KBRA Affirms All Ratings for BXMT 2020-FL3
1 Nov 2024 | New York
KBRA affirms all of its outstanding ratings for BXMT 2020-FL3, a CRE CLO transaction with limited post-closing acquisition ability. The affirmations follow a surveillance review of the transaction, which has exhibited a worsening in collateral performance since securitization including the addition of K-LOCs. However, the magnitude of the changes does not warrant ratings adjustments at this time.
At the time of this review, the total collateral balance is $757.2 million, which is comprised of 13 first mortgage loans secured by 15 properties. For the life of the transaction, the issuer was permitted to acquire funded companion participations related to the closing date assets, provided the replenishment criteria are satisfied, which included a HERF threshold. Since last review, two loan (12.0% of the issuance balance) paid off in full and the proceeds were used to paydown the A notes.
As of the October 2024 remittance period, there are no specially serviced or delinquent loans. However, KBRA identified nine loans (60.1% of the pool) as K-LOCs. These include six top 10 loans (48.2%):
- One South Wacker (2nd largest, 12.2% of the pool, 17.7% estimated loss severity)
- Woolworth Building (3rd largest, 11.8%, 8.0%)
- Bergamot Station (7th largest, 7.5%, 6.2%)
- 444 North Michigan (8th largest, 5.8%, 7.4%)
- Orange County Office Portfolio (9th largest, 5.6%)
- Washington Square (10th largest, 5.3%)
One additional loan has an estimated loss given default:
- Falchi Building (5.0%, 28.6%)
The remaining two loans represent 7.0% of the pool.
The transaction’s WA KLTV is 121.2%, compared to 132.0% at last review and 122.9% at securitization. The KDSC at Index Cap is 1.15x, compared to 1.13x at last review and 1.19x at closing. The overcollateralization and interest coverage tests have each been satisfied during each distribution date since issuance.
At securitization, 24 loans (93.6% of total collateral balance) had related companion participations representing unfunded future advance obligations, with an aggregate unfunded amount of $782.8 million. In total, there are currently seven loans (55.9% of the current pool), with unfunded future advance obligations with an aggregate of $114.1 million unfunded as of June 2024.
To access ratings and relevant documents, click here.
Click here to view the report.