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KBRA Assigns Preliminary Ratings to CF 2019-CF2

NEW YORK

Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 18 classes of CF 2019-CF2 (see ratings list below), a $802.9 million CMBS conduit transaction collateralized by 48 commercial mortgage loans secured by 136 properties.

The collateral properties are located in 26 states, with the top three states represented by Florida (11.9%), New York (11.5%), and California (10.9%). The pool has exposure to all the major property types, with the top three being retail (19.9%), multifamily (18.6%), and office (16.5%). The loans have principal balances ranging from $3.0 million to $68.0 million for the largest loan in the pool, GNL Office and Industrial Portfolio (8.5%), which is secured by 12 single-tenant industrial and office properties located in 10 states that together comprise 2.2 million sf. The five largest loans, which also include Uline Arena (5.2%), Ocean Edge Resort & Golf Club (5.0%), Inland Life Storage Portfolio (4.9%) and Bushwick Avenue Portfolio (4.5%), represent 28.1% of the initial pool balance, while the top 10 loans represent 46.8%.

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 7.1% 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, 42.5% less than third party appraisal values. The pool has an in-trust KLTV of 99.4% and an all-in KLTV of 106.4%. 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.

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.

Preliminary Ratings Assigned: CF 2019-CF2

Class

Initial Class Balance

Expected KBRA Rating

A-1

$20,649,000

AAA (sf)

A-2

$40,987,000

AAA (sf)

A-SB

$28,718,000

AAA (sf)

A-3

$39,556,500

AAA (sf)

A-4

$100,000,000 - $214,000,000¹

AAA (sf)

A-5

$218,123,500 - $332,123,500¹

AAA (sf)

A-S

$67,243,000

AAA (sf)

B

$36,131,000

AA+ (sf)

C

$37,134,000

A (sf)

D

$24,087,000

BBB+(sf)

E

$18,066,000

BBB (sf)

F

$19,069,000

BB (sf)

G

$8,029,000

B+ (sf)

NR-RR

$31,113,052

NR

X-A

$562,034,000²

AAA (sf)

X-B

$140,508,000²

AAA (sf)

X-D

$42,153,000²

BBB (sf)

X-F

$19,069,000²

BB (sf)

X-G

$8,029,000²

B+ (sf)

Loan-Specific Certificates3

SWA

$5,130,000

NR

SWB

$5,070,000

NR

SWC

$5,890,000

NR

SWD

$6,190,000

NR

SWE

$5,620,000 - $5,820,0004

NR

SWRR

$1,900,000 - $2,100,0004

NR

SWX1

$10,200,000²

NR

SWX2

$12,080,000²

NR

1 The exact initial certificate balances will not be determined until final pricing, however, they are expected to fall within the above ranges; the aggregate initial certificate balance of the Class A-4 and Class A-5 certificates is expected to be approximately $431.1 million.
2 Notional balance.
3 Loan-specific certificates are only entitled to amounts received with respect to The Stanwix Subordinate Companion Loan.
4 The exact initial certificate balances will not be determined until final pricing, however, they are expected to fall within the above ranges; the aggregate initial certificate balance of the SWE and SWRR certificates is expected to be approximately $7.2 million.

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.

Analytical Contacts:

Keith Olsen, Director
(646) 731-1207
kolsen@kbra.com

Yee Cent Wong, Senior Managing Director
(646) 731-2374
ywong@kbra.com

Erika Hinman, Director
(646) 731-2418
ehinman@kbra.com

Susannah Keagle, Senior Director
(646) 731-3357
skeagle@kbra.com

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