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Kroll Bond Rating Agency (KBRA) assigned its final ratings to fourteen classes of MSBAM 2013-C8, a $1.14 billion CMBS conduit transaction collateralized by 54 fixed rate commercial mortgage loans that are secured by 62 properties. Concurrently, we have withdrawn our preliminary ratings on the certificates, which were assigned on January 29, 2013 (see our ratings listed below).
The loans have principal balances ranging from $2.2 million to $115.0 million for the largest loan in the pool, which is secured by The Crossings Premium Outlets (10.1%, a 411,223 sf anchored retail establishment located in Tannersville, Pennsylvania. The top five loans, which also include Chrysler East Building (8.8%), Boston Park Plaza (8.3%), The Wanamaker Building (6.7%) and Hyatt Regency Hill Country Resort and Spa (5.4%), represent 39.3% of the initial pool balance, while the top 10 loans represent 59.5%. The underlying collateral properties are geographically diverse as they are located in 20 states. The largest state exposure is Pennsylvania (21.1%). With the exception of New York (16.4%), and Texas (13.8%), no other geographic concentration exceeds 10.0% of the pool. The transaction has exposure to all of the major property sectors. There are three property types that together represent 79.8% of the pool, however, which include: retail (34.3%), office (26.3%), and lodging (19.2%).
KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of underlying collateral properties' financial and operating performance, which determine KBRA’s estimate of sustainable net cash flow (KNCF) and KBRA value. The analysis included a detailed evaluation of the underlying collateral properties’ financial and operating performance using our CMBS Property Evaluation Guidelines to determine Kroll Net Cash Flow (KNCF), which on an aggregate basis was 3.4% less than the issuer cash flow. KBRA capitalization rates were applied to each asset’s KNCF to derive individual property values that, on an aggregate basis, were 37.0% less than third party appraisal values. The weighted average KBRA capitalization rate for the transaction was 9.3%. The pool has an in-trust KLTV of 91.0% and an all-in LTV of 96.4%.
The KBRA model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan that were used by KBRA to assign our credit ratings for this transaction.
Final Ratings Assigned: MSBAM 2013-C8
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Related publications (available at www.krollbondratings.com):
Presale Report: MSBAM 2013-C8 Presale Report
CMBS: MSBAM 2013-C8 17-g7 Disclosure Report
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012
CMBS Property Evaluation Guidelines, published June 10, 2011
About Kroll Bond Rating Agency
Kroll Bond Rating Agency, Inc. (www.krollbondratings.com) is registered with the SEC as a nationally recognized statistical rating organization (NRSRO). Kroll Bond Rating Agency was established in 2010 to restore trust in credit ratings by establishing new standards for assessing risk and by offering accurate, clear, and transparent ratings.