Fitch Rates Benchmark 2018-B4 Mortgage Trust.
--$22,568,000 class A-1 'AAAsf'; Outlook Stable;
--$137,057,000 class A-2 'AAAsf'; Outlook Stable;
--$30,000,000 class A-3 'AAAsf'; Outlook Stable;
--$41,328,000 class A-SB 'AAAsf'; Outlook Stable;
--$240,000,000 class A-4 'AAAsf'; Outlook Stable;
--$339,983,000 class A-5 'AAAsf'; Outlook Stable;
--$922,439,000a class X-A 'AAAsf'; Outlook Stable;
--$111,503,000 class A-M 'AAAsf'; Outlook Stable;
--$55,028,000 class B 'AA-sf'; Outlook Stable;
--$49, 236,000 class C 'A-sf'; Outlook Stable;
--$55,028,000ab class X-B 'AA-sf'; Outlook Stable;
--$23,000,000ab class X-D 'BBBsf'; Outlook Stable;
--$23,000,000b class D 'BBBsf'; Outlook Stable;
--$34,924,000bc class E-RR 'BBB-sf'; Outlook Stable;
--$21,721,000bc class F-RR 'BB-sf'; Outlook Stable;
--$11,585,000bc class G-RR 'B-sf'; Outlook Stable;
The following class is not rated:
--$40,547,279bc class H-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 June 21, 2018, the balance of class D and the notional balance of X-D decreased from $23,335,000 to $23,000,000 and the balance of class E-RR increased from $34,589,000 to $34,924,000. The classes above reflect the final ratings and deal structure.
The ratings are based on information provided by the issuer as of July 12, 2018.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 44 loans secured by 60 commercial properties having an aggregate principal balance of $1,158,480,279 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 reviewed a comprehensive sample of the transaction's collateral, including site inspections on 82.3% of the properties by balance, cash flow analysis of 91.8% and asset summary reviews of 100% of the pool.
KEY RATING DRIVERS
Lower Fitch LTV Than Recent Transactions: The pool exhibits better LTV metrics than recent Fitch-rated multiborrower transactions. The pool's Fitch LTV of 98.2% is lower than the 2017 and YTD 2018 averages of 101.6% and 103.6%, respectively. Despite the relatively strong Fitch LTV, the pool's Fitch DSCR of 1.19x is weaker than the 2017 and YTD 2018 averages of 1.26x and 1.25x, respectively.
Investment-Grade Credit Opinion Loans: Five loans comprising 28.9% of the transaction received an investment-grade credit opinion. Aventura Mall (9.9% of the pool) received a credit opinion of 'Asf*' on a stand-alone basis. 181 Fremont Street (6.9% of the pool) received a stand-alone credit opinion of 'BBB-sf*'. The Gateway (4.3% of the pool) received a stand-alone credit opinion of 'BBBsf*'. AON Center (4.3% of the pool) received a stand-alone credit opinion of 'BBB-sf*'. 65 Bay Street (3.5% of the pool) received a stand-alone credit opinion of 'BBBsf*'. Net of these loans, the pool's Fitch DSCR and LTV are 1.14x and 110.6%, respectively.
Weak Amortization: Eighteen loans (53.4% of the pool) are full-term interest-only, and 15 loans (26.9% of the pool) are partial interest-only. The pool is scheduled to amortize 5.9% of the initial pool balance by maturity, which is lower than the 2017 and YTD 2018 averages of 7.9% and 7.3%, respectively.
For this transaction, Fitch's NCF was 9.4% below the most recent year's 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-B4 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 'Asf' 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. Page 11 of 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 and 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 it did not have an effect on Fitch's analysis or conclusions.
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:||Oct 11, 2018|
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