Kroll Bond Rating Agency Preliminary Ratings to MSBAM 2013-C8
Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings for the MSBAM 2013-C8 transaction (see ratings list below). MSBAM 2013-C8 is a $1.14 billion CMBS conduit transaction collateralized by 54 fixed rate commercial mortgage loans that are secured by 62 properties.
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 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). The resulting KNCF for the collateral properties was 3.4% less than the issuer cash flow on a weighted average basis. KBRA capitalization rates were applied to each asset's KNCF to derive individual property values that, on an aggregate basis, were 37.0% 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 91.0% and an all-in KLTV of 96.4%.
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.
For complete details on the analysis, please see our presale report, MSBAM 2013-C8, published today at www.krollbondratings.com.
The preliminary ratings are based on information known to KBRA at the time of this publication. Information received subsequent to this release could result in the assignment of final ratings that differ from the preliminary ratings.
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All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction's representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA's disclosure for this transaction can be found in the report entitled CMBS: MSBAM 2013-C8 17g-7 Disclosure Report.
Related publications (available at www.krollbondratings.com):
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
KBRA was established in 2010 by Jules Kroll to restore trust in credit ratings by creating new standards for assessing risk and by offering accurate, clear and transparent ratings. KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).