Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 18 classes of CF 2019-CF1 (see ratings list below), a $662.0 million CMBS conduit transaction collateralized by 37 commercial mortgage loans secured by 60 properties.
The collateral properties are located in 25 states, with only one state, New York (17.0%), representing more than 10.0% of the pool balance. Texas (8.7%) and Illinois (8.4%) round out the top three state exposures. The pool has exposure to all the major property types, with the top three being office (32.5%), retail (17.4%), and multifamily (17.4%). The loans have principal balances ranging from $2.9 million to $50.6 million for the largest loan in the pool, 625 North Michigan Avenue (7.6%), which is secured by a 289,594 sf Class-A office building located in Chicago, Illinois, within the citys CBD. The five largest loans, which also include 3 Columbus Circle (7.6%), SSTII Self Storage Portfolio II (7.1%), 65 Broadway (6.0%), and Fairfax Multifamily Portfolio (5.3%), represent 33.6% of the initial pool balance, while the top 10 loans represent 56.3%.
KBRAs 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 KBRAs 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 assets KNCF to derive values that were, on an aggregate basis, 38.5% less than third party appraisal values. The pool has an in-trust KLTV of 93.8% and an all-in KLTV of 106.0%. 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, CF 2019-CF1 published at www.kbra.com. The report includes our CF 2019-CF1 KBRA Conduit 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.
To access ratings, reports and disclosures, click here.
Preliminary Ratings Assigned: CF 2019-CF1
|Class||Initial Class Balance||Expected KBRA Rating|
|A-4||$78,000,000 – $154,167,0001||AAA (sf)|
|A-5||$182,897,561 – $259,064,5611||AAA (sf)|
|65B-E||$35,447,000 – $35,647,0001||NR|
|65B-HRR||$6,150,000 – $6,350,0001||NR|
1 The exact initial certificate balances will be determined at final pricing.
2 Notional balance.
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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.
Yash, Associate Director
Cent Wong, Senior Managing Director
Keagle, Senior Director