NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of
preliminary ratings to 16 classes of the CD 2017-CD5 transaction (see
ratings list below). CD 2017-CD5 is a $931.6 million CMBS conduit
transaction collateralized by 48 commercial mortgage loans secured by
The properties in the collateral pool are located in 28 states, with
only New York (25.5%) and California (22.6%) each representing more than
10.0% of the pool balance. The pool has exposure to all the major
property types, including three that represent more than 15.0% of the
pool balance: office (30.1%), lodging (21.7%), and retail (17.0%). The
loans have principal balances ranging from $1.9 million to $100.0
million for the largest loan in the pool, the General Motors Building
(10.7%), which is secured by a 2.0 million sf trophy office building
located on Fifth Avenue in the Midtown area of New York City’s Manhattan
borough. The five largest loans, which also include Olympic Tower
(6.4%), AHIP Northeast Portfolio IV (6.1%), 245 Park Avenue (5.5%), and
Starwood Capital Group Hotel Portfolio (4.3%), represent 33.0% of the
initial pool balance, while the top 10 loans represent 51.9%.
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
7.1% 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 102.7%. 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 presale report, CD
2017-CD5 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: CD 2017-CD5
|Class||Initial Class Balance||Expected KBRA Rating|
|Retained Eligible Vertical Interest|
**To satisfy the US risk
retention rules, a third party purchaser will purchase and retain an
“eligible horizontal residual interest” consisting of the Class F and G
certificates, representing approximately 1.2% of the fair value of all
of the non-residual interests issued by the issuer, determined in
accordance with GAAP.
***To satisfy the remaining risk
retention requirements, each loan seller (CREFI, CGMRC and DBNY) is
expected to retain a portion of the VRR interest, which is an “eligible
vertical interest” in the form of a single security in the aggregate
amount of approximately 3.8% of the aggregate certificate balance of all
of the non-residual interests issued by the issuer. The balance shown
for the VRR Interest is approximate and may change upon pricing.
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
CD 2017-CD5 Representations & Warranties Disclosure Report.
Related publications (available at www.kbra.com):
CD 2017-CD5 Pre-Sale Report
U.S. CMBS Multi-Borrower Rating Methodology
Property Evaluation Methodology
for Rating Interest-Only Certificates in CMBS Transactions
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).
Cent Wong, 646-731-2474