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Rating Action:

Moody's Affirms 15 CMBS Classes of MSBAM 2013-C7

Global Credit Research - 10 Jan 2014

Approximately $1.38 Billion of Structured Securities Affected

New York, January 10, 2014 -- Moody's Investors Service (Moody's) has affirmed the ratings of 15 classes in Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 Commercial Mortgage Pass-Through Certificates as follows:

Cl. A-1, Affirmed Aaa (sf); previously on Feb 4, 2013 Definitive Rating Assigned Aaa (sf)

Cl. A-2, Affirmed Aaa (sf); previously on Feb 4, 2013 Definitive Rating Assigned Aaa (sf)

Cl. A-3, Affirmed Aaa (sf); previously on Feb 4, 2013 Definitive Rating Assigned Aaa (sf)

Cl. A-4, Affirmed Aaa (sf); previously on Feb 4, 2013 Definitive Rating Assigned Aaa (sf)

Cl. A-AB, Affirmed Aaa (sf); previously on Feb 4, 2013 Definitive Rating Assigned Aaa (sf)

Cl. A-S, Affirmed Aaa (sf); previously on Feb 4, 2013 Definitive Rating Assigned Aaa (sf)

Cl. B, Affirmed Aa3 (sf); previously on Feb 4, 2013 Definitive Rating Assigned Aa3 (sf)

Cl. C, Affirmed A3 (sf); previously on Feb 4, 2013 Definitive Rating Assigned A3 (sf)

Cl. D, Affirmed Baa3 (sf); previously on Feb 4, 2013 Definitive Rating Assigned Baa3 (sf)

Cl. E, Affirmed Ba2 (sf); previously on Feb 4, 2013 Definitive Rating Assigned Ba2 (sf)

Cl. F, Affirmed Ba3 (sf); previously on Feb 4, 2013 Definitive Rating Assigned Ba3 (sf)

Cl. G, Affirmed B2 (sf); previously on Feb 4, 2013 Definitive Rating Assigned B2 (sf)

Cl. PST, Affirmed A1 (sf); previously on Feb 4, 2013 Definitive Rating Assigned A1 (sf)

Cl. X-A, Affirmed Aaa (sf); previously on Feb 4, 2013 Definitive Rating Assigned Aaa (sf)

Cl. X-B, Affirmed A2 (sf); previously on Feb 4, 2013 Definitive Rating Assigned A2 (sf)

RATINGS RATIONALE

The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges.

The ratings on the IO classes, Classes X-A and X-B, were affirmed based on the credit performance of their referenced classes.

Moody's rating action reflects a base expected loss of 2.2% of the current balance. Moody's base expected loss plus realized losses is now 2.2% of the original pooled balance. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING

The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance.

Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

DESCRIPTION OF MODELS USED

Moody's review used the excel-based CMBS Conduit Model v 2.64, which it uses for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Conduit model results at the B2 (sf) level are based on a paydown analysis using the individual loan-level Moody's LTV ratio. Moody's may consider other concentrations and correlations in its analysis. Based on the model pooled credit enhancement levels of Aa2 (sf) and B2 (sf), the required credit enhancement on the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, Moody's merges the credit enhancement for loans with investment-grade credit assessments with the conduit model credit enhancement for an overall model result. Moody's incorporates negative pooling (adding credit enhancement at the credit assessment level) for loans with similar credit assessments in the same transaction.

Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 22, the same as at securitization.

DEAL PERFORMANCE

As of the December 17, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 1% to $1.38 billion from $1.39 billion at securitization. The certificates are collateralized by 64 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans (excluding defeasance) constituting 55% of the pool. One loan, constituting 2% of the pool, has an investment grade credit assessment.

Three loans, constituting 4% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance.

No loans have been liquidated from the pool and no loans are in special servicing.

Moody's received full year 2012 operating results for 100% of the pool and full or partial year 2013 operating results for 83% of the pool. Moody's weighted average conduit LTV is 99%, compared to 101% at securitization. Moody's conduit component excludes loans with credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 6% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.4%.

Moody's actual and stressed conduit DSCRs are 1.70X and 1.05X, respectively, compared to 1.70X and 1.03X at securitization. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance.

The loan with a credit assessment is the Sunvalley Shopping Center Fee Loan ($24 million -- 1.7% of the pool). The loan is secured by a 1.4 million square foot (SF) ground lease in Concord, California. Major tenants include Sears Holding Corp. (Moody's Senior Unsecured Rating B3, stable outlook), Penney (J.C.) Corporation, Inc. (Moody's Senior Unsecured Rating Caa2, negative outlook), and Macy's, Inc. (Moody's Backed Senior Unsecured Rating Baa3, positive outlook). The loan sponsor is Taubman Realty Group L.P. Moody's credit assessment is Aaa, the same as at securitization.

The top three performing conduit loans represent 28% of the pool balance. The largest loan is the Chrysler East Building Loan ($165 million -- 12% of the pool), which is secured by a 32-story, 745,000 SF multi-tenant office building within the Grand Central office market of New York, New York. The loan sponsor is Tishman Speyer Properties. Major tenants include Credit Agricole S.A. (Moody's Senior Unsecured Rating A2, stable outlook); Grant Thornton; and Mintz, Levin, Cohn, Ferris. Moody's LTV and stressed DSCR are 113% and 0.81X, respectively, the same as at securitization.

The second largest loan is the Millennium Boston Retail Loan ($108 million -- 8% of the pool). The loan is secured by nine commercial condominium units contained within three buildings, totaling 282,066 SF of mixed use space in the Midtown/Theater District area of downtown Boston. The loan sponsor is Millennium Partners. The properties are 100% leased to nine tenants, including Loews Theater, The Sports Club/LA, and CVS. Moody's LTV and stressed DSCR are 88% and 0.98X, respectively, the same as at securitization.

The third largest loan is the Solomon Pond Mall Loan ($108 million -- 8% of the pool). The loan is secured by secured by a 399,266 SF component of a 884,758 SF regional mall located in Marlborough, MA situated approximately 27 miles west of Boston. The loan sponsors are Simon Property Group, Inc., Canadian Pension Plan Investment Board, and Teachers Insurance and Annuity Association of America. The property is anchored by Macy's, JC Penney, and Sears; however, the anchors are not part of the collateral. Regal Cinema is the property's largest tenant. Moody's LTV and stressed DSCR are 95% and, 1.11X, respectively, compared to 96% and 1.10X at securitization.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

The analysis includes an assessment of collateral characteristics and performance to determine the expected collateral loss or a range of expected collateral losses or cash flows to the rated instruments. As a second step, Moody's estimates expected collateral losses or cash flows using a quantitative tool that takes into account credit enhancement, loss allocation and other structural features, to derive the expected loss for each rated instrument.

Moody's did not use any stress scenario simulations in its analysis.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Stephanie Sun
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Michael Gerdes
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Affirms 15 CMBS Classes of MSBAM 2013-C7
No Related Data.

 

© 2014 Moody's Corporation, Moody's Investors Service, Inc., Moody's Analytics, Inc. and/or their licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

 


CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. ("MIS") AND ITS AFFILIATES ARE MOODY'S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND CREDIT RATINGS AND RESEARCH PUBLICATIONS PUBLISHED BY MOODY'S ("MOODY'S PUBLICATION") MAY INCLUDE MOODY'S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY'S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL, FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY'S OPINIONS INCLUDED IN MOODY'S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY'S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY'S ANALYTICS, INC. CREDIT RATINGS AND MOODY'S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY'S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY'S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY'S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY'S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

 


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© 2014 Moody's Investors Service, Inc., Moody’s Analytics, Inc. and/or their affiliates and licensors. All rights reserved.
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