NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 16 classes of Benchmark 2019-B13 (see ratings list below), a $951.7 million CMBS conduit transaction collateralized by 40 commercial mortgage loans secured by 48 properties.
The collateral properties are located in 20 states, with the top three states represented by New York (23.8%), Pennsylvania (11.8%), and California (11.0%). The pool has exposure to all the major property types, with the top three being retail (30.0%), office (26.9%), and mixed use (24.2%). The loans have principal balances ranging from $3.8 million to $75.0 million for the largest loan in the pool, Sunset North (7.9%), which is secured by a 464,061 sf Class-A office complex located in Bellevue, Washington, approximately 11 miles east of the Seattle CBD. The five largest loans, which also include Mac Commons (5.6%), Osborn Triangle (5.3%), Grand Canal Shoppes (5.3%) and Rivertowne Commons (4.7%), represent 28.7% of the initial pool balance, while the top 10 loans represent 51.3%.
KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts’ evaluation of the underlying collateral properties’ financial and operating performance, which determine KBRA’s estimate of sustainable net cash flow (KNCF) and KBRA value using our U.S. CMBS Property Evaluation Methodology. On an aggregate basis, KNCF was 9.2% 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, 37.8% less than third party appraisal values. The pool has an in-trust KLTV of 100.1% and an all-in KLTV of 105.9%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan that are then used to assign our credit ratings.
Preliminary Ratings Assigned: Benchmark 2019-B13
|
Class |
Initial Class Balance |
Expected KBRA Rating |
|
A-1 |
$14,591,000 |
AAA (sf) |
|
A-2 |
$104,583,000 |
AAA (sf) |
|
A-SB |
$26,919,000 |
AAA (sf) |
|
A-3 |
$100,000,000 – $248,000,0001 |
AAA (sf) |
|
A-4 |
$249,705,000 – $397,705,0001 |
AAA (sf) |
|
A-M |
$75,877,000 |
AAA (sf) |
|
B |
$39,087,000 |
AA (sf) |
|
C |
$43,687,000 |
A- (sf) |
|
D |
$26,441,000 |
BBB+ (sf) |
|
E |
$21,844,000 |
BBB- (sf) |
|
F |
$22,992,000 |
BB- (sf) |
|
G-RR2 |
$9,198,000 |
B (sf) |
|
H-RR2 |
$36,788,563 |
NR |
|
X-A |
$719,675,0003 |
AAA (sf) |
|
X-B |
$82,774,0003 |
AAA (sf) |
|
X-D |
$48,285,0003 |
BBB- (sf) |
|
X-F |
$22,992,0003 |
BB- (sf) |
|
VRR Interest4 |
$32,000,000 |
NR |
1The exact initial certificate balances will not be determined until final pricing; however, they are expected to fall within the above ranges. 2Represents an “eligible horizontal residual interest” in satisfaction of US Risk Retention rules. 3Notional balance. 4Represents an “eligible vertical interest” in satisfaction of the US risk retention rules.
For complete details on the analysis, please see our pre-sale report published at www.kbra.com. The preliminary ratings are based on information known to KBRA at the time of this publication. Information received subsequent to this release could result in the assignment of ratings that differ from the preliminary ratings.
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
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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 designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is 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.
Contacts
Analytical Contacts:
Elizabeth Yash, Associate Director
(646) 731-3346
eyash@kbra.com
Michael Brown, Managing Director
(646) 731-2307
mbbrown@kbra.com
Laura Wolinsky, Director
(646) 731-2379
lwolinsky@kbra.com
Dayna Carley, Senior Director
(646) 731-2391
dcarley@kbra.com
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