NEW YORK–(COMMERCIAL THREAD) – Kroll Bond Rating Agency (KBRA) announces preliminary ratings assigned to eight classes of BXMT 2020-FL3, a $ 1.0 billion CRE CLO. The transaction includes the ability after closing to acquire stakes in loans linked to the collateral for the transaction, modify up to 20 sound loans and assign loans at par in certain circumstances.
The transaction will initially be secured by 26 loan participations which are secured by 71 properties. The principal proceeds can be used to acquire additional participations linked to the guarantee of the transaction, provided that these participations have been financed and meet the replenishment criteria set out in the deed. Securitization also allows the special service, under the direction of a subsidiary of BXMT, as the managing holder, to approve certain modifications requested by the borrower of sound loans, subject to certain restrictions and criteria.
The securitization also includes an over-collateralization cash diversion (OC) test. If the test is not met by a payment date, the interest proceeds remaining after payment of interest on the Class E Notes will be used to repay the principal balance of the Class A to E Notes in sequential order. until the tests are satisfied.
KBRA’s analysis of the transaction involved an assessment of cash flows and real estate values within the loan pool using our Methodology for evaluating the properties of CMBS in the United States. The results of the analysis yielded KBRA values that were, on a weighted average basis, 38.0% and 49.5% lower than the as-is and stabilized values of the appraisers, respectively, and a KBRA Loan to Value ( KLTV) by 122.9%. The results of this analysis were used in the application of our US CMBS multi-borrower rating methodology. The analysis also included a quantitative and / or qualitative review of the various structural characteristics of the transaction as well as a review of legal documents, the results of which were incorporated into our rating allocation process.
Further information on key credit considerations, sensitivity analyzes that examine the factors that may affect these credit ratings and how they might lead to an upgrade or downgrade, and ESG factors (when they are a key factor in changing the credit rating or rating outlook) can be found in the full rating report referenced above.
A description of all substantially significant sources that were used to prepare the credit rating and information about the method (s) (including significant models and sensitivity analyzes of the relevant key rating assumptions, if any) used to determine the credit rating is available in the United States Information Disclosure Form located here.
Information about the meaning of each rating category can be located here.
Further information relating to this rating measure is available in the US Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures can be found at www.kbra.com.
KBRA is a full-service credit rating agency registered as an NRSRO with the United States Securities and Exchange Commission. In addition, KBRA is appointed as the designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or a shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider and is a credit rating agency (ARC) certified with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe is registered with ESMA as a rating agency.