KBRA Downgrades Nine Ratings and Affirms All Other Ratings for CD 2016-CD2

KBRA downgrades the ratings of nine classes of certificates and affirms all other outstanding ratings of CD 2016-CD2, an $856.4 million CMBS conduit transaction. The rating actions follow a surveillance review of the transaction, which has exhibited an increase in KBRA's estimated losses from six K-LOCs (32.4% of the pool balance), four of which (29.8%) are within the top 10 loans. Additionally, including the K-LOCs, seven of the top 10 loans (49.6%) have been assigned a KPO of Underperform.

As of the October 2024 remittance period, there are two specially serviced assets (13.4%), of which one (8.8%) is REO and one loan (4.7%) is 90+ days delinquent. KBRA identified eight K-LOCs (44.9%), including the specially serviced assets. These include:

Five of the top 10 assets (37.9%):

Two other K-LOCs (2.6%) have estimated losses:

The remaining loan represents 4.4% of the pool balance.

Excluding the K-LOCs with estimated losses, the transaction’s WA KLTV is 96.5%, which compares to 103.2% at KBRA's last ratings change and 95.9% at securitization. The KDSC is 1.65x, which compares to 1.77x at KBRA's last ratings change and 2.05x at issuance.

Details concerning the classes with rating changes are as follows:

To access ratings and relevant documents, click here.

Click here to view the report.

Related Publication

Methodologies