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KBRA Assigns Preliminary Ratings to BANK 2020-BNK25

January 22, 2020 GMT

NEW YORK--(BUSINESS WIRE)--Jan 22, 2020--

Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 18 classes of BANK 2020-BNK25 (see ratings list below), a $1.6 billion CMBS conduit transaction collateralized by 77 commercial mortgage loans secured by 97 properties.

The collateral properties are located in 24 states, with the top three states represented by New York (33.5%), California (17.8%), and Nevada (7.1%). The pool has exposure to all the major property types, with the top three being office (41.7%), multifamily (20.9%), and lodging (17.8%). The loans have principal balances ranging from $998,487 to $100.0 million for the largest loan in the pool, 55 Hudson Yards (6.1%), which is secured by a 1.4 million sf, 51-story, Class-A office building located in the Hudson Yards neighborhood of New York City’s borough of Manhattan. The five largest loans, which also include 1633 Broadway (6.1%), Bellagio Hotel and Casino (6.1%), 545 Washington Boulevard (5.0%) and Jackson Park (4.6%), represent 27.9% of the initial pool balance, while the top 10 loans represent 48.3%.

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 6.9% 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, 40.6% less than third party appraisal values. The pool has an in-trust KLTV of 85.8% and an all-in KLTV of 94.4%. 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.

Preliminary Ratings Assigned: BANK 2020-BNK25

Class

Initial Class Balance    

Expected KBRA Rating

A-1

$15,250,000

AAA (sf)

A-2

$8,461,000

AAA (sf)

A-3

$61,183,000

AAA (sf)

A-SB

$22,612,000

AAA (sf)

A-4

$100,000,000 - $480,000,000 1

AAA (sf)

A-5

$499,284,000 - $879,284,000 1

AAA (sf)

A-S

$194,070,000

AAA (sf)

B

$62,102,000

AA- (sf)

C

$58,221,000

A- (sf)

D

$36,874,000

BBB (sf)

E

$21,347,000

BBB- (sf)

F

$29,111,000

BB- (sf)

G

$15,525,000

B- (sf)

H

$48,518,274

NR

X-A

$1,086,790,000 2

AAA (sf)

X-B

$314,393,000 2

AAA (sf)

X-D

$58,221,000 2

BBB- (sf)

X-F

$29,111,000 2

BB- (sf)

X-G

$15,525,000 2

B- (sf)

X-H

$48,518,274 2

NR

1 The exact initial certificate balances will not be determined until final pricing; however, they are expected to fall within the above ranges. 2 Notional 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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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.

View source version on businesswire.com:https://www.businesswire.com/news/home/20200122005530/en/

CONTACT: Analytical Contacts:

Elizabeth Yash, Associate Director

(646) 731-3346

eyash@kbra.com

James Wang, Senior Director

(646) 731-2450

jwang@kbra.com

Dayna Carley, Senior Director

(646) 731-2391

dcarley@kbra.com

Business Development Contact:

Michele Patterson, Managing Director

(646) 731-2397

mpatterson@kbra.com

KEYWORD: NEW YORK UNITED STATES NORTH AMERICA

INDUSTRY KEYWORD: BANKING PROFESSIONAL SERVICES FINANCE

SOURCE: Kroll Bond Rating Agency

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PUB: 01/22/2020 10:08 AM/DISC: 01/22/2020 10:08 AM

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