NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 15 classes of the MSBAM 2014-C18 transaction (see ratings list below). MSBAM 2014-C18 is a $1.0 billion CMBS conduit transaction collateralized by 65 fixed rate commercial mortgage loans that are secured by 100 properties.
The underlying collateral properties are located in 24 different states and the Commonwealth of Puerto Rico, with one state exposure, California (25.4%), representing more than 10.0% of the pool balance. There is exposure to all of the major property type segments, with two that each account for over 15.0% of the pool: retail (33.2%) and office (33.2%). The loans have principal balances ranging from $2.1 million to $106.6 million for the largest loan in the pool, TKG Retail Portfolio A (10.3%), which is secured by four anchored retail centers in Colorado (2), Pennsylvania (1), and Louisiana (1). The top five loans, which also include 300 North LaSalle (9.7%), Huntington Oaks Shopping Center (5.9%), Ashford Hospitality Portfolio C1 (5.7%), and Bovet Office Center (4.6%), represent 36.2% of the initial pool balance, while the top 10 loans represent 52.8%.
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 5.3% 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, 34.5% less than third party appraisal values. The pool has an in-trust KLTV of 98.5% and an all-in KLTV of 106.9%. The 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 2014-C18 published today at www.kbra.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.
Preliminary Ratings Assigned: MSBAM 2014-C18
| Liability Structure | ||||||
| Class of Certificates | Initial Class Balance | Expected KBRA Ratings | ||||
| A-1 | $36,300,000 | AAA(sf) | ||||
| A-2 | $288,600,000 | AAA(sf) | ||||
| A-3 | $115,000,000 | AAA(sf) | ||||
| A-4 | $215,535,000 | AAA(sf) | ||||
| A-SB | $67,800,000 | AAA(sf) | ||||
| X-A | $767,146,000* | AAA(sf) | ||||
| X-B | $191,141,000* | AAA(sf) | ||||
| X-C | $43,910,000* | B-(sf) | ||||
| X-D | $30,996,667* | NR | ||||
| A-S | $43,911,000 | AAA(sf) | ||||
| B | $81,364,000 | AA(sf) | ||||
| PST | $187,266,000 | A-(sf) | ||||
| C | $61,991,000 | A-(sf) | ||||
| D | $47,786,000 | BBB-(sf) | ||||
| E | $25,829,000 | BB-(sf) | ||||
| F | $18,081,000 | B-(sf) | ||||
| G | $30,996,667 | NR | ||||
| 300 | $244,400,000** | NR | ||||
*Notional balance
**Represents aggregate balance of the Class 300 certificates, which is comprised of five classes that derive their cash flow solely from the 300 North LaSalle subordinate B note. The 300 North LaSalle senior A note with an aggregate cut-off balance of $230.6 million was split into three notes, an A-1, A-2 and A-3 note. The A-1 note with a cut-off balance of $100.0 million was also contributed to the trust and will be pooled with the other loans in the trust.
17g-7 Disclosure
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 2014-C18 17G-7 Disclosure Report.
Related publications (available at www.kbra.com):
CMBS: MSBAM 2014-C18 Presale 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
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).
