Kroll Bond Rating Agency (KBRA) announces the assignment of ratings to four classes of CF 2020-P1, a $271.1 million commercial real estate securitization. The transaction is collateralized by 14 commercial mortgage loans secured by 43 properties.
The collateral properties are located throughout five states with the top three states represented by New York (56.6%), Georgia (18.4%), and California (14.8%). The pool has exposure to four property types, multifamily (42.2%), mixed-use (34.7%), lodging (18.4%), and office (4.7%). The loans have principal balances ranging from $2.7 million to $50.0 million for the largest loan in the pool, AVR Atlanta Airport Marriott Gateway (18.4%), which is secured by a 403-key full-service hotel located in Atlanta, Georgia. The five largest loans, which also include Parkmerced (14.8%), 650 Madison Avenue (14.8%), Acuity Portfolio (14.8%), and 245 E 14th Street (7.6%), represent 70.3% 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. On an aggregate basis, KNCF was 11.6% 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, 46.5% less than third party appraisal values. The pool has an in-trust KLTV of 86.4% and an all-in KLTV of 123.9%. 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.
- U.S. CMBS Single Borrower & Large Loan Methodology
- U.S. CMBS Property Evaluation Methodology
- 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 Limited is registered with ESMA as a CRA.
Caitlin Parrella, CFA, Associate Director (Lead Analyst)
Patrick McQuinn, Senior Director
Michael Brown, Managing Director
Nitin Bhasin, CFA, Senior Managing Director (Rating Committee Chair)
Mimi Ophir, Director
Business Development Contact
Michele Patterson, Managing Director