Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 17 classes of BANK 2018-BNK15 (see ratings list below), a $1.1 billion CMBS conduit transaction collateralized by 67 commercial mortgage loans secured by 126 properties.
The collateral properties are located in 32 states, with three state exposures each representing more than 10.0% of the pool balance: California (19.3%), New York (16.8%), and Florida (10.8%). The pool has exposure to all of the major property types, with three each representing 10.0% or more of the pool balance: retail (45.2%), office (17.0%), and lodging (16.2%). The loans have principal balances ranging from $1.3 million to $100.0 million for the largest loan in the pool, Aventura Mall (9.2%), 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 Starwood Hotel Portfolio (9.2%), Millennium Partners Portfolio (6.9%), 685 Fifth Avenue Retail (5.5%), and Moffett Towers “ Buildings E,F,G (5.2%), represent 36.1% of the initial pool balance, while the top 10 loans represent 52.4%.
KBRAs 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 KBRAs estimate of sustainable net cash flow (KNCF) and KBRA value using our U.S. CMBS Property Evaluation Methodology. On an aggregate basis, KNCF was 7.4% less than the issuer cash flow. KBRA capitalization rates were applied to each assets KNCF to derive values that were, on an aggregate basis, 38.1% less than third party appraisal values. The pool has an in-trust KLTV of 86.1% and an all-in KLTV of 97.9%. 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-BNK15 published at www.kbra.com. The report includes our BANK 2018-BNK15 KBRA Conduit Comparative Analytic Tool (KCAT), an easy to use, Excel-based workbook that provides the following information:
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- 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-BNK15
|Class||Initial Class Balance||Expected KBRA Rating|
|A-3||See Footnote (1)||AAA(sf)|
|A-4||See Footnote (1)||AAA(sf)|
|1The exact initial balances of the Class A-3 and A-4 certificates will not be determined until final pricing. However, the aggregate certificate balance of the Class A-3 and A-4 certificates is expected to be $605.969 million. Each class initial certificate balance is expected to fall within the following ranges: Class A-3 – $100.0 million to $300.0 million; Class A-4 – $305.969 million to $505.969 million. 2Notional balance. 3To satisfy the US risk retention rules, each of Morgan Stanley Bank, Wells Fargo Bank and Bank of America are expected to purchase a portion of the RR Interest which is expected to be a single vertical security and an eligible vertical interest. The RR Interest will equal approximately 5.0% of each class of non-residual certificates issue.|
Representations & Warranties Disclosure
All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transactions representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRAs disclosure for this transaction can be found in the report available here.
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- CMBS: BANK 2018-BNK15 Pre-Sale Report
- U.S. CMBS Multi-Borrower Rating Methodology
- U.S. 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 designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus, is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is 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.
Kroll Bond Rating Agency
Elizabeth Yash, 646-731-3346