KBRA Assigns Preliminary Ratings to WFCM 2019-C51

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 15 classes of WFCM 2019-C51 (see ratings list below), a $729.5 million CMBS conduit transaction collateralized by 53 commercial mortgage loans secured by 105 properties.

The collateral properties are located in 25 states, with three states representing more than 10.0% of the pool balance: California (18.6%), Pennsylvania (13.5%) and Arizona (11.2%). The pool has exposure to most of the property types, with the top three being office (38.5%), retail (27.5%), and mixed-use (10.6%). The loans have principal balances ranging from $1.3 to $71.0 million for the largest loan in the pool, Nova Place (9.7%), which is secured by a 1.1 million sf office condominium complex located in Pittsburgh, Pennsylvania. The five largest loans, which also include 188 Spear Street (6.4%), 450-460 Park Avenue South (6.2%), El Con Center (6.2%), and Shetland Park (6.2%), represent 34.7% of the initial pool balance, while the top 10 loans represent 54.7%.

KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of the underlying collateral properties' financial and operating performance, which determine KBRA’s estimate of sustainable net cash flow (KNCF) and KBRA value using our U.S. CMBS Property Evaluation Methodology. On an aggregate basis, KNCF was 8.3% 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, 37.5% less than third party appraisal values. The pool has an in-trust and all-in KLTV of 100.8%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan that are then used to assign our credit ratings.

For complete details on the analysis, please see our pre-sale report published at www.kbra.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 ratings that differ from the preliminary ratings.

Preliminary Ratings Assigned: WFCM 2019-C51

Class     Initial Class Balance     Expected KBRA Rating
A-1     $22,389,000     AAA (sf)
A-2     $45,489,000     AAA (sf)
A-3     $50,000,000 - $200,000,0001     AAA (sf)
A-4     $213,326,000 - $363,326,0001     AAA (sf)
A-SB     $29,432,000     AAA (sf)
A-S     $62,005,000     AAA (sf)
B     $36,474,000     AA- (sf)
C     $31,915,000     A- (sf)
D     $9,119,000 - $13,678,0001     BBB+ (sf)
E-RR2     $23,708,000 - $28,267,0001     BBB- (sf)
F-RR2     $18,237,000     BB- (sf)
G-RR2     $7,295,000     B (sf)
H-RR2     $25,532,090     NR
X-A3     $510,636,000     AAA (sf)
X-B3     $130,394,000     AAA (sf)
X-D3     $9,119,000 - $13,678,0001     BBB+ (sf)
       

1 The exact initial certificate balance (and corresponding notional balance of the Class X-D certificates) will be determined at final pricing.

2 In satisfaction of the US Risk Retention rules, these classes are expected to be purchased and retained by a third-party purchaser on the closing date. Such classes will represent an “eligible horizontal residual interest” and will represent at least 5.0% of the fair market value of all non-residual certificates issued.

3 Notional balance.

To access ratings, reports and disclosures, click here.

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

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About KBRA and KBRA Europe

KBRA is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.

Contacts

Analytical Contacts:

Christina Chou, Associate
(646) 731-3387
cchou@kbra.com

Sacheen Shah, Director
(646) 731-3363
sshah@kbra.com

Michael Brown, Managing Director
(646) 731-2307
mbbrown@kbra.com

Dayna Carley, Senior Director
(646) 731-2391
dcarley@kbra.com

Contacts

Analytical Contacts:

Christina Chou, Associate
(646) 731-3387
cchou@kbra.com

Sacheen Shah, Director
(646) 731-3363
sshah@kbra.com

Michael Brown, Managing Director
(646) 731-2307
mbbrown@kbra.com

Dayna Carley, Senior Director
(646) 731-2391
dcarley@kbra.com