KBRA Assigns Preliminary Ratings to JPMCC 2019-COR4

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of
preliminary ratings to 17 classes of JPMCC 2019-COR4 (see ratings list
below), a $774.1 million CMBS conduit transaction collateralized by 38
commercial mortgage loans secured by 56 properties.

The collateral properties are located in 18 states, with two state
exposures, California (34.7%) and Washington (19.5%), representing more
than 10.0% of the pool balance. The pool has exposure to all of the
major property types, with four each representing 10.0% or more of the
pool balance: retail (26.0%), office (25.8%), lodging (18.7%), and
industrial (10.4%). The loans have principal balances ranging from $4.0
million to $77.0 million for the largest loan in the pool, Renaissance
Seattle (9.9%), which is secured by a 557-key full-service hotel located
in Seattle, Washington, within the city’s CBD. The five largest loans,
which also include 400 South El Camino (9.7%), Liberty Station Retail
(8.7%), Bedford Square (6.2%), and Saint Louis Galleria (6.0%),
represent 40.5% of the initial pool balance, while the top 10 loans
represent 57.7%.

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 CMBS
Property Evaluation Methodology
. On an aggregate basis, KNCF was
4.4% 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, 41.6% less than third party appraisal values. The pool has an
in-trust KLTV of 102.2% and an all-in KLTV of 108.3%. 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, JPMCC
published at www.kbra.com.
The report includes our JPMCC
2019-COR4 KBRA Conduit KCAT
an easy to use, Excel-based
workbook that provides the following information:

  • KBRA Deal Tape – Contains KBRA loan level details for every loan in
    the pool, and the ability for users to input adjustments to KNCF and
    KBRA Cap Rates and see the related impact on key deal metrics.
  • KBRA Credit Metrics Comparison Tool – Enables the user to compare the
    subject transaction to a user-defined transaction comp set. The
    feature provides many of the fields that are included in our CMBS
    Monthly Trend Watch publication.
  • Excel-based property cash flow statements for the top 20 loans.

Preliminary Ratings Assigned: JPMCC 2019-COR4

Class     Initial Class Balance     Expected KBRA Rating
A-1     $14,326,000     AAA(sf)
A-2     $4,611,000     AAA(sf)
A-3     $110,000,000     AAA(sf)
A-4     $100,000,000 – $173,000,0001     AAA(sf)

$211,494,000 – $284,494,0001

A-SB     $28,430,000     AAA(sf)
A-S     $44,510,000     AAA(sf)
B     $37,737,000     AA-(sf)
C     $38,704,000     A-(sf)
D     $25,158,000     BBB+(sf)
E     $11,031,000 – $14,514,0001     BBB(sf)2
F-RR3     $5,806,000 – $9,289,0001     BBB-(sf)2
G-RR3     $21,287,000     BB-(sf)
H-RR3     $9,677,000     B-(sf)
NR-RR3     $34,833,963     NR
X-A     $649,440,0004     AAA(sf)
X-B     $78,689,0004     AAA(sf)
X-D     $46,163,0001,4     BBB(sf)2
1The exact initial certificate balances will not be
determined until final pricing. However, the initial certificate
balances (and credit enhancement levels for Class E) are expected to
fall within the above ranges. The aggregate initial certificate
balance of the Class A-4 and A-5 certificates is expected to be
$384,494,000, and the aggregate initial certificate balance of the
Class E and F-RR certificates is expected to be $20,320,000. 2A
change in the initial certificate balance or credit enhancement of
either the Class E or Class F-RR classes may result in a rating one
notch lower than the expected KBRA rating presented above. 3In
satisfaction of the US Risk Retention rules, these classes are
expected to be purchased and retained by LoanCore Capital Markets
LLC or a majority-owned affiliate on the closing date. Such classes
will represent an “eligible horizontal residual interest” and will
represent at least 5.0% of the fair market value of all non-residual
certificates issued. 4Notional 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, is 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.


Analytical Contacts:
Kelly, Associate
(646) 731-3362

Cent Wong, Senior Managing Director
(646) 731-2374

Shah, Director
(646) 731-3363

Keagle, Senior Director
(646) 731-3357

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