Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to nine classes of RCMT 2019-5 (see ratings list below), a $399.2 million CMBS small balance transaction collateralized by 95 commercial mortgage loans secured by 127 properties.
The collateral properties are located in 28 states, with two state exposures each representing more than 10.0% of the pool balance: California (12.9%) and Texas (10.9%). The pool has exposure to most of the major property types, with three each representing 15.0% or more of the pool balance: multifamily (30.1%), office (29.5%), and retail (25.1%). The loans have principal balances ranging from $676,952 to $31.5 million for the largest loan in the pool, Hirschfield Portfolio I (7.9%), which is secured by 17 single-tenant office and retail properties that together comprise 171,543 sf. The five largest loans, which also include Bungalows on Olive (4.9%), UCONN Health Center Finance Corporation (2.5%), Silver Hills Apartments (2.3%), and Hirschfield Portfolio II (2.3%), represent 19.9% of the initial pool balance, while the top 10 loans represent 30.7%.
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 12.0% less than the issuer cash flow. KBRA capitalization rates were applied to each assets KNCF to derive values that were, on an aggregate basis, 43.3% less than third party appraisal values. The pool has an in-trust KLTV of 103.0% and an all-in KLTV of 104.6%. 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.
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Preliminary Ratings Assigned: RCMT 2019-5
|Class||Initial Class Balance||Expected KBRA Rating|
|1In satisfaction of the US Risk Retention rules, these classes are expected to be purchased and retained by an affiliate of the sponsor, on the closing date. Such classes will represent an eligible horizontal residual interest and will represent at least 5.0% of the fair market value of all non-residual certificates issued.|
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- RCMT 2019-5 Pre-Sale Report
- U.S. CMBS Multi-Borrower Rating Methodology
- U.S. CMBS Property Evaluation Methodology
- Methodology for Rating Interest-Only Certificates in CMBS Transactions
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, is 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.
Michael Brown, Senior Director
Susannah Keagle, Senior Director
Akshay Maheshwari, Associate Director