NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigned its final ratings to twelve classes of WFRBS Commercial Mortgage Trust 2012-C10, a $1.3 billion CMBS multi-borrower transaction collateralized by 85 fixed rate commercial mortgage loans that are secured by 122 properties. Concurrently, we have withdrawn our preliminary ratings on the certificates, which were assigned on November 26, 2012 (see our ratings listed below).
The five largest loans of the pool represent 33.8% of the initial pool balance and include Republic Plaza, a 1.3 million sf office building located in Denver, Colorado as well as Concord Mills (8.4%), Dayton Mall (6.3%), Stag REIT Portfolio (5.3%) and the Rogue Valley Mall (4.2%). The top ten loan exposures represent 48.9%. The underlying collateral properties are geographically diverse and located across 28 states. The largest exposure is North Carolina (18.4%), which is represented by twelve loans, including the second largest, Concord Mills. No other geographic exposure exceeds 10.0% of the pool. The pool has significant exposure to retail properties, which represent 43.8% of the pool balance while hospitality (18.8%) and office (17.2%) are the only other property types with a concentration in excess of 10%.
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 3.1% less than the issuer cash flow. KBRA capitalization rates were applied to each asset’s KNCF to derive individual property values that, on an aggregate basis, were 28.0% less than third party appraisal values. The weighted average KBRA capitalization rate for the transaction was 9.5%. The pool has an in-trust KLTV of 93.0% and an all-in LTV of 93.3%.
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: WFRBS 2012-C10
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Related publications (available at www.krollbondratings.com):
Presale Report: WFRBS 2012-C10
CMBS: WFRBS 2012-C10 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.