Kroll Bond Rating Agency Assigns Preliminary Ratings to WFRBS 2014-C24

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 17 classes of the WFRBS 2014-C24 transaction (see ratings list below). WFRBS 2014-C24 is a $1.1 billion CMBS conduit transaction collateralized by 86 fixed rate commercial mortgage loans that are secured by 109 properties.

The underlying collateral properties are located in 27 different states, with three state exposures each representing at least 10.0% of the pool balance: Florida (23.2%), California (19.8%) and Texas (16.9%). There is exposure to all of the major property type segments, with two that each account for over 15.0% of the pool: retail (40.7%) and office (15.8%). It is worth noting that the pool’s lodging exposure (8.7%) is lower than the range of 17 conduits rated by KBRA over the past six months. The loans have principal balances ranging from $1.6 million to $103.5 million for the largest loan in the pool, which is secured by 981,157 sf of St. John’s Town Center (9.5%), a 1.4 million sf outdoor super-regional mall located in Jacksonville, Florida. The top five loans, which also include Two Westlake Park (8.4%), Gateway Center Phase II (6.9%), Crossings at Corona (6.4%), and Hilton Biltmore Park (2.9%), comprise 34.1% of the initial pool balance, while the top 10 loans represent 46.2%.

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 3.4% 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, 36.8% less than third party appraisal values. The pool has an in-trust KLTV of 99.2% and an all-in KLTV of 103.6%. 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 2014-C24 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-C24

Class       Class Balance       Expected Rating
Class A-1       $34,202,000       AAA(sf)
Class A-2       $55,254,000       AAA(sf)
Class A-3       $86,298,000       AAA(sf)
Class A-4       $240,000,000       AAA(sf)
Class A-5       $286,297,000       AAA(sf)
Class A-SB       $59,202,000       AAA(sf)
Class X-A       $860,487,000*       AAA(sf)
Class X-B       $149,532,000*       AAA(sf)
Class X-C       $21,750,000*       BB(sf)
Class X-D       $12,235,000*       B(sf)
Class X-E       $43,500,577*       NR
Class A-S       $99,234,000       AAA(sf)
Class B       $44,860,000       AA-(sf)
Class C       $32,625,000       A-(sf)
Class PEX       $176,719,000*       A-(sf)
Class D       $72,047,000       BBB-(sf)
Class E       $21,750,000       BB(sf)
Class F       $12,235,000       B(sf)
Class G       $43,500,577       NR
Class X-SJ**       $34,400,000*       NR
Class SJ-A**       $34,400,000       NR
Class SJ-B**       $28,400,000       NR
Class SJ-C**       $30,400,000       NR
Class SJ-D**       $53,300,000       NR

*Notional balance

**Loan-specific class

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-C24 17g-7 Disclosure Report.

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

CMBS: WFRBS 2014-C24 Presale 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 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 Contacts:
Aleksandra Simanovsky, (646) 731-2434
asimanovsky@kbra.com
or
Michael Brown, (646) 731-2307
mbbrown@kbra.com
or
Dayna Volpe, (646) 731-2391
dvolpe@kbra.com
or
Josh Fischler, (646) 731-2351
jfischler@kbra.com

Contacts

Kroll Bond Rating Agency
Analytical Contacts:
Aleksandra Simanovsky, (646) 731-2434
asimanovsky@kbra.com
or
Michael Brown, (646) 731-2307
mbbrown@kbra.com
or
Dayna Volpe, (646) 731-2391
dvolpe@kbra.com
or
Josh Fischler, (646) 731-2351
jfischler@kbra.com