KBRA Affirms All Ratings for AREIT 2020-CRE4
10 Apr 2024 | New York
KBRA affirms all of its outstanding ratings for AREIT 2020-CRE4, a $206.8 million CRE CLO transaction with limited post-closing acquisition ability. The affirmations follow a surveillance review of the transaction, which has exhibited a worsening in overall pool performance compared to last review including a relatively high concentration of assets that have been identified as K-LOCs. However, this risk is offset by the transaction’s increased note subordination levels, primarily as a result of the full payoff of 20 loans ($423.6 million, 69.7% of the issuance collateral balance) since securitization.
At the time of this review, the total collateral balance is $206.8 million, which is comprised of six first mortgage loans secured by 10 properties. There was a 24-month acquisition period following the closing date, where certain principal proceeds could be used to acquire funded, non-trust pari passu companion participations related to the closing date assets provided the acquisition criteria were satisfied. The acquisition period ended with the June 2022 payment date.
As of the March 2024 remittance period two loans (28.0%) were reported to be matured non-performing. KBRA identified five (90.4%) of the remaining loans as K-LOCs, including the matured non-performing assets. The K-LOCs include:
- 150 Post Street (largest, 34.7% of the pool balance, 50.6% loss severity)
- Wells Fargo Center – Jacksonville (2nd largest, 19.0%, 44.7%)
- VBH Austin Portfolio (3rd largest, 16.3%)
- Voorhees & Antiques Mall Buildings (4th largest, 11.4%, 24.6%)
- 4040 NCX (6th largest, 9.0%, 46.6%)
The securitization includes an OC test, which has been satisfied during each remittance date since closing. At securitization, the majority of the loans (21 loans, 81.8% of the issuance pool balance) had related companion participations representing unfunded future advance obligations, with an aggregate unfunded amount of $114.5 million. At present, only the 150 Post Street loan (34.7% of the current loan collateral balance) has an unfunded future advance obligation totaling $4.9 million as of March 2024.
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