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Kroll Bond Rating Agency Assigns Ratings to JPMDB 2016-C4
[October 26, 2016]

Kroll Bond Rating Agency Assigns Ratings to JPMDB 2016-C4


Kroll Bond Rating Agency, Inc. (KBRA) is pleased to announce the assignment of ratings to 13 classes of the JPMDB 2016-C4 transaction (see ratings list below). JPMDB 2016-C4 is a $1.1 billion CMBS conduit transaction collateralized by 36 commercial mortgage loans secured by 42 properties.

The underlying collateral properties are located in 18 states, with three states representing more than 10.0% of the pool balance: California (22.6%), New York (22.2%) and Indiana (10.2%). The pool has exposure to most of the major property types, with four that represent more than 10.0% of the pool balance: office (52.4%), retail (15.7%), mixed-use (11.9%), and lodging (11.8%). The loans have principal balances ranging from $2.5 million to $80.0 million for the largest loan in the pool, 9 West 57th Street (7.1%), a 1.7 million sf Class-A office tower located in located in the Midtown area of New York City's Manhattan borough. The top five loans, which also include 10 Hudson Yards (7.1%), Starbucks Center (5.8%), Fresno Fashion Fair Mall (5.3%), and Windsor Square (5.3%), represent 30.7% 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 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, 42.4% less than third party appraisal values. The pool has an in-trust KLTV of 95.9% and an all-in KLTV of 104.0%. 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, JPMDB 2016-C4 published at www.kbra.com. The report includes our new 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 provided in our CMBS Monthly Trend Watch publication.
  • Excel based property cash flow statements for the top 20 loans.

Preliminary Ratings Assigned: JPMDB 2016-C4





Class           Initial Class Balance           Expected KBRA Rating
A-1           $38,299,000           AAA(sf)
A-2           $300,000,000           AAA(sf)
A-3           $381,323,000           AAA(sf)
A-SB           $67,443,000           AAA(sf)
X-A           $879,826,0001           AAA(sf)
X-B           $61,841,0001           AAA(sf)
A-S           $92,761,000           AAA(sf)
B           $61,841,000           AA-(sf)
C           $47,786,000           A(sf)
D           $53,408,000           BBB-(sf)
X-C           $101,194,0001           BBB-(sf)
E           $22,487,000           BB(sf)
F           $11,244,000           B+(sf)
NR           $47,786,756           NR

1 Notional balance

Representations & Warranties Disclosure

All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC (News - Alert) 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 can be found in the report entitled CMBS: JPMDB 2016-C4 Representations & Warranties Disclosure Report.

Related publications (available at www.kbra.com):

CMBS: JPMDB 2016-C4 Presale Report

CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published December 3, 2015

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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@KrollBondRating

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).


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