KBRA Assigns Preliminary Ratings to Benchmark 2021-B29
Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 18 classes of Benchmark 2021-B29, a $1.1 billion CMBS conduit transaction collateralized by 47 commercial mortgage loans secured by 90 properties.
The collateral properties are located throughout 34 MSAs, of which the three largest are New York (30.0%), Phoenix (9.1%), and San Jose (8.8%). The pool has exposure to all major property types, with three types representing more than 15.0% of the pool balance: office (30.7%), retail (30.1%), and multifamily (17.2%). The loans have principal balances ranging from $3.5 million to $112.0 million for the largest loan in the pool, One SoHo Square (10.0%), which is secured by a 786,891 sf, Class-A office complex located in the Hudson Square neighborhood of New York City's borough of Manhattan. The five largest loans, which also include HQ @ First (8.8%), Watermark Tempe (7.9%), 2 Washington (7.1%), and The Domain (5.7%), represent 39.5% of the initial pool balance, while the top 10 loans represent 54.8%.
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 9.9% 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, 41.9% less than third party appraisal values. The pool has an in-trust KLTV of 96.7% and an all-in KLTV of 107.6%. 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.
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 Information Disclosure Form(s) 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 Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.
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