NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to five classes of M360 2018-CRE1, a managed commercial real estate collateralized loan obligation (CRE CLO) securitization with a 12-month reinvestment period. M360 Advisors, LLC, an affiliate of Money360, Inc., will act as collateral manager for the transaction.
The transaction is initially expected to be collateralized by 48 mortgage assets with an aggregate cut-off date balance of $329.7 million. Previously unidentified whole loans and pari passu participations may be acquired during the reinvestment period, subject to the satisfaction of the eligibility criteria and reinvestment criteria. The eligibility criteria include, among other things, maximum stabilized LTV and minimum stabilized DSC requirements; pool level concentration limits for loan size, property type and geographic location; certain restrictions on participation interests and future funding assets; and satisfaction of the rating condition with respect to KBRA.
The transaction includes an interest coverage and an overcollateralization test. If the tests are not satisfied on any determination date, then on the following payment date, interest proceeds remaining after interest is paid to the Class C notes will be diverted and used (and, if interest proceeds are insufficient, principal proceeds will also be used) to pay down the principal balances of the Class A through C notes in sequential (alphabetical) order until the test(s) are satisfied or the Class A through C notes are paid in full. Additionally, if there is an IC and/or OC test failure during the reinvestment period, the reinvestment period will automatically terminate.
KBRA’s analysis of the transaction involved a detailed evaluation of the underlying cash flows using our CMBS Property Evaluation Methodology. The results of the analysis yielded KBRA values that were, on average, 46.0% lower than the appraiser’s values. The resulting KBRA Loan to Value (KLTV) was 125.9%. The results of this analysis were utilized in the application of our US CMBS Multi-Borrower Rating Methodology. The analysis also included quantitative and/or qualitative review of the various structural features of the transaction, including the reinvestment feature and IC & OC tests, as well as a review of the legal documents, the results of which were incorporated into our ratings assignment process.
For complete details of the analysis, please see our pre-sale report, M360 2018-CRE1, published at www.kbra.com. The preliminary ratings are based on information known to KBRA at the time of this publication. Information received subsequent to this release could result in the assignment of ratings that differ from the preliminary ratings.
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Preliminary Ratings Assigned: M360 2018-CRE1 |
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Class |
Initial Note Balance | Expected KBRA Rating | ||||||
| A | $154,900,000 | AAA(sf) | |||||||
| B | $42,800,000 | A-(sf) | |||||||
| C | $32,900,000 | BBB-(sf) | |||||||
| D | $21,400,000 | BB-(sf) | |||||||
| E | $14,800,000 | B-(sf) | |||||||
| Preferred Shares | $62,937,087 | NR | |||||||
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 Representation & Warranties Disclosure report.
Related Publications: (available at www.kbra.com)
- M360 2018-CRE1 Pre-Sale Report
- M360 2018-CRE1 KBRA CRE CLO KCAT
- U.S. CMBS Multi-Borrower Rating Methodology
- CMBS Property Evaluation Methodology
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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 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.
