NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of ratings to 17 classes of JPMDB 2020-COR7, a $727.4 million CMBS conduit transaction collateralized by 33 commercial mortgage loans secured by 149 properties.
The collateral properties are located throughout 43 MSAs, the largest three of which are Los Angeles (20.2%), New York (14.1%), and San Jose (8.7%). The pool has exposure to most of the major property types, with two types representing more than 10.0% of the pool balance: office (71.2%) and mixed use (11.1%). The loans have principal balances ranging from $5.0 million to $69.0 million for the largest loan in the pool, LA County Office Portfolio (9.5%), which is secured by five Class-A and Class-B suburban office properties that together comprise 346,786 sf and are located throughout the County of Los Angeles. The five largest loans, which also include 1633 Broadway (7.9%), 675 Creekside Way (6.0%), Hampton Roads Office Portfolio (5.8%), and 711 Fifth Avenue (5.5%) represent 34.7% of the initial pool balance, while the top 10 loans represent 59.0%.
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 11.3% 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, 43.4% less than third party appraisal values. The pool has an in-trust KLTV of 97.3% and an all-in KLTV of 109.2%. KNCF and KBRA value are key inputs for the credit model KBRA uses to rate CMBS multi-borrower transactions. 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.
- JPMDB 2020-COR7 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.
Elizabeth Yash, Associate Director (Lead Analyst)
+1 (646) 731-3346
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