KBRA Assigns Preliminary Ratings to JPMCC 2019-COR4

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Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 17 classes of JPMCC 2019-COR4 (see ratings list below), a $774.1 million CMBS conduit transaction collateralized by 38 commercial mortgage loans secured by 56 properties.

The collateral properties are located in 18 states, with two state exposures, California (34.7%) and Washington (19.5%), representing more than 10.0% of the pool balance. The pool has exposure to all of the major property types, with four each representing 10.0% or more of the pool balance: retail (26.0%), office (25.8%), lodging (18.7%), and industrial (10.4%). The loans have principal balances ranging from $4.0 million to $77.0 million for the largest loan in the pool, Renaissance Seattle (9.9%), which is secured by a 557-key full-service hotel located in Seattle, Washington, within the city’s CBD. The five largest loans, which also include 400 South El Camino (9.7%), Liberty Station Retail (8.7%), Bedford Square (6.2%), and Saint Louis Galleria (6.0%), represent 40.5% of the initial pool balance, while the top 10 loans represent 57.7%.

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 CMBS Property Evaluation Methodology. On an aggregate basis, KNCF was 4.4% 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, 41.6% less than third party appraisal values. The pool has an in-trust KLTV of 102.2% and an all-in KLTV of 108.3%. 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, JPMCC 2019-COR4 published at www.kbra.com. The report includes our JPMCC 2019-COR4 KBRA Conduit KCAT, an easy to use, Excel-based workbook that provides the following information:

  • KBRA Deal Tape – Contains KBRA loan level details for every loan in the pool, and the ability for users to input adjustments to KNCF and KBRA Cap Rates and see the related impact on key deal metrics.
  • KBRA Credit Metrics Comparison Tool – Enables the user to compare the subject transaction to a user-defined transaction comp set. The feature provides many of the fields that are included in our CMBS Monthly Trend Watch publication.
  • Excel-based property cash flow statements for the top 20 loans.
 

Preliminary Ratings Assigned: JPMCC 2019-COR4

             
Class     Initial Class Balance     Expected KBRA Rating
A-1     $14,326,000     AAA(sf)
A-2     $4,611,000     AAA(sf)
A-3     $110,000,000     AAA(sf)
A-4     $100,000,000 - $173,000,0001     AAA(sf)
A-5    

$211,494,000 - $284,494,0001

    AAA(sf)
A-SB     $28,430,000     AAA(sf)
A-S     $44,510,000     AAA(sf)
B     $37,737,000     AA-(sf)
C     $38,704,000     A-(sf)
D     $25,158,000     BBB+(sf)
E     $11,031,000 - $14,514,0001     BBB(sf)2
F-RR3     $5,806,000 - $9,289,0001     BBB-(sf)2
G-RR3     $21,287,000     BB-(sf)
H-RR3     $9,677,000     B-(sf)
NR-RR3     $34,833,963     NR
X-A     $649,440,0004     AAA(sf)
X-B     $78,689,0004     AAA(sf)
X-D     $46,163,0001,4     BBB(sf)2
       
1The exact initial certificate balances will not be determined until final pricing. However, the initial certificate balances (and credit enhancement levels for Class E) are expected to fall within the above ranges. The aggregate initial certificate balance of the Class A-4 and A-5 certificates is expected to be $384,494,000, and the aggregate initial certificate balance of the Class E and F-RR certificates is expected to be $20,320,000. 2A change in the initial certificate balance or credit enhancement of either the Class E or Class F-RR classes may result in a rating one notch lower than the expected KBRA rating presented above. 3In satisfaction of the US Risk Retention rules, these classes are expected to be purchased and retained by LoanCore Capital Markets LLC or a majority-owned affiliate on the closing date. Such classes will represent an “eligible horizontal residual interest” and will represent at least 5.0% of the fair market value of all non-residual certificates issued. 4Notional balance.
 

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, is 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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Business Wire: 15:49 GMT Monday 11th February 2019

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