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KBRA Assigns Preliminary Ratings to Benchmark 2020-IG1

Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to nine classes of Benchmark 2020-IG1 (see ratings list below), a $660.0 million commercial real estate securitization. The transaction is a first of its kind post-crisis, as it is collateralized by 13 non-controlling pari passu participations of fixed rate loans, secured by 45 properties, with each participation exhibiting investment grade (IG) credit characteristics when analyzed on a standalone basis.

The collateral properties are located in eight states, with the top three states represented by New York (48.5%), Washington (16.0%), and California (13.6%). The pool has exposure to all of the major property types, with the top three being office (48.9%), retail (15.9%), and mixed use (14.1%). Most of the loans have a ten-year term (11 loans, 85.6%), with the remaining two loans having a five- and seven-year term, respectively. The loans have principal balances ranging from $37.9 million to $64.7 million for the largest loan in the pool, 1633 Broadway (9.8%), which is secured by a 2.6 million sf, Class-A CBD office building located in the Midtown neighborhood of New York City’s borough of Manhattan. The five largest loans, which also include F5 Tower (8.4%), Bellagio Hotel and Casino (8.3%), Kings Plaza (8.3%) and 1501 Broadway (8.3%), represent 43.2% of the initial pool balance.

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. To assign ratings to the transaction’s interest only securities, KBRA relied on its Methodology for Rating Interest-Only Certificates in CMBS Transactions. KBRA also relied on its Global Structured Finance Counterparty Methodology for assessing counterparty risk in this transaction, to the extent deemed applicable.

On a weighted average (WA) basis, the KNCF was 8.5% less than the issuer’s cash flow. KBRA capitalization rates were applied to each asset’s KNCF to derive values that were, on a WA basis, 46.3% less than third party appraisal values. The pool has a WA in-trust KLTV of 65.3% and an all-in KLTV of 105.3%, inclusive of the future permitted mezzanine debt. 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, BENCHMARK 2020-IG1, 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: Benchmark 2020-IG1

Class

     

Initial Class Balance

   

Expected KBRA Rating

A-1

     

$42,750,000

   

AAA (sf)

A-2

     

$47,500,000

   

AAA (sf)

A-3

     

$348,650,000

   

AAA (sf)

A-S

     

$122,550,000

   

AAA (sf)

B

     

$35,720,000

   

AA- (sf)

C

     

$14,630,000

   

A- (sf)

D

     

$15,200,000

   

BBB- (sf)

X-A

     

$561,450,0001

   

AAA (sf)

X-B

     

$35,720,0001

   

AAA (sf)

1Notional 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.

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Contacts

Analytical:

Ravish Kamath, Director
(646) 731-2328
rkamath@kbra.com

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

Business Development:

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