Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 29 classes of BANK 2020-BNK28, a $720.2 million CMBS conduit transaction collateralized by 54 commercial mortgage loans secured by 92 properties.
The collateral properties are located throughout 30 MSAs, the largest three of which are New York (31.7%), Seattle (9.7%), and North-Central New Jersey (6.9%). The pool has exposure to many of the major property types, with three types representing more than 15.0% of the pool balance: multifamily (27.0%), mixed use (20.2%), and office (15.8%). The loans have principal balances ranging from $994,234 to $70.0 million for the largest loan in the pool, 9th & Thomas (9.7%), which is secured by a 170,812 sf, Class-A, LEED Gold certified office building located in Seattle, Washington. The five largest loans, which also include FTERE Bronx Portfolio 6 (8.9%), 711 Fifth Avenue (8.3%), 329 Wyckoff Mills Road (6.9%), and Waterfront Clematis (6.2%), represent 40.0% of the initial pool balance, while the top 10 loans represent 64.7%.
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 10.4% 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, 45.3% less than third party appraisal values. The pool has an in-trust KLTV of 91.6% and an all-in KLTV of 91.8%. 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.
- BANK 2020-BNK28 KBRA Conduit KCAT
- U.S. CMBS Multi-Borrower Rating Methodology
- U.S. CMBS Property Evaluation Methodology
- Methodology for Rating Interest-Only Certificates in CMBS Transactions
- Global Structured Finance Counterparty Methodology
Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.
A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the U.S. Information Disclosure Form located here.
Information on the meaning of each rating category can be located here.
Further disclosures relating to this rating action are available in the U.S. Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.
KBRA is a full-service credit rating agency registered as an NRSRO with the U.S. Securities and Exchange Commission. 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) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe is registered with ESMA as a CRA.
Caitlin Parrella, CFA, Associate Director (Lead Analyst)
+1 (646) 731-3310
James Wang, Senior Director
+1 (646) 731-2450
Mimi Ophir, Director
+1 (646) 731-3383
Nitin Bhasin, Senior Managing Director (Rating Committee Chair)
+1 (646) 731-2334
Business Development Contact
Michele Patterson, Managing Director
+1 (646) 731-2397