NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigned its final ratings to fourteen classes of JPMCC 2012-C8, a $1.14 billion CMBS multi-borrower transaction collateralized by 43 fixed rate commercial mortgage loans that are secured by 84 properties. Concurrently, we have withdrawn our preliminary ratings on the certificates, which were assigned on September 20, 2012 (see our ratings listed below).
The mortgage loan sellers are JPMorgan Chase Bank, National Association (JPMCB) and CIBC Inc. (CIBC). The respective contribution of each seller to the pool balance is as follows: JPMCB (37 loans, 87.8%), and CIBC (6 loans, 12.2%). The majority of the loans (31 loans, 78.7%) were used to refinance existing debt, while the proceeds from 12 loans (21.3%) were used for property acquisitions.
The loans have principal balances that range from $4.2 million to $125.0 million for the largest loan in the pool, which is secured by Battlefield Mall (11.0%), a regional mall property located in Springfield, Missouri. The top five loans, which also include National Industrial Portfolio (8.1%), 5th and Yesler (7.4%), Gallery at Harborplace (7.2%) and Ashford Office Complex (5.4%), represent 39.1% of the initial pool balance, and the top 10 loan exposures represent 58.5%. The properties are geographically diverse and located across 22 states with the three largest state concentrations being Texas (19.6%), Maryland (12.7%) and Missouri (11.0%). The pool has exposure to three property types with concentrations in excess of 10%: office (35.6%), retail (26.2%) and mixed use (16.3%).
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 3.8% less than the issuer cash flow. KBRA capitalization rates were applied to each asset’s KCNF to derive individual property values that, on an aggregate basis, were 32.5% less than third party appraisal values. The pool has an in-trust KLTV of 96.2% and an all-in LTV of 99.1%.
KNCF and KBRA capitalization rates were among the key inputs used in our credit modeling process. The 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: JPMCC 2012-C8
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Related publications (available at www.krollbondratings.com):
Presale Report: JPMCC 2012-C8
CMBS: JPMCC 2012-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.