Fitch Rates Benchmark 2018-B3 Mortgage Trust.
--$25,000,000 class A-1 'AAAsf'; Outlook Stable;
--$162,100,000 class A-2 'AAAsf'; Outlook Stable;
--$66,600,000 class A-3 'AAAsf'; Outlook Stable;
--$150,000,000 class A-4 'AAAsf'; Outlook Stable;
--$315,076,000 class A-5 'AAAsf'; Outlook Stable;
--$46,000,000 class A-AB 'AAAsf'; Outlook Stable;
--$849,448,000a class X-A 'AAAsf'; Outlook Stable;
--$49,164,000a class X-B 'AA-sf'; Outlook Stable;
--$84,672,000 class A-S 'AAAsf'; Outlook Stable;
--$49,164,000 class B 'AA-sf'; Outlook Stable;
--$50,530,000 class C 'A-sf'; Outlook Stable;
--$36,800,000ab class X-D 'BBB-sf'; Outlook Stable;
--$36,800,000b class D 'BBB-sf'; Outlook Stable;
--$21,924,000bc class E-RR 'BBB-sf'; Outlook Stable;
--$12,291,000bc class F-RR 'BB+sf'; Outlook Stable;
--$12,291,000bc class G-RR 'BB-sf'; Outlook Stable;
--$15,022,000bc class H-RR 'B-sf'; Outlook Stable.
The following class is not rated by Fitch:
--$45,067,711bc class NR-RR.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Horizontal credit risk retention interest.
Since Fitch published its expected ratings on March 20, 2018, class A-4 increased in size to $150,000,000 from $125,000,000 and class A-5 decreased in size to $315,076,000 from $340,076,000. The interest-only class X-B notional was reduced to $49,164,000 from $99,694,000 and the expected 'A-sf' rating was revised to 'AA-sf' based on the final deal structure. The class D and the interest-only class X-D were reduced in size to $36,800,000 from $36,873,000. The class E-RR was increased to $21,924,000 from $21,851,000. The classes above reflect the final ratings and deal structure.
The ratings are based on information provided by the issuer as of April 10, 2018.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 45 loans secured by 75 commercial properties having an aggregate principal balance of $1,092,537,712 as of the cut-off date. The loans were contributed to the trust by German American Capital Corporation, JPMorgan Chase Bank, National Association, and Citi Real Estate Funding Inc.
Fitch received a comprehensive sample of the transaction's collateral, including site inspections on 75.6% of the properties by balance, cash flow analysis of 81.2%, and asset summary reviews of 81.2% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage than Recent Transactions: The pool has average leverage relative to other recent Fitch-rated multiborrower transactions. The pool's Fitch debt service coverage ratio (DSCR) of 1.19x is lower than the YTD 2018 average of 1.27x and the 2017 average of 1.26x. The pool's Fitch loan to value (LTV) of 107.6% is higher than the YTD 2018 average of 104.0% and the 2017 average of 101.6%.
Pool Diversity: The top 10 loans comprise 45.0% of the pool, which is below the 2017 average of 53.1% and 2016 average of 54.8%. The loan concentration index (LCI) score of 327 is better than the 2017 average of 398 and 2016 average of 422.
Investment-Grade Credit Opinion Loan: One loan, representing 4.57% of the pool, has an investment-grade credit opinion. Twelve Oaks Mall has an investment-grade credit opinion of 'BBB-sf*' on a stand-alone basis.
For this transaction, Fitch's net cash flow (NCF) was 12.2% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the BMARK 2018-B3 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on our analysis or conclusions. A copy of the ABS Due Diligence Form 15-E received by Fitch in connection with this transaction may be obtained via the link at the bottom of the related rating action commentary.
REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS
A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by accessing the appendix referenced under "Related Research" below. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions," dated May 31, 2016.
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|Publication:||Daily the Pak Banker (Lahore, Pakistan)|
|Date:||Jun 29, 2018|
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