NEW YORK--(EON: Enhanced Online News)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of final ratings to 14 classes of the MSBAM 2013-C12 transaction (see ratings listed below). MSBAM 2013-C12 is a $1.3 billion CMBS conduit transaction collateralized by 72 fixed-rate commercial mortgage loans that are secured by 93 properties.
The loans have principal balances ranging from $2.4 million to $130.0 million for the largest loan in the pool, which is secured by Merrimack Premium Outlets (10.2%), a 408,996 sf retail outlet center located in Merrimack, New Hampshire. The five largest loans, which also include 15 MetroTech Center (7.0%), City Creek Center (6.6%), Marriott Chicago River North Hotel (5.1%), and Westfield Countryside (4.3%), represent 33.3% of the initial pool balance, while the 10 largest loans represent 48.7%. The collateral properties are located in 23 different states, with four state exposures that each account for more than 10.0% of the pool balance: Texas (13.4%), New York (11.4%), Florida (10.9%), and New Hampshire (10.2%). The loans were contributed by three loan sellers, Morgan Stanley Mortgage Capital Holdings LLC (42 loans, 59.2%), Bank of America, National Association (23 loans, 30.5%) and CIBC, Inc. (7 loans, 10.3%). The majority of the loans (55 loans, 84.5% of the pool balance) were used to refinance existing debt, while the proceeds from 17 loans (15.5%) were used for property acquisitions.
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 using our CMBS Property Evaluation Guidelines. On an aggregate basis, KNCF was 3.7% less than the issuer cash flow. KBRA capitalization rates were applied to each asset’s KNCF to derive values that were, on an aggregate basis, 34.6% less than third party appraisal values. The pool has an in-trust KLTV of 97.7% and an all-in KLTV of 99.0%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each loan, which are then used to assign the credit ratings.
Final Ratings Assigned: MSBAM 2013-C12
1 Notional balance equal to the aggregate outstanding balance
of the Class A-1, A-2, A-3, A-4, A-SB and A-S certificates.
2 Notional balance equal to the aggregate outstanding balance of the Class F, G, and H certificates.
3 Represents the maximum amount of Class PST certificates that could be issued in an exchange, as described in the presale report.
Related publications (available at www.krollbondratings.com):
CMBS: MSBAM 2013-C12 Presale Report
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012
CMBS Property Evaluation Guidelines, published June 10, 2011