NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 16 classes of the BANK 2017-BNK4 transaction (see ratings list below). BANK 2017-BNK4 is a $1.0 billion CMBS conduit transaction collateralized by 46 commercial mortgage loans secured by 64 properties.
The underlying collateral properties are located in 21 states, the District of Columbia, and Puerto Rico, with only two states representing more than 10.0% of the pool: California (24.3%) and Virginia (10.3%). The pool has exposure to all the major property types, with three that represent more than 15.0% of the pool balance: office (30.0%), retail (21.5%), and lodging (19.6%). The loans have principal balances ranging from $1.8 million to $70.0 million for the largest loan in the pool, D.C. Office Portfolio (6.9%), which is comprised of three adjacent office properties in downtown Washington, DC. The five largest loans, which also include The Summit Birmingham (6.1%), One West 34th Street (6.0%), Pentagon Center (5.5%), and JW Marriott Desert Springs (5.4%), represent 29.9% of the initial pool balance, while the top 10 loans represent 52.5%.
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 Methodology. On an aggregate basis, KNCF was 7.2% 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 100.5% and an all-in KLTV of 104.6%. 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, BANK 2017-BNK4 published today at www.kbra.com. The report includes our 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 included in our CMBS Monthly Trend Watch publication.
- Excel based property cash flow statements for the top 20 loans.
Preliminary Ratings Assigned: BANK 2017-BNK4
Class | Initial Class Balance | Expected KBRA Rating | ||||||
A-1 | $33,805,000 | AAA(sf) | ||||||
A-2 | $88,384,000 | AAA(sf) | ||||||
A-3 | $235,000,000 | AAA(sf) | ||||||
A-4 | $268,432,000 | AAA(sf) | ||||||
A-SB | $44,824,000 | AAA(sf) | ||||||
A-S | $67,045,000 | AAA(sf) | ||||||
X-A | $670,445,000* | AAA(sf) | ||||||
X-B | $155,639,000* | AAA(sf) | ||||||
B | $43,100,000 | AA-(sf) | ||||||
C | $45,494,000 | A-(sf) | ||||||
X-D | $56,270,000* | BBB-(sf) | ||||||
D | $56,270,000 | BBB-(sf) | ||||||
X-E | $21,550,000* | BB-(sf) | ||||||
E | $21,550,000 | BB-(sf) | ||||||
X-F | $10,775,000* | B-(sf) | ||||||
F | $10,775,000 | B-(sf) | ||||||
X-G | $43,100,400* | NR | ||||||
G | $43,100,400 | NR | ||||||
RR Interest | $50,409,442 | 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 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-BNK4 Representations & Warranties Disclosure Report.
Related publications (available at www.kbra.com):
CMBS: BANK 2017-BNK4 Pre-Sale Report
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published January 4, 2017
CMBS Property Evaluation Methodology, published December 3, 2015
Methodology for Rating Interest-Only Certificates in CMBS Transactions, published June 6, 2016
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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).