KBRA is pleased to announce the assignment of preliminary ratings to 13 classes of FIVE 2023-V1, a $765.5 million CMBS conduit transaction collateralized by 26 commercial mortgage loans secured by 43 properties. It is the first CMBS 2.0 conduit transaction that is collateralized solely by loans with five-year terms.
The collateral properties are located throughout 18 MSAs, of which the three largest are New York (15.1%), Los Angeles (13.5%), and Long Island (9.8%). The pool has exposure to all major property types, with five types representing more than 10.0% of the pool balance: office (29.1%), retail (26.5%), industrial (14.1%), multifamily (12.5%), and mixed-use (11.3%). The loans have principal balances ranging from $5.1 million to $75.0 million for the largest loan in the pool Green Acres (9.8%), which is secured by a 2.1 million sf regional mall and adjacent anchored retail center located in Valley Stream, New York. The five largest loans, which also include Brandywine Strategic Office Portfolio (9.8%), 3PL Distribution Center (8.7%), Sentinel Square II (8.4%), and Blue Oaks Town Center (7.4%), represent 44.1% of the initial pool balance, while the top 10 loans represent 68.9%.
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 12.1% 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, 41.1% less than third party appraisal values. The pool has an in-trust KLTV of 90.1% and an all-in KLTV of 93.0%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each…
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