KBRA Downgrades Outstanding Rating for Bancorp 2017-CRE2
14 Jun 2024 | New York
KBRA downgrades its outstanding rating for Bancorp 2017-CRE2, a CRE CLO transaction with no ramp-up or reinvestment provisions. The downgrade follows a surveillance review of the transaction, which has exhibited a worsening in credit metrics since securitization. This has been partially offset by an increase in credit enhancement from loan payoffs; however, the remaining assets are in default and may encounter refinancing issues based on current market conditions.
The transaction, which has paid down by 87.0% ($ 273.7 million) of the original loan collateral balance, is collateralized by two first mortgage loans and participation interests, secured by four properties. The transaction is a REMIC trust with a cash flow waterfall that is similar to those in a CMBS pass-through transaction and does not employ IC or OC cash diversion tests.
As of the May 2024 remittance period, there are two specially serviced assets (100% of the pool balance), of which one (60.0%) is non-performing matured balloon, and one (40.0%) is REO. KBRA identified both of the remaining assets as K-LOCs with estimated losses.
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