Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 16 classes of BENCHMARK 2018-B1 (see ratings list below), a $1.2 billion CMBS conduit transaction collateralized by 49 commercial mortgage loans secured by 173 properties.
The collateral properties are located in 32 states and the District of Columbia, with two state exposures each representing more than 10.0% of the pool balance: California (19.1%) and New York (10.2%). The pool has exposure to all of the major property types, with five each representing 10.0% or more of the pool balance: office (34.9%), retail (16.4%), lodging (15.1%), mixed-use (14.5%), and multifamily (13.5%). The loans have principal balances ranging from $3.5 million to $70.0 million for the largest loan in the pool, 90 Hudson (6.0%), a 431,658 sf office building located in Jersey City, New Jersey, directly across the Hudson River from Manhattan, New York. The five largest loans, which also include Valencia Town Center (5.0%), The Woods (4.9%), Griffin Portfolio (4.7%), and Worldwide Plaza (4.3%), represent 24.9% of the initial pool balance, while the top 10 loans represent 44.9%.
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 CMBS Property Evaluation Methodology. On an aggregate basis, KNCF was 8.5% 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, 40.4% less than third party appraisal values. The pool has an in-trust KLTV of 97.8% and an all-in KLTV of 102.0%. 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.
For complete details on the analysis, please see our pre-sale report, BENCHMARK 2018-B1 published today at www.kbra.com. The report includes our KBRA Comparative Analytic Tool (KCAT), an easy to use, Excel-based workbook that provides the following information:
- KBRA Deal Tape – Contains KBRA loan level details for every loan in the pool, and the ability for users to input adjustments to KNCF and KBRA Cap Rates and see the related impact on key deal metrics.
- KBRA Credit Metrics Comparison Tool – Enables the user to compare the subject transaction to a user-defined transaction comp set. The feature provides many of the fields that are included in our CMBS Monthly Trend Watch publication.
- Excel-based property cash flow statements for the top 20 loans.
Preliminary Ratings Assigned: BENCHMARK 2018-B1 | ||||||
| Class | Initial Class Balance | Expected KBRA Rating | ||||
| A-1 | $18,703,000 | AAA(sf) | ||||
| A-2 | $157,629,000 | AAA(sf) | ||||
| A-3 | $49,272,000 | AAA(sf) | ||||
| A-4 | $175,000,000 | AAA(sf) | ||||
| A-5 | $347,112,000 | AAA(sf) | ||||
| A-SB | $40,449,000 | AAA(sf) | ||||
| A-M | $97,114,000 | AAA(sf) | ||||
| B | $47,853,000 | AA(sf) | ||||
| C | $52,075,000 | A-(sf) | ||||
| D | $60,250,000 | BBB-(sf) | ||||
| E | $25,334,000 | BB-(sf) | ||||
| F-RR1 | $14,074,000 | B-(sf) | ||||
| G-RR1 | $40,816,346 | NR | ||||
| X-A | $885,279,000² | AAA(sf) | ||||
| X-B | $47,853,000² | AAA(sf) | ||||
| X-D | $60,520,000² | BBB-(sf) | ||||
| X-E | $25,334,000² | BB-(sf) | ||||
| V-RR3 | N/A | N/A | ||||
| 1To satisfy the US risk retention rules, a third party purchaser will purchase and retain an “eligible horizontal residual interest” consisting of the Class F-RR and G-RR certificates, representing approximately 1.534% of the fair value of all of the non-residual interests issued by the issuer, determined in accordance with GAAP. 2Notional balance. 3To satisfy the remaining risk retention requirements, GACC is expected to retain a portion of the VRR interest, which is an “eligible vertical interest” in the form of a single vertical security in the aggregate amount of approximately 3.466% of the aggregate certificate balance of all of the non-residual interests issued by the issuer. |
Representations & Warranties Disclosure
All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report available here.
Related Publications: (available at www.kbra.com)
- CMBS: BENCHMARK 2018-B1 Pre-Sale Report
- U.S. CMBS Multi-Borrower Rating Methodology
- CMBS Property Evaluation Methodology
- Methodology for Rating Interest-Only Certificates in CMBS Transactions
CONNECT WITH KBRA
Twitter
LinkedIn
Download
the iOS App
YouTube
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 recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and 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.
View source version on businesswire.com: http://www.businesswire.com/news/home/20180116006265/en/
Contacts:
Analytical:
Erika
Hinman, Associate
646-731-2418
ehinman@kbra.com
or
Michael
Brown, Senior Director
646-731-2307
mbbrown@kbra.com
or
Dayna
Carley, Senior Director
646-731-2391
dcarley@kbra.com
or
Anna
Hertzman, Managing Director
646-731-2367
ahertzman@kbra.com
