03/08/2018 | Press release | Distributed by Public on 03/08/2018 17:17
KBRA Affirms All Classes of COMM 2014-CCRE17
NEW YORK, NY (March 8, 2018) - Kroll Bond Rating Agency (KBRA) affirmed its outstanding ratings for all classes of COMM 2014-CCRE17, a $1.1 billion CMBS conduit transaction collateralized by 59 mortgage loans secured by 78 properties. The affirmations follow a full surveillance review of the transaction, which has exhibited stable credit metrics since issuance.
The transaction's weighted average (WA) KBRA Loan-To-Value (KLTV) of 101.4% has increased from 100.3% at last review, and is in line with 101.5% at issuance. The KBRA Debt Service Coverage (KDSC) of 1.57x has decreased from 1.59x at last review and issuance. At the time of this review, there are six defeased loans (5.6%) including a top 10 loan (Indigo on Forest, 7th largest, 2.9%). However, there are 12 loans (14.1% of the pool balance) on the master servicer's watchlist, and ten loans (16.3%), including eight of the watchlist loans, which have been identified as K-LOCs. There is one loan in foreclosure (0.9%), which was also identified as a K-LOC. K-LOCs consist of specially serviced and real estate owned (REO) assets as well as non-specially serviced loans in default or at heightened risk of default in the near term. The top 10 non-defeased loans by balance represent 54.6% of the pool, and have each maintained KBRA Performance Outlooks (KPOs) of Perform, with the exception of Cottonwood Mall (3rd largest, 8.6%), Yonkers Gateway Center (9th largest, 2.8%), and Northeast Ohio Multifamily Portfolio (10th largest, 2.6%), which were revised from Perform to Underperform.
To facilitate its review, KBRA reviewed and utilized the most recent property financial information made available by the master servicer for the non-defeased loans. Of this information, December 2017 data was available for five loans (4.1% of the non-defeased pool balance), October 2017 data was available for one loan (0.8%), September 2017 data was available for 26 loans (67.6%), June 2017 data was available for 10 loans (15.3%), and December 2016 data was available for 11 loans (12.2%).
This information is then used to re-analyze the KBRA Net Cash Flow (KNCF) for those properties that serve as the underlying collateral for a representative sample of the performing loans in the pool. For the remaining performing loans, extrapolation techniques were utilized to re-determine KNCF. Following the determination of KNCF, KBRA value was generally derived through the application of a KBRA capitalization rate, in a manner that is consistent with KBRA's CMBS Property Evaluation Methodology.For K-LOCs, this analysis was supplemented with KBRA's analysts' projections of discreet loss estimates. The results of the analysis were input into KBRA's CMBS multi-borrower credit model, which is described in the U.S. CMBS Multi-Borrower Rating Methodology,to re-determine KBRA's credit enhancement levels (C/E) for the pool. The comparison of the updated C/E levels with the transaction's capital structure, along with other factors such as the near-term loan maturity profile, realized losses, loss projections from K-LOCs, KPOs, and interest shortfalls were considered in determining if ratings adjustments were needed on the principal and interest classes. The ratings on the interest-only classes (IO) were evaluated under KBRA's Methodology for Rating Interest-Only Certificates in CMBSTransactions. The review resulted in the affirmation of all of the transaction's outstanding ratings. For complete details on KBRA's analysis, please refer to the surveillance report, as well as links to the publications below.
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)
Ed Barrett, Director (215) 882-5845 [email protected]
Sara Woo, Associate (646) 731-2361 [email protected]
William Petersen, Managing Director (215) 882-5861 [email protected]
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.