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Kroll Bond Rating Agency (KBRA) assigned its final ratings to thirteen classes of JPMBB 2013-C12, a $1.34 billion CMBS conduit transaction collateralized by 77 commercial mortgage loans that are secured by 107 properties. Concurrently, we have withdrawn our preliminary ratings on the certificates, which were assigned on June 5, 2013.
The loans have principal balances ranging from $1.6 million to $125.0 million for the largest loan in the pool, Legacy Place (9.3%). Legacy Place is a 575,248 sf (483,569 collateral sf) lifestyle anchored retail center located in Dedham, Massachusetts, approximately 12 miles southwest of Boston, Massachusetts. The top five loans, which also include the Americold Cold Storage Portfolio (8.2%), IDS Center (6.7%), Southridge Mall (4.1%) and Colony Hills Portfolio (3.5%), represent 31.4% of the initial pool balance, while the top 10 loans represent 45.0%. 67 loans have 10-year terms (82.0%), one loan (2.0%) has a nine-year term, one loan has a seven-year term (2.8%) and seven loans (13.2%) have a five-year term. Over half of the pool’s balance (55 loans, 51.1%) is comprised of amortizing balloon loans with no interest-only periods. There are 19 loans (45.6%) that have partial interest-only periods, and two full-term, interest-only loans (3.2%). The collateral properties are located in 33 states. The five largest state exposures represent 43.6% of the pool balance and include: Massachusetts (11.9%), Texas (10.0%), California (7.7%), Minnesota (7.6%) and New York (6.4%). The pool has exposure to four property types with concentrations in excess of 10.0%: Retail (40.4%), Multifamily (14.1%), Office (12.9%), and Hotel (12.5%).
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 incorporates 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 4.0% 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 33.6% lower than third party appraisal values. The weighted average capitalization rate for the transaction was 9.3%. The pool has an in-trust KLTV of 96.4% and an all-in KLTV of 101.7%.
The KBRA credit model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan, which are then used to assign our credit ratings.
Final Ratings Assigned: JPMBB 2013-C12
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About Kroll Bond Rating Agency
Kroll Bond Rating Agency 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.