Kroll Bond Rating Agency Assigns Preliminary Ratings to WFCM 2015-NXS4

NEW YORK--()--Kroll Bond Rating Agency, Inc. (KBRA) is pleased to announce the assignment of preliminary ratings to 19 classes of the WFCM 2015-NXS4 transaction (see ratings listed below). WFCM 2015-NXS4 is a $774.5 million CMBS conduit transaction collateralized by 62 fixed rate commercial mortgage loans that are secured by 73 properties.

The underlying collateral properties are located in 26 states and Puerto Rico, with three state exposures each representing more than 10.0% of the pool balance: California (15.8%), New York (12.4%) and Texas (10.4%). The pool has exposure to all the major property types, with three that each represents more than 10.0% of the pool balance: retail (30.7%), office (24.4%), and lodging (18.9%). The loans have principal balances ranging from $1.5 million to $70.0 million for the largest loan in the pool, One Court Square. One Court Square is a 1.4 million sf, Class-A office building located in Long Island City, New York. The top five loans, which also include Keurig Green Mountain (6.5%), Renaissance Phoenix Downtown (6.3%), Robertson’s Creek Shopping Center (6.2%), and WPC Self Storage VIII (4.6%), represent 32.6% of the initial pool balance, while the top 10 loans represent 49.3%.

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 5.7% 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, 37.9% less than third party appraisal values. The pool has an in-trust KLTV of 103.7% and an all-in KLTV of 115.2%. 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-NXS4 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.

Preliminary Ratings Assigned: WFCM 2015-NXS4

Class     Initial Class Balance     Expected KBRA Rating
A-1     $23,517,000     AAA(sf)
A-2A     $66,792,000     AAA(sf)
A-2B     $66,792,000     AAA(sf)
A-3     $100,000,000     AAA(sf)
A-4     $238,283,000(1)     AAA(sf)
A-4FL     $238,283,000(1)     AAA(sf)
A-SB     $46,743,000     AAA(sf)
X-A     $582,786,000(2)     AAA(sf)
X-B     $44,532,000(2)     AAA(sf)
X-F     $19,361,000(2)     BB-(sf)
X-G     $8,713,000(2)     B-(sf)
X-H     $36,787,698(2)     NR
A-S     $40,659,000     AAA(sf)
B     $44,532,000     AA-(sf)
C     $37,756,000     A-(sf)
D     $25,170,000     BBB(sf)
X-D     $44,532,000(2)     BBB-(sf)
E     $19,362,000     BBB-(sf)
F     $19,361,000     BB-(sf)
G     $8,713,000     B-(sf)
H     $36,787,698     NR

(1) The aggregate initial balance of the A-4, A-4FL and A-4FX certificates will be $238,283,000.
(2) Notional balance.

Representations & Warranties 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-NXS4 Representations & Warranties Disclosure Report.

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

CMBS: WFCM 2015-NXS4 Presale Report
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012
CMBS Property Evaluation Guidelines, published March 3, 2015

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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, Inc.
Analytical Contacts:
Lynn D’Eugenio, (646) 731-2487
ldeugenio@kbra.com
or
James Wang, (646) 731-2450
jwang@kbra.com
or
Joseph Kelly, (646) 731-2365
jkelly@kbra.com
or
Robin Regan, (646) 731-2358
rregan@kbra.com

Contacts

Kroll Bond Rating Agency, Inc.
Analytical Contacts:
Lynn D’Eugenio, (646) 731-2487
ldeugenio@kbra.com
or
James Wang, (646) 731-2450
jwang@kbra.com
or
Joseph Kelly, (646) 731-2365
jkelly@kbra.com
or
Robin Regan, (646) 731-2358
rregan@kbra.com