KBRA Assigns Preliminary Ratings to JPMDB 2018-C8

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 17 classes of JPMDB 2018-C8 (see ratings list below), a $713.1 million CMBS conduit transaction collateralized by 41 commercial mortgage loans secured by 69 properties.

The collateral properties are located in 20 states, with two state exposures each representing more than 10.0% of the pool balance: California (22.9%) and Texas (15.9%). The pool has exposure to all of the major property types, with four each representing 10.0% or more of the pool balance: office (26.9%), retail (22.2%), lodging (16.6%) and multifamily (13.9%). The loans have principal balances ranging from $2.4 million to $50.0 million for the largest loan in the pool, Marina Heights State Farm (7.0%), a 2.0 million sf Class-A office complex located in Tempe, Arizona, approximately nine miles east of the Phoenix CBD. The five largest loans, which also include 1875 Atlantic Avenue (5.9%), Atlantic Times Square (5.6%), Embassy Suites Glendale (5.2%) and Sheraton Hotel Arlington (5.1%), represent 28.8% of the initial pool balance, while the top 10 loans represent 50.9%.

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 6.9% 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, 38.1% less than third party appraisal values. The pool has an in-trust KLTV of 98.4% and an all-in KLTV of 103.0%. 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, JPMDB 2018-C8 published at www.kbra.com. The report includes our JPMDB 2018-C8 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.
 

Preliminary Ratings Assigned: JPMDB 2018-C8

         
Class   Initial Class Balance   Expected KBRA Rating
A-1   $20,521,343   AAA(sf)
A-2   $131,981,467   AAA(sf)
A-3   See Footnote (1)   AAA(sf)
A-4   See Footnote (1)   AAA(sf)
A-SB   $33,165,944   AAA(sf)
A-S   $64,183,025   AAA(sf)
B   $32,981,845   AA(sf)
C   $32,091,512   A(sf)
D   $35,657,005   BBB-(sf)
E   $8,912,691   BB+(sf)
F   $7,132,025   BB-(sf)
G   $7,132,025   B(sf)
NR-RR2   $25,851,542   NR
X-A   $563,379,0103   AAA(sf)
X-B   $65,073,3583   AAA(sf)
X-D   $35,657,0053   BBB-(sf)
X-EF   $16,044,7163   BB-(sf)
X-G   $7,132,0253   B(sf)
VRR Interest   See Footnote (4)   NR

1The exact initial certificate balances of the Class A-3 and Class A-4 certificates will not be determined until final pricing. The aggregate initial certificate balance of the Class A-3 and Class A-4 certificates is expected to be approximately $313,527,231. Each class’ initial certificate balance is expected to fall within the following ranges: Class A-3 - $78,008,149 - $130,013,581; Class A-4 - $183,513,650 - $235,519,082. 2To satisfy the US risk retention rules, Starwood Conduit CMBS Horizontal Retention I LLC is expected to retain an “eligible horizontal residual interest” consisting of the Class NR-RR certificates, representing approximately 1.1887% of the aggregate fair value of all of the non-residual interests issued by the issuer, determined in accordance with GAAP. 3Notional balance calculated as set forth in the Legal Analysis section. 4To satisfy the remaining risk retention requirements, Starwood Conduit CMBS Vertical Retention I LLC is expected to retain a portion of the VRR interest, which is an “eligible vertical interest” in the aggregate amount of approximately 3.856% of the aggregate certificate balance of all of the non-residual interests issued by the issuer.

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)

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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.

Contacts

Kroll Bond Rating Agency
Analytical:
John Triantafyllou, 646-731-2396
Associate Director
jtriantafyllou@kbra.com
or
Susannah Keagle, 646-731-3357
Senior Director
skeagle@kbra.com
or
Lynn D’Eugenio, 646-731-2487
Senior Director
ldeugenio@kbra.com
or
Akshay Maheshwari, 646-731-2394
Associate Director
amaheshwari@kbra.com

Contacts

Kroll Bond Rating Agency
Analytical:
John Triantafyllou, 646-731-2396
Associate Director
jtriantafyllou@kbra.com
or
Susannah Keagle, 646-731-3357
Senior Director
skeagle@kbra.com
or
Lynn D’Eugenio, 646-731-2487
Senior Director
ldeugenio@kbra.com
or
Akshay Maheshwari, 646-731-2394
Associate Director
amaheshwari@kbra.com