Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 17 classes of JPMDB 2019-COR6 (see ratings list below), an $807.2 million CMBS conduit transaction collateralized by 32 commercial mortgage loans secured by 117 properties.
The collateral properties are located in 27 states, with the top three states represented by California (34.1%), Illinois (8.5%), and New York (8.0%). The pool has exposure to all the major property types, with the top three being office (59.2%), multifamily (12.5%), and retail (11.6%). The loans have principal balances ranging from $3.4 million to $62.5 million for the largest loan in the pool, Century Plaza Towers (7.7%), which is secured a 2.4 million sf, Class-A, LEED Gold certified office complex located in Century City neighborhood of Los Angeles, approximately 10 miles west of the city's CBD. The five largest loans, which also include Los Angeles Leased Fee Portfolio (7.6%), Innovation Park (6.8%), 12555 & 12655 Jefferson (6.7%), and Hyde Park Multifamily Portfolio (5.8%), represent 34.6% of the initial pool balance, while the top 10 loans represent 57.5%.
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 7.5% 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, 42.3% less than third party appraisal values. The pool has an in-trust KLTV of 99.8% and an all-in KLTV of 103.7%. 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.
Preliminary Ratings Assigned: JPMDB 2019-COR6
Initial Class Balance
$51,141,000 - $178,992,0001
$318,234,000 - $446,085,0001
1The exact initial certificate balances will not be determined until final pricing; however, they are expected to fall within the above ranges. 2Notional 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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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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