NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigned its final ratings to 13 classes of the WFRBS 2013-C15 transaction (see ratings list below). WFRBS 2013-C15 is a $1.1 billion CMBS conduit transaction collateralized by 86 fixed rate commercial mortgage loans that are secured by 136 properties.
The underlying collateral properties are located in 26 states. The three largest state exposures are California (21.0%), New York (12.4%), and North Carolina (11.4%). The pool has exposure to four property types with concentrations in excess of 10.0%, including retail (37.6%), lodging (18.0%), office (15.7%), and multifamily (14.5%). The loans have principal balances ranging from $1.0 million to $110.0 million for the largest exposure in the pool, which is secured by 500,222 sf of Augusta Mall (9.9%), a 1.1 million sf regional mall located in Augusta, Georgia. The top five loans, which also include Molina Office Portfolio (9.4%), Meritage Resort & Spa (8.3%), Carolina Place (7.7%), and Kitsap Mall (7.0%), represent 42.3% of the initial pool balance, while the top 10 loans represent 56.2%.
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 using our CMBS Property Evaluation Guidelines. On an aggregate basis, KNCF was 2.4% less than the issuer cash flow. KBRA capitalization rates were applied to each asset’s NCF to derive values that were, on an aggregate basis, 32.1% less than third party appraisal values. The pool has an in-trust KLTV of 88.6% and an all-in KLTV of 91.2%. 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.
Final Ratings Assigned: WFRBS 2013-C15
|Class||Class Balance||Expected Rating|
* Notional Amount
Related publications (available at www.krollbondratings.com):
CMBS Presale Report: WFRBS 2013-C15
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).