NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to the WFRBS 2013-C16 transaction (see ratings listed 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 collateral properties are located in 33 states, with only two state exposures representing more than 10.0% of the total pool balance: California (17.5%), and Georgia (12.0%). The pool also only has exposure to one property type concentration in excess of 20.0%, which is retail (32.3%). 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 remaining top five loans consist of Brennan Industrial Portfolio III (9.6%), Augusta Mall (5.7%), Hutton Hotel (4.2%), and David Drye Apartment Portfolio (3.5%) and in the aggregate represent 32.6% of the initial pool balance, while the top 10 loans represent 45.4%.
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 NCF 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 collateral loan, which are then used to assign our credit ratings.
For complete details on the analysis, please see our Presale Report, WFRBS 2013-C16, published today at www.krollbondratings.com. The preliminary ratings are based on information known to KBRA at the time of this publication. Information received subsequent to this release could result in the assignment of final ratings that differ from the preliminary ratings.
Preliminary 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 balance of the Class B certificates.
3 Notional balance equal to the aggregate outstanding balance of the Class E, F, and G certificates.
4 Represents the maximum amount of Class PEX certificates that could be issued in an exchange.
All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report entitled CMBS: WFRBS 2013-C16 17g-7 Disclosure Report.
Related publications (available at www.krollbondratings.com):