Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 15 classes of the CFCRE 2016-C3 transaction (see ratings list below). CFCRE 2016-C3 is a $703.6 million CMBS conduit transaction collateralized by 38 commercial mortgage loans secured by 67 properties. This securitization is the third conduit issued by Cantor Commercial Real Estate (CCRE), and the first since December 2011.

The underlying collateral properties are located in 23 states, with one state exposure, California (29.8%) that represents more than 15.0% of the pool balance. There is exposure to all the major property type segments, with three that represent more than 10.0% of the pool balance: retail (34.3%), office (28.8%), and multifamily (13.0%). The loans have principal balances ranging from $2.0 million to $55.5 million for the largest loan in the pool, Element LA (7.9%), a 284,037 sf, Class-A office complex located in Los Angeles, California. The top five loans, which also include 123 Townsend (7.5%), Empire Mall (7.1%), 215 West 34th Street & 218 West 35th Street (5.7%) and AG Life Time Fitness Portfolio (5.7%), represent 33.9% of the initial pool balance, while the top 10 loans represent 56.2%.

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 5.1% 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, 39.6% less than third party appraisal values. The pool has an in-trust KLTV of 102.7% and an all-in KLTV of 102.8%. 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, CFCRE 2016-C3 published today 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: CFCRE 2016-C3

Class                       Class Balance                       Rating
A-1                       $29,088,000                       AAA(sf)
A-2                       $200,000,000                       AAA(sf)
A-3                       $222,884,000                       AAA(sf)
A-SB                       $40,514,000                       AAA(sf)
X-A                       $528,543,000*                       AAA(sf)
X-B                       $37,815,000*                       AAA(sf)
X-C                       $37,816,000*                       AAA(sf)
X-D                       $41,334,000*                       BBB-(sf)
X-E                       $10,553,000*                       NR
X-F                       $8,795,000*                       NR
X-G                       $7,915,000*                       NR
X-H                       $30,780,602*                       NR
A-M                       $36,057,000                       AAA(sf)
B                       $37,815,000                       AA-(sf)
C                       $37,816,000                       A-(sf)
D                       $41,334,000                       BBB-(sf)
E                       $10,553,000                       BB+(sf)
F                       $8,795,000                       BB(sf)
G                       $7,915,000                       B-(sf)
H                       $30,780,602                       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 can be found in the report entitled CMBS: CFCRE 2016-C3 Representations & Warranties Report.

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

CMBS: CFCRE 2016-C3 Presale Report

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

CMBS Property Evaluation Methodology, published December 3, 2015

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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).