KBRA Assigns Preliminary Ratings to Benchmark 2020-B17

NEW YORK--()--Kroll Bond Rating Agency (KBRA) announces the assignment of preliminary ratings to 15 classes of Benchmark 2020-B17, a $943.4 million CMBS conduit transaction collateralized by 35 commercial mortgage loans secured by 160 properties.

The collateral properties are located in 32 states, with the top three states represented by New York (29.2%), California (22.7%), and Texas (8.4%). The pool has exposure to all the major property types, with the top three being office (41.3%), lodging (17.2%) and mixed-use (15.5%). The loans have principal balances ranging from $4.4 million to $85.0 million for the largest loan in the pool, Murphy Crossing (9.0%), which is secured by a 363,567 sf, Class-A suburban office complex located within Silicon Valley in Milpitas, California. The five largest loans, which also include Moffett Towers Buildings A, B & C (8.4%), 1633 Broadway (5.3%), 650 Madison Avenue (5.3%), and CBM Portfolio (5.3%), represent 33.3% of the initial pool balance, while the top 10 loans represent 55.4%.

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, 42.0% less than third party appraisal values. The pool has an in-trust KLTV of 88.3% and an all-in KLTV of 102.7%. 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.

Preliminary Ratings Assigned: Benchmark 2020-B17

Class

Initial Class Balance

Expected KBRA Rating

A-1

$6,275,000

AAA (sf)

A-2

$188,000,000

AAA (sf)

A-4

$100,000,000 – $170,000,0001

AAA (sf)

A-5

$262,938,000 – $333,938,0001

AAA (sf)

A-SB

$12,900,000

AAA (sf)

A-S

$105,326,000

AAA (sf)

B

$41,214,000

AA- (sf)

C

$37,780,000

A- (sf)

D

$21,752,000

BBB (sf)

E

$16,028,000

BBB- (sf)

F-RR

$16,028,000

BB- (sf)

G-RR

$9,158,000

B- (sf)

NR-RR

$27,477,162

NR

X-A

$746,439,0002

AAA (sf)

X-B

$78,994,0002

AAA (sf)

X-D

$37,780,0002

BBB- (sf)

VRR

$27,500,000

NR

1 The exact initial certificate balances will not be determined until final pricing; however, they are expected to fall within the above ranges.
2 Notional balance.

For complete details on the analysis, please see our pre-sale report 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.

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

Lynn D'Eugenio, Senior Director
(646) 731-2487
ldeugenio@kbra.com

Dayna Carley, Senior Director
(646) 731-2391
dcarley@kbra.com

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

Contacts

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

Lynn D'Eugenio, Senior Director
(646) 731-2487
ldeugenio@kbra.com

Dayna Carley, Senior Director
(646) 731-2391
dcarley@kbra.com

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