NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 20 classes of Benchmark 2019-B14 (see ratings list below), a $1.3 billion CMBS conduit transaction collateralized by 53 commercial mortgage loans secured by 112 properties. Inclusive of the loan specific certificates (the rake certificates), the transaction size is $1.5 billion.
The collateral properties are located throughout 38 MSAs, the largest three of which are New York (22.1%), Washington – NoVA – MD (9.3%), and Boston (5.2%). The pool has exposure to all of the major property types, with four types representing more than 10.0% of the pool balance: office (32.7%), multifamily (20.9%), retail (18.9%), and mixed use (15.0%). The loans have principal balances ranging from $3.0 million to $73.0 million for the largest loan in the pool, Watergate Office Building (5.5%), which is secured by a 215,200 sf Class-A office building in downtown Washington DC. The five largest loans, which also include 225 Bush (4.5%), Innovation Park (4.5%), The Essex (4.3%), and 180 Water (3.8%), represent 22.7% of the initial pool balance, while the top 10 loans represent 39.9%.
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 7.7% 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, 40.9% less than third party appraisal values. The pool has an in-trust KLTV of 101.5% and an all-in KLTV of 112.5%. 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-B14
|
Class |
Initial Class Balance |
Expected KBRA Rating |
|
Pooled Certificates: Principal and Interest |
|
|
|
A-1 |
$22,760,000 |
AAA (sf) |
|
A-2 |
$249,620,000 |
AAA (sf) |
|
A-3 |
$55,480,000 |
AAA (sf) |
|
A-4 |
$100,000,000 – $187,000,0001 |
AAA (sf) |
|
A-5 |
$350,570,000 – $437,570,0001 |
AAA (sf) |
|
A-SB |
$37,040,000 |
AAA (sf) |
|
A-S |
$127,315,000 |
AAA (sf) |
|
B |
$61,240,000 |
AA- (sf) |
|
C |
$53,180,000 |
A- (sf) |
|
D |
$33,845,000 |
BBB (sf) |
|
E |
$25,785,000 |
BBB- (sf) |
|
F-RR |
$24,175,000 |
BB- (sf) |
|
G-RR |
$12,890,000 |
B- (sf) |
|
NR-RR |
$48,349,368 |
NR |
|
Pooled Certificates: Interest-Only2 |
|
|
|
X-A |
$1,029,785,000 |
AAA (sf) |
|
X-B |
$114,420,000 |
AAA (sf) |
|
X-D |
$59,630,000 |
BBB- (sf) |
|
Pooled Certificates: Retained Eligible Vertical Interest |
|
|
|
VRR Interest |
$33,000,000 |
NR |
|
225B-VRR Interest |
$7,320,000 |
NR |
|
Loan Specific Certificates: Principal and Interest3 |
|
|
|
225B-A |
$11,595,000 |
A- (sf) |
|
225B-B |
$33,958,000 |
BBB- (sf) |
|
225B-C |
$35,434,000 |
BB- (sf) |
|
225B-D |
$48,723,000 |
B- (sf) |
|
225B-E |
$9,370,000 |
NR |
1The exact initial certificate balances will not be determined until final pricing; however, they are expected to fall within the above ranges. 2Notional balance. 3Loan-specific certificates are only entitled to amounts received with respect to 225 Bush Trust Subordinate Companion Loan.
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)
- Benchmark 2019-B14 Pre-Sale Report
- Benchmark 2019-B14 KBRA Conduit KCAT
- U.S. CMBS Multi-Borrower Rating Methodology
- U.S. CMBS Property Evaluation Methodology
- Methodology for Rating Interest-Only Certificates in CMBS Transactions
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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:
Patrick McQuinn, Director
(646) 731-2445
[email protected]
John Triantafyllou, Director
(646) 731-2396
[email protected]
Mike Brown, Managing Director
(646) 731-2307
[email protected]
Dayna Carley, Senior Director
(646) 731-2391
[email protected]
Business Development Contact:
Michele Patterson, Managing Director
(646) 731-2397
[email protected]
