KBRA Assigns Preliminary Ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-NNN

NEW YORK--()--Kroll Bond Rating Agency (KBRA) announces the assignment of preliminary ratings to 18 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-NNN (JPMCC 2020-NNN).

The collateral for the transaction is a $775.0 million portion of a $925.0 million non-recourse, first lien mortgage loan. The collateral is comprised of fixed ($497.55 million) and floating ($277.45 million) rate components. The floating rate component is an interest-only loan that has an initial two-year term with three one-year extension options. The fixed rate component is an interest-only loan that has a five-year term. The loan is secured by the borrowers’ fee simple and leasehold interests in 66 properties. The portfolio encompasses 6.1 million sf and consists of three major property types; office (66.6% of allocated loan balance), industrial (20.8%), and retail (12.7%). The properties are located in 18 different states, the three largest of which are Illinois (39 properties, 36.4%), New Jersey (two, 10.8%), and Virginia (two, 7.2%).

As of January 2020, the portfolio was 100.0% leased to 14 different tenants. Three tenants account for more than 10.0% of base rent: MetLife (25.4% of base rent), First Midwest Bank (11.8%), and DST Output (11.3%). All of the properties are leased to a single tenant. The tenants operate within eight industries including financial services, healthcare, wholesale distribution, and telecommunications.

KBRA’s analysis of the transaction included a detailed evaluation of the properties’ cash flows using our U.S. CMBS Property Evaluation Methodology and the application of our U.S. CMBS Single Borrower & Large Loan Rating Methodology. In addition, KBRA also relied on its Global Structured Finance Counterparty Methodology for assessing counterparty risk in this transaction, to the extent deemed applicable.

The results of our analysis yielded a KBRA net cash flow (KNCF) of $66.2 million. To value the properties, we applied a blended capitalization rate of 9.00% to arrive at a KBRA value of $735.9 million. The resulting KBRA Loan to Value (KLTV) is 125.7%. In our analysis of the transaction, we also reviewed and considered third party engineering, environmental, and appraisal reports; the results of our site inspection of the properties, and legal documentation review.

For further details on KBRA’s analysis, please see our pre-sale report, JPMCC 2020-NNN, 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 final ratings that differ from the preliminary ratings.

Preliminary Ratings Assigned: JPMCC 2020-NNN

Class

Initial Class Balance

Expected KBRA Rating

A-FL

$92,470,000

AAA (sf)

A-FX

$106,550,000

AAA (sf)

B-FL

$20,420,000

AA+ (sf)

B-FX

$23,540,000

AA+ (sf)

C-FL

$14,040,000

AA- (sf)

C-FX

$16,180,000

AA- (sf)

D-FL

$19,920,000

A- (sf)

D-FX

$46,480,000

A- (sf)

E-FL

$30,000,000

BBB- (sf)

E-FX

$70,020,000

BBB- (sf)

F-FL

$26,820,000

BB- (sf)

F-FX

$62,584,000

BB- (sf)

G-FL

$31,020,000

B- (sf)

G-FX

$72,411,000

B- (sf)

H-FL

$27,760,000

NR

H-FX

$64,785,000

NR

HRR-FL1

$15,000,000

NR

HRR-FX1

$35,000,000

NR

Interest-Only Certificates2

X-CP

$54,380,000

AAA (sf)

X-EXT

$54,380,000

AAA (sf)

X-HFL

$27,760,000

NR (sf)

XA-FX

$106,550,000

AAA (sf)

XB-FX

$291,215,000

AAA (sf)

1Represents the “eligible horizontal residual interest” in satisfaction of the US risk retention rules. 2Notional balance.

To access ratings, reports and disclosures, click 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 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. KBRA is also 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.

Contacts

Analytical Contacts:
Caitlin Parrella, CFA, Associate
(646) 731-3310
cparrella@kbra.com

Michael Brown, Managing Director
(646) 731-2307
mbbrown@kbra.com

Mimi Ophir, Director
(646) 731-3383
mophir@kbra.com

Keith Kockenmeister, Senior Managing Director
(646) 731-2349
kkockenmeister@kbra.com

Business Development Contact:
Michele Patterson, Managing Director
(646) 731-2397
mpatterson@kbra.com

Contacts

Analytical Contacts:
Caitlin Parrella, CFA, Associate
(646) 731-3310
cparrella@kbra.com

Michael Brown, Managing Director
(646) 731-2307
mbbrown@kbra.com

Mimi Ophir, Director
(646) 731-3383
mophir@kbra.com

Keith Kockenmeister, Senior Managing Director
(646) 731-2349
kkockenmeister@kbra.com

Business Development Contact:
Michele Patterson, Managing Director
(646) 731-2397
mpatterson@kbra.com