NEW YORK--(EON: Enhanced Online News)--Kroll Bond Rating Agency (KBRA) assigned its final ratings to 14 classes of the WFRBS 2013-C16 transaction (see ratings list below). WFRBS 2013-C16 is a $1.0 billion CMBS conduit transaction collateralized by 86 fixed rate commercial mortgage loans that are secured by 144 properties.
The loans have principal balances ranging from $700,000 to $100.0 million for the largest loan in the pool, which is secured by 746,183 sf of Westfield Mission Valley (9.6%), a 1.6 million sf regional mall and power center located in San Diego, California. The five largest loans also include Brennan Industrial Portfolio III (9.6%), Augusta Mall (5.7%), Hutton Hotel (4.2%), and David Drye Apartment Portfolio (3.5%). In the aggregate, the five largest loans represent 32.6% of the initial pool balance, while the 10 largest loans represent 45.4%. The majority of the loans (65 loans, 67.2%) were used to refinance existing debt, while the proceeds from 20 loans (30.6%) were used for property acquisitions. With respect to one portfolio loan (2.2%), the proceeds were used for both refinance and acquisition. The collateral properties are located in 33 states, with two state exposures representing more than 10.0% of the pool balance: California (17.5%) and Georgia (12.0%). The pool has exposure to one property type in excess of 20.0% of the pool balance, which is retail (32.3%).
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 using our CMBS Property Evaluation Guidelines. On an aggregate basis, KNCF was 2.3% 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, 31.5% less than third party appraisal values. The pool has an in-trust KLTV of 91.9% and an all-in KLTV of 92.8%. 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 our credit ratings.
Final Ratings Assigned: WFRBS 2013-C16
1 Notional balance equal to the aggregate outstanding balance of the
Class A-1, A-2, A-3, A-4, A-5, A-SB and A-S certificates.
2 Notional balance equal to the aggregate outstanding balance of the Class E, F, and G certificates.
3 Represents the maximum amount of Class PEX certificates that could be issued in an exchange.
Related publications (available at www.krollbondratings.com):
CMBS: WFRBS 2013-C16 Presale Report