NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigned its final ratings to thirteen classes of WFRBS Commercial Mortgage Trust 2013-C11, a $1.4 billion CMBS multi-borrower transaction collateralized by 82 fixed rate commercial mortgage loans that are secured by 153 properties. Concurrently, we have withdrawn our preliminary ratings on the certificates, which were assigned on January 22, 2013 (see our ratings listed below).
The five largest loans of the pool represent 44.5% of the initial pool balance and the top ten represent 62.1%. They include Republic Plaza (10.8%), a 1.3 million sf office building located in Denver, Colorado, Concord Mills (8.7%), RHP Portfolio I (8.4%), 515 Madison Avenue (8.4%), and Brennan Industrial Portfolio II (8.2%). The underlying collateral properties are geographically diverse and located across 33 states. The largest exposure is Colorado (17.0%), followed by North Carolina (12.9%), and California (9.9%). The pool has significant exposure to four property types with concentrations in excess of 10%: office (35.2%), retail (22.2%), hospitality (12.1%) and manufactured housing (10.8%).
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 4.2% 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 27.3% less than third party appraisal values. The weighted average KBRA capitalization rate for the transaction was 9.3%. The pool has an in-trust KLTV of 94.9% and an all-in LTV of 97.0%.
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 2013-C11
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Related publications (available at www.krollbondratings.com):
Presale Report: WFRBS 2013-C11
CMBS: WFRBS 2013-C11 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.