KBRA assigns preliminary ratings to the 2020-B22 benchmark
NEW YORK–(COMMERCIAL THREAD) – Kroll Bond Rating Agency (KBRA) is pleased to announce the award of preliminary ratings to 13 2020-B22 benchmarks, an $ 814.2 million CMBS conduit transaction secured by 33 secured commercial mortgages by 44 properties.
The collateral properties are located in 20 MSA, of which the three largest are New York (37.2%), Salt Lake City (12.1%), Las Vegas (9.2%). The pool is exposed to all major property types, the top three being office (38.1%), mixed-use (21.5%) and housing (14.1%). The loans have principal balances ranging from $ 3.3 million to $ 80.0 million for the pool’s largest loan, The Grace Building (9.8%), which is secured by a LEED-certified office tower 1.6 million square foot Gold, Class A, located in the downtown district of the borough of Manhattan in New York. The five biggest loans, which also include MGM Grand & Mandalay Bay (9.2%), Elo Midtown Office Portfolio (8.7%), Station Park & Station Park West (7.4%) and Rugby Pittsburgh Portfolio (6.1%), represent 41.3% of the initial balance of the pool, while the first 10 loans represent 61.6%.
KBRA’s transaction analysis incorporated our multi-borrower rating process which begins with our analysts’ assessment of the financial and operational performance of the underlying secured properties, which determines KBRA’s estimate of net cash flow. sustainability (KNCF) and KBRA value using our Methodology for evaluating the properties of CMBS in the United States. On a global basis, KNCF was 13.7% lower than the cash flow of the issuer. KBRA cap rates were applied to the KNCF of each asset to derive values that, on an aggregate basis, were 45.1% lower than third party appraised values. The pool has a KLTV trust of 95.4% and an all-inclusive KLTV of 101.9%. The model deploys rent and occupancy constraints, probability of default regressions, and loss-given-default calculations to determine the losses for each secured loan which are then used to assign our credit scores.
Further information on key credit considerations, sensitivity analyzes that examine the factors that may affect these credit ratings and how they might lead to an upgrade or downgrade, and ESG factors (when they are a key factor in the change in credit rating or rating outlook) can be viewed in the full rating report mentioned above.
A description of all substantially significant sources that were used to prepare the credit rating and information about the method (s) (including significant models and sensitivity analyzes of the relevant key rating assumptions, if any) used to determine the credit rating is available in the United States Information Disclosure Form located here.
Information on the meaning of each rating category can be located here.
Further information relating to this rating measure is available in the US Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures can be found at www.kbra.com.
KBRA is a full-service credit rating agency registered as an NRSRO with the United States Securities and Exchange Commission. In addition, KBRA is appointed as the designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or a shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider and is a credit rating agency (ARC) certified with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe is registered with ESMA as a rating agency.