KBRA Assigns Preliminary Ratings to Benchmark 2022-B37

NEW YORK–(BUSINESS WIRE)–KBRA is pleased to announce the assignment of preliminary ratings to 18 classes of BMARK 2022-B37, an $832.5 million CMBS conduit transaction secured by 39 commercial mortgage loans secured by 90 properties.

Collateral properties are located in 45 MSAs, the three largest of which are New York (22.2%), Detroit (7.0%) and Jacksonville (6.0%). The pool is exposed to all major property types, with three types accounting for more than 10.0% of the pool balance: offices (26.0%), retail (24.7%) and residential (13.5%). The loans have principal balances ranging from $4.0 million to $62.5 million for the largest loan in the pool, Park West Village (7.5%), which is secured by an 850-unit multifamily property located in the Manhattan neighborhood of New York. The five largest loans, which also include 330 West 34e Street Rental Fee (7.2%), IPG Portfolio (7.2%), Hyatt Regency Jacksonville (6.0%) and 469 7e Avenue (5.9%), represent 33.8% of the initial balance of the pool, while the first 10 loans represent 56.4%.

KBRA’s analysis of the transaction incorporated our multi-borrower rating process which begins with our analysts’ assessment of the financial and operational performance of the underlying collateral properties, which determines KBRA’s estimate of cash flow net durable (KNCF) and value of KBRA using our US CMBS property. Evaluation methodology. On an aggregate basis, KNCF was 10.4% lower than the issuer’s cash flow. KBRA capitalization rates were applied to the KNCF of each asset to arrive at values ​​that were, on an aggregate basis, 45.3% lower than third party appraisal values. The pool has an in-trust KLTV of 89.3% and an all-in KLTV of 95.9%. The model deploys rent and occupancy constraints, probability of default regressions and loss given default calculations to determine losses for each secured loan which are then used to assign our credit ratings.

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Further information on key credit considerations, sensitivity analyzes that consider factors that may affect these credit ratings and how they could lead to an upgrade or downgrade, and ESG factors (where they are a key factor in changing the credit rating or rating outlook) can be viewed in the full rating report mentioned above.

A description of all substantially significant sources that were used to prepare the credit rating and information on the methodology(ies) (including all significant models and sensitivity analyzes of key relevant rating assumptions, if any) used to determine credit rating are available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be found here.

Additional information relating to this rating metric is available in the information disclosure form(s) referenced above. Additional information regarding KBRA’s policies, methodologies, grading scales and disclosures is available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a rating agency with the UK Financial Conduct Authority under the temporary registration scheme. In addition, KBRA is designated as the Designated Rating Agency 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.

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