Kroll Bond Rating Agency Assigns Preliminary Ratings to WFCM 2015–C27

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 17 classes of the WFCM 2015–C27 transaction (see ratings list below). WFCM 2015–C27 is a $1.0 billion CMBS conduit transaction collateralized by 95 fixed rate commercial mortgage loans that are secured by 124 properties.

The underlying collateral properties are located in 30 states, with two states representing more than 10.0% of the pool balance: California (16.6%) and Florida (13.0%). The pool has exposure to all the major property types, with five that represent more than 10.0% of the pool balance: retail (23.6%), lodging (21.6%), office (20.2%), self-storage (14.7%) and multifamily (12.0%). The loans have principal balances ranging from $1.1 million to $62.5 million for the largest loan in the pool, Westfield Palm Desert (6.0%), a 979,108 sf regional mall located in Palm Desert, California, approximately 80 miles northeast of San Diego. The top five loans, which also include WPC Self Storage Portfolio VI (4.6%), 312 Elm (4.4%), Marriott Greensboro (4.2%), and Capital Penn Self-Storage Portfolio (3.6%), represent 22.7% of the initial pool balance, while the top 10 loans represent 37.0%. More than two-thirds of the aggregate transaction balance (52 loans, 69.0%) is comprised of loans with interest-only (IO) periods: 49 (59.8%) are partial-term IO loans and three (9.1%) are full-term IO loans. The balance of the pool is comprised of amortizing balloon loans (43 loans, 31.0%) that require principal payments throughout their respective terms.

KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of the 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 3.6% 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, 34.5% less than third party appraisal values. The pool has an in-trust KLTV of 104.1% and an all-in KLTV of 104.6%. 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, WFCM 2015–C27 published today at www.kbra.com. The report includes our new KBRA Comparative Analytic Tool (KCAT). KCAT is an easy to use, Excel based workbook that provides the following information:

  • KBRA Deal Tape – Contains KBRA loan level details for every loan in the pool, and the ability for users to input adjustments to KNCF and KBRA Cap Rates and see the related impact on key deal metrics.
  • KBRA Credit Metrics Comparison Tool – Enables the user to compare the subject transaction to a user-defined transaction comp set. The feature provides many of the fields that are provided in our CMBS Monthly Trend Watch publication.
  • Excel based property cash flow statements for the top 20 loans.

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: WFCM 2015–C27

Class       Class Balance       Expected Rating
A-1       $50,293,000       AAA(sf)
A-2       $7,934,000       AAA(sf)
A-3       $36,418,000       AAA(sf)
A-4       $240,000,000       AAA(sf)
A-5       $309,207,000       AAA(sf)
A-SB       $89,627,000       AAA(sf)
X-A       $813,376,000       AAA(sf)
X-B       $158,484,000       AAA(sf)
X-E       $26,196,000       BB-(sf)
X-F       $17,027,000       B-(sf)
X-G       $32,745,035       NR
A-S       $79,897,000       AAA(sf)
B       $45,842,000       AA(sf)
C       $68,109,000       A-(sf)
PEX       $193,848,000       A-(sf)
D       $44,533,000       BBB-(sf)
E       $26,196,000       BB-(sf)
F       $17,027,000       B-(sf)
G       $32,745,035       NR

* Notional Amount

** Represents the maximum amount of Class PEZ certificates that could be issued.

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: WFCM 2015–C27 17g-7 Disclosure Report.

Related publications: (available at www.kbra.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

Analytical:
Kroll Bond Rating Agency
Matthew Hoysa, 215-882-5846
mhoysa@kbra.com
or
Joseph Kelly, 646-731-2365
jkelly@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Darrick Antell, 646-731-2338
dantell@kbra.com

Contacts

Analytical:
Kroll Bond Rating Agency
Matthew Hoysa, 215-882-5846
mhoysa@kbra.com
or
Joseph Kelly, 646-731-2365
jkelly@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Darrick Antell, 646-731-2338
dantell@kbra.com