Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of ratings to 19 classes of Benchmark 2019-B10 (see ratings list below), a $1.2 billion CMBS conduit transaction collateralized by 46 commercial mortgage loans secured by 98 properties. Inclusive of the loan specific certificates (the rake certificates), the transaction size is $1.3 billion.
The collateral properties are located in 21 states, with three states, New York (24.6%), California (15.8%), and Texas (13.5%), representing more than 10.0% of the pool balance. The pool has exposure to all of the major property types, with four types representing 10.0% or more of the pool balance: office (34.1%), multifamily (25.1%), retail (15.0%), and mixed use (11.8%). The loans have principal balances ranging from $3.7 million to $75.0 million for the largest loan in the pool, 3 Columbus Circle (6.5%), which is secured by a 753,713 sf, Class-A office building which includes 74,701 sf of retail space located in the Midtown neighborhood of New York City’s borough of Manhattan. The five largest loans, which also include, 3 Park Avenue (5.2%), Saint Louis Galleria (5.2%), ARC Apartments (5.2%), and 9800 Wilshire (4.8%), represent 26.9% of the initial pool balance, while the top 10 loans represent 44.4%.
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 8.3% 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, 40.9% less than third party appraisal values. The pool has an in-trust KLTV of 95.9% and an all-in KLTV of 104.8%. 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 2019-B10 published at www.kbra.com. The report includes our Benchmark 2019-B10 KBRA Conduit 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.
Ratings Assigned: Benchmark 2019-B10
|Class||Initial Class Balance||
|Pooled Certificates: Principal and Interest|
|A-3||$75,000,000 - $260,000,000||30.000%||AAA(sf)||March 2062|
|A-4||$319,747,000 - $504,747,000||30.000%||AAA(sf)||March 2062|
|Pooled Certificates: Interest Only2|
|Pooled Certificates: Retained Eligible Vertical Interest3|
|Loan Specific Certificates: Principal and Interest 4 KLTV|
|Class 3CC-A||$77,120,000||76.4%||BBB(sf)||March 2037|
|Class 3CC-B||$22,630,000||79.6%||BBB-(sf)||March 2037|
1The exact initial certificate balances will not be determined until final pricing. 2Notional balance. 3To satisfy the US risk retention rules, German American Capital Corporation is expected to purchase the VRR Interest which is expected to be a “single vertical security” and an “eligible vertical interest”. The VRR Interest will equal at least 5.0% of each class of non-residual certificates issued. 4Loan-specific certificates are only entitled to amounts received with respect to the 3 Columbus Circle Trust Subordinate Companion Loan.
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- Benchmark 2019-B10 Pre-Sale Report
- Benchmark 2019-B10 KBRA Conduit KCAT
- U.S. CMBS Multi-Borrower Rating Methodology
- U.S. CMBS Property Evaluation Methodology
- U.S. CMBS Single Borrower & Large Loan 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.
Caitlin Parrella, Associate
Susannah Keagle, Senior Director
Lynn D’Eugenio, Senior Director