KBRA Assigns Preliminary Ratings to MSC 2019-H7

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 15 classes of MSC 2019-H7 (see ratings list below), a $747 million CMBS conduit transaction collateralized by 50 commercial mortgage loans secured by 81 properties.

The collateral properties are located in 22 states, with three states representing more than 10% of the pool balance: New York (26%), California (13.7%), and Nevada (10.2%). The pool has exposure to most of the property types, with the top three being retail (33.1%), lodging (19.6%), and office (13.1%). The loans have principal balances ranging from $2.9 million to $70 million for the largest loan in the pool Grand Canal Shoppes (9.4%), which is secured by a 759,891 sf specialty retail, entertainment, and dining complex located on the Strip in Las Vegas, Nevada. The five largest loans, which also include SoCal Retail Portfolio (8%), Embassy Suites at Centennial Olympic Park (6%), 125 Borinquen Place (4.7%) and Visions Hotel Portfolio ll (3.8%), represent 31.9% of the initial pool balance, while the top 10 loans represent 48.5%.

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 7.3% 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, 39.1% less than third party appraisal values. The pool has an in-trust KLTV of 98.3% and an all-in KLTV of 102.7%. 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.

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.

 

Preliminary Ratings Assigned: MSC 2019-H7

Class

Initial Class Balance

Expected KBRA Rating

A-1

$19,200,000

AAA (sf)

A-2

$29,900,000

AAA (sf)

A-SB

$26,600,000

AAA (sf)

A-3

$100,000,000 – $205,000,0001

AAA (sf)

A-4

$242,191,000 – $347,191,0001

AAA (sf)

A-S

$62,560,000

AAA (sf)

B

$33,614,000

AA (sf)

C

$34,549,000

A (sf)

D

$13,632,000 – $18,114,0001

BBB+ (sf)

E-RR2

$20,169,000 – $24,651,0001

BBB- (sf)

F-RR2

$17,741,000

BB (sf)

G-RR2

$8,403,000

B+ (sf)

H-RR2

$28,946,514

NR

X-A3

$522,891,000

AAA (sf)

X-B3

$130,723,000

AAA (sf)

X-D3

$13,632,000 – $18,114,0001

BBB+ (sf)

1 The exact initial certificate balance will be determined at final pricing; however, they are expected to fall within the above ranges; the aggregate initial certificate balance of the Class A-3 and Class A-4 certificates is expected to be approximately $447.2 million.

2Represents the “eligible horizontal residual interest” in satisfaction of the US Risk Retention rules.

3 Notional 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.

Contacts

Analytical Contacts:

Ravish Kamath, Director

(646) 731-2328

[email protected]

Michael Brown, Managing Director

(646) 731-2307

[email protected]

James Wang, Senior Director

(646) 731-2450

[email protected]

Susannah Keagle, Senior Director

(646) 731-3357

[email protected]

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