Kroll Bond Rating Agency Assigns Preliminary Ratings to WFRBS 2014-C20

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 15 classes of the WFRBS 2014-C20 transaction (see ratings list below). WFRBS 2014-C20 is a $1.3 billion CMBS conduit transaction collateralized by 98 fixed rate commercial mortgage loans that are secured by 142 properties.

The underlying collateral properties are located in 28 different states, with three state exposures each representing more than 10.0% of the pool balance: New Jersey (14.9%), Texas (14.4%) and New York (14.1%). There is exposure to all the major property types, with four property types that each account for over 15.0% or more of the pool: retail (33.2%), hospitality (18.7%), multifamily (15.3%), and office (15.0%). The loans have principal balances ranging from $0.8 to $130.0 million for the largest loan in the pool, which is secured by Woodbridge Center (10.4%), a 1.1 million sf regional mall located in Woodbridge, New Jersey. The top five loans, which also include Bloomberg Data Center (7.0%), Worldgate Center (5.2%), Sugar Creek I & II (5.0%), and Rockwell – ARINC HQ (3.9%), represent 31.5% of the initial pool balance, while the top 10 loans represent 46.9%.

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 4.7% 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, 35.3% less than third party appraisal values. The weighted average capitalization rate for the transaction was 9.6%. The pool has an in-trust KLTV of 99.7% and an all-in KLTV of 101.1%, which was skewed by 11 cooperative apartment loans which have a low weighted average KLTV of 23.4%. Excluding these loans, the in-trust and all-in KLTV were 102.5% and 103.9%, respectively.

For complete details on the analysis, please see our presale report, WFRBS 2014-C20 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 2014-C20

Class         Class Balance         Expected Rating
A-1         $70,328,000         AAA(sf)
A-2         $95,556,000         AAA(sf)
A-3         $45,543,000         AAA(sf)
A-4         $250,000,000         AAA(sf)
A-5         $312,986,000         AAA(sf)
A-SB         $101,757,000         AAA(sf)
A-S         $62,584,000         AAA(sf)
X-A         $938,754,000*         AAA(sf)
X-B         $223,736,000*         AAA(sf)
X-C         $89,182,501*         NR
B         $95,440,000         AA-(sf)
C         $45,373,000         A-(sf)
PEX         $203,397,000         A-(sf)
D         $82,923,000         BBB-(sf)
E         $32,857,000         BB-(sf)
F         $18,775,000         B-(sf)
G         $37,550,501         NR

* Notional Amount

17g-7 Disclosure

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 2014-C20 17g-7 Disclosure Report.

Related publications (available at www.krollbondratings.com):
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 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).

Contacts

Kroll Bond Rating Agency
Analytical:
Monika Joshi, 646-731-2360
mjoshi@kbra.com
or
Christina Moy, 646-731-2327
cmoy@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Gerard Trapp, 646-731-2394
gtrapp@kbra.com

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Contacts

Kroll Bond Rating Agency
Analytical:
Monika Joshi, 646-731-2360
mjoshi@kbra.com
or
Christina Moy, 646-731-2327
cmoy@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Gerard Trapp, 646-731-2394
gtrapp@kbra.com