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KBRA Assigns Preliminary Ratings to Bancorp 2019-CRE6
[September 12, 2019]

KBRA Assigns Preliminary Ratings to Bancorp 2019-CRE6


Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to eight classes of Bancorp 2019-CRE6, a $778.2 million static commercial real estate collateralized loan obligation (CRE CLO) securitization. Unlike the majority of CRE CLO transactions rated by KBRA, the subject transaction is a REMIC trust with no ramp-up or reinvestment provisions and the first-loss position will be sold to a third party.

The transaction will be collateralized by 83 CRE whole loans (or participations therein), all of which are floating rate loans indexed to one-month LIBOR. The loans are secured by 104 properties located in 18 states, the largest of which are Texas (39.4%), Georgia (17.8%), and Arizona (10.5%). The pool's property types include multifamily (88.5%), lodging (6.0%), office (5.3%), and mixed use (0.2%).

KBRA's analysis of the transaction involved evaluation of property cash flows and values within the loan pool using our U.S. CMBS Property Evaluation Methodology. The results of the analysis yielded KBRA values that were, on a weighted average basis, 26.5% and 43.9% lower than the appraisers' as-is and stabilized values, respectively, and a KBRA Loan to Value (KLTV) of 122.2%. The results of this analysis were utilized in the application of our U.S. CMBS Multi-Borrower Rating Methodology. The analysis also included quantitative and/or qualitative review of the various structural features of the transaction as well as a review of the legal documents, the results of which were incorporated into our ratings assignment process.

For complete details on the analysis, please see our pre-sale report, Bancorp 2019-CRE6 published at www.kbra.com.

Preliminary Ratings Assigned: Bancorp 2019-CRE6





Class

Initial Note Balance

Expected KBRA Rating

A

$422,193,000

AAA (sf)

A-S

$60,314,000

AAA (sf)

B

$49,612,000

AA- (sf)

C

$51,558,000

A- (sf)

D

$58,368,000

BBB- (sf)

E

$15,565,000

BB+ (sf)

F

$23,347,000

BB- (sf)

G

$18,483,0002

B- (sf)

H

$35,994,0002

NR

J-RR¹

$42,802,5232

NR

X

$657,610,0003

NR


1A third party purchaser, Cascade Funding, LP - Series 4, is expected to purchase the J-RR certificates, which are intended to constitute an "eligible horizontal residual interest" for purposes of the US risk retention rules.

2The exact initial certificate balances of the Class G, H, and J-RR certificates are subject to change based on final pricing.

3Notional 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. 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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