NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 19 classes of MSC 2019-L3 (see ratings list below), a $1.0 billion CMBS conduit transaction collateralized by 51 commercial mortgage loans secured by 100 properties.
The collateral properties are located in 27 states, with the top three states represented by New York (14.9%), California (13.0%), and Florida (8.9%). The pool has exposure to all the major property types, with the top three being office (25.8%), multifamily (24.1%), and retail (16.1%). The loans have principal balances ranging from $1.7 million to $70.0 million for the largest loan in the pool, GNL Office and Industrial Portfolio (6.9%), which is secured by 12 single-tenant industrial and office properties located in 10 states that together comprise 2.2 million sf. The five largest loans, which also include Parklawn Building (6.9%), East Village Multifamily Portfolio (5.9%), Grand Canal Shoppes (5.3%) and ILPT Industrial Portfolio (4.9%), represent 29.8% of the initial pool balance, while the top 10 loans represent 50.2%.
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 5.8% 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, 41.2% less than third party appraisal values. The pool has an in-trust KLTV of 99.7% and an all-in KLTV of 103.6%. 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: MSC 2019-L3
|
Class |
Initial Class Balance |
Expected KBRA Rating |
|
|
A-1 |
$11,300,000 |
AAA (sf) |
|
|
A-2 |
$9,200,000 |
AAA (sf) |
|
|
A-SB |
$24,600,000 |
AAA (sf) |
|
|
A-3 |
$200,000,000 – $315,000,000¹ |
AAA (sf) |
|
|
A-4 |
$354,718,000 – $469,718,000¹ |
AAA (sf) |
|
|
A-S |
$94,458,000 |
AAA (sf) |
|
|
B |
$53,612,000 |
AA (sf) |
|
|
C |
$44,676,000 |
A- (sf) |
|
|
D |
$26,805,000 |
BBB+ (sf) |
|
|
E |
$20,424,000 |
BBB- (sf) |
|
|
F |
$11,488,000 |
BB+ (sf) |
|
|
G |
$10,212,000 |
BB- (sf) |
|
|
H |
$10,211,000 |
B- (sf) |
|
|
J-RR |
$34,465,361 |
NR |
|
|
X-A |
$714,818,000² |
AAA (sf) |
|
|
X-B |
$192,746,000² |
AAA (sf) |
|
|
X-D |
$47,229,000² |
BBB- (sf) |
|
|
X-F |
$11,488,000² |
BB+ (sf) |
|
|
X-G |
$10,212,000² |
BB- (sf) |
|
|
X-H |
$10,211,000² |
B- (sf) |
|
1The exact initial certificate balances will not be determined until final pricing; however, they are expected to fall within the above ranges. 2Notional balance.
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)
- MSC 2019-L3 Pre-Sale Report
- MSC 2019-L3 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
- Global Structured Finance Counterparty Methodology
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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:
Erika Hinman, Director
(646) 731-2418
[email protected]
Yee Cent Wong, Senior Managing Director
(646) 731-2374
[email protected]
Sacheen Shah, Director
(646) 731-3363
[email protected]
Susannah Keagle, Senior Director
(646) 731-3357
[email protected]
Business Development Contact:
Michele Patterson, Managing Director
(646) 731-2397
[email protected]
