NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 15 classes of CD 2018-CD7 (see ratings list below), a $717.4 million CMBS conduit transaction collateralized by 42 commercial mortgage loans secured by 72 properties.
The collateral properties are located in 23 states, with four state exposures each representing more than 10.0% of the pool balance: Florida (15.5%), New York (13.6%), Michigan (11.7%), and Virginia (10.5%). The pool has exposure to all of the major property types, with four each representing 10.0% or more of the pool balance: office (26.1%), retail (25.9%), multifamily (22.6%) and lodging (14.5%). The loans have principal balances ranging from $3.6 to $60.0 million for the largest loan in the pool, Aventura Mal (8.4%), which is secured by 1.2 million sf of Aventura Mall, a 2.2 million sf, super-regional mall located in Aventura, Florida, approximately 18 miles north of the Miami CBD. The five largest loans, which also include Bank of America Center (7.0), Westside NYC Multifamily Portfolio (5.9%), 175 Park Avenue (4.9%), and Zenith Ridge (4.9%), represent 31.0% of the initial pool balance, while the top 10 loans represent 52.8%.
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 5.5% 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, 40.7% less than third party appraisal values. The pool has an in-trust KLTV of 96.2% and an all-in KLTV of 105.8%. 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, CD 2018-CD7 published at www.kbra.com. The report includes our CD 2018-CD7 KBRA Conduit 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: CD 2018-CD7
|Class||Initial Class Balance||Expected KBRA Rating|
|1In satisfaction of the US Risk Retention rules, these classes are expected to be purchased and retained by RREF III-D AIV RR H, LLC, a third-party purchaser on the closing date. Such classes will represent an “eligible horizontal residual interest” and will represent at least 5.0% of the fair market value of all non-residual certificates issued. 2Notional balance as calculated as set forth in the Legal Analysis section.|
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)
- U.S. CMBS Multi-Borrower Rating Methodology
- CMBS Property Evaluation Methodology
- Methodology for Rating Interest-Only Certificates in CMBS Transactions
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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.