS Multi-Borrower Rating Methodology. The analysis resulted in KBRA’s values to be, on average, 37.5% and 48.3% lower than the appraiser’s as-is and stabilized values, respectively. The resulting in-trust KBRA Loan to Value (KLTV), assuming that all future advance obligations were fully funded, was 129.3%. We also conducted scenario analyses to evaluate and incorporate the impact of the transaction’s various structural features in our ratings assignment process.
For complete details on the analysis, please see our pre-sale report, XAN 2018-RSO6 published at www.kbra.com. The preliminary ratings are based on information known to KBRA at the time of this publication. Information received subsequent to this release could result in the assignment of ratings that differ from the preliminary ratings.
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Preliminary Ratings Assigned: XAN 2018-RSO6 |
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| Class | Initial Note Balance | Expected KBRA Rating | ||
| A | $290,537,000 | AAA(sf) | ||
| B | $39,209,000 | AA-(sf) | ||
| C | $30,211,000 | A-(sf) | ||
| D | $44,995,000 | BBB-(sf) | ||
| E | $17,998,000 | BB-(sf) | ||
| F | $21,854,000 | B-(sf) | ||
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: XAN 2018-RSO6 Pre-Sale Report
- U.S. CMBS Multi-Borrower Rating Methodology
- CMBS Property Evaluation Methodology
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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.
