NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 14 classes of COMM 2018-COR3 (see ratings list below), a $1.0 billion CMBS conduit transaction collateralized by 41 commercial mortgage loans secured by 44 properties.
The collateral properties are located in 17 states, with three state exposures each representing more than 10.0% of the pool balance: New York (38.4%), California (21.7%), and Washington (13.4%). The pool has exposure to all of the major property types, with the four largest accounting for 77.4% of the pool balance: retail (19.8%), office (19.7%), Lodging (19.1%) and mixed use (18.8%). The loans have principal balances ranging from $4.0 million to $100.0 million for the largest loan in the pool, 930 Flushing Avenue, a 315,644 sf, single-tenant, industrial warehouse located in the Bushwick neighborhood of Brooklyn, New York, approximately five miles east of Manhattan. The five largest loans, which also include Hyatt @ Olive 8 (7.8%), Kingswood Center (6.5%), 1001 North Shoreline Boulevard (6.4%) and Beekman Tower (6.3%), represent 36.9% of the initial pool balance, while the top 10 loans represent 58.5%.
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 4.8% 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, 42.6% less than third party appraisal values. The pool has an in-trust KLTV of 99.7% and an all-in KLTV of 104.1%. 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, COMM 2018-COR3 published today at www.kbra.com. The report includes our COMM 2018-COR3 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.
Preliminary Ratings Assigned: COMM 2018-COR3
|Class||Initial Class Balance||Expected KBRA Rating|
1The exact initial certificate balances of the Class A-2 and A-3 certificates will not be determined until final pricing, However, the aggregate certificate balance of the Class A-2 and A-3 certificates is expected to be approximately $675.251 million. Each class’ initial certificate balance is expected to fall within the following ranges: Class A-2 - $100.0 million to $303.0 million; Class A-3 - $372.251 million to $575.251 million. 2In satisfaction of the US Risk Retention rules, these classes will be retained by a third-party purchaser, are intended to constitute an “eligible horizontal residual interest” and will represent at least 5.0% of the fair market value of all non-residual certificates. 3Notional balance.
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: COMM 2018-COR3 Pre-Sale Report
- CMBS: COMM 2018-COR3 Pre-Sale ReportU.S. CMBS Multi-Borrower Rating Methodology
- CMBS Property Evaluation Methodology
- Methodology for Rating Interest-Only Certificates in CMBS Transactions
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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.