KBRA Assigns Preliminary Ratings to WFCM 2019-C54

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 15 classes of WFCM 2019-C54 (see ratings list below), a $669.8 million CMBS conduit transaction collateralized by 44 commercial mortgage loans secured by 88 properties.

The collateral properties are located in 29 states, with the top three states represented by California (26.7%), New York (9.1%), and Ohio (6.6%). The pool has exposure to all the major property types, with the top three being office (32.0%), multifamily (21.1%), and retail (17.9%). The loans have principal balances ranging from $3.8 million to $55.0 million for the largest loan in the pool, Continental Park - Rosecrans Douglas (8.2%), which is secured by a 206,012 sf, office complex located in El Segundo, California. The five largest loans, which also include West Bountiful Commons (5.2%), Torrey Ridge Apartments (4.9%), 74 Kent Street & 11-20 46th Road (4.6%) and 77 Clinton Avenue (4.5%), represent 27.3% of the initial pool balance, while the top 10 loans represent 45.9%.

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 7.5% 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, 39.3% less than third party appraisal values. The pool has an in-trust KLTV of 105.8% and an all-in KLTV of 108.0%. 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.

Preliminary Ratings Assigned: WFCM 2019-C54

Class

Initial Class Balance

Expected KBRA Rating

A-1

$13,445,000

AAA (sf)

A-2

$25,365,000

AAA (sf)

A-SB

$21,614,000

AAA (sf)

A-3

$50,000,000 - $408,455,0001

AAA (sf)

A-4

$208,455,000 - $358,455,0001

AAA (sf)

A-S

$46,050,000

AAA (sf)

B

$31,817,000

AA (sf)

C

$32,654,000

A- (sf)

D

$14,978,000 - $20,329,0001

BBB+ (sf)

E-RR2

$16,512,000 - $21,863,0001

BBB- (sf)

F-RR2

$18,420,000

BB- (sf)

G-RR2

$6,698,000

B (sf)

H-RR2

$28,468,471

NR

X-A

$468,879,0003

AAA (sf)

X-B

$110,521,0003

AAA (sf)

X-D

$14,978,000 - $20,329,0001,3

BBB+ (sf)

1The exact initial certificate balances will not be determined until final pricing; however, they are expected to fall within the above ranges. The aggregate initial balance of the Class A-3 and A-4 certificates is expected to be approximately $408.455 million. In the event that the Class A-3 certificates are issued at $408,455,000, the Class A-4 certificates will not be issued. 2Represents an “eligible horizontal residual interest” in satisfaction of US Risk Retention rules. 3Notional balance.

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.

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:
Min Qian, CFA, Director
(646) 731-3388
mqian@kbra.com

James Wang, Senior Director
(646) 731-2450
jwang@kbra.com

Susannah Keagle, Senior Director
(646) 731-3357
skeagle@kbra.com

Business Development Contact:
Michele Patterson, Managing Director
(646) 731-2397
mpatterson@kbra.com

Contacts

Analytical Contacts:
Min Qian, CFA, Director
(646) 731-3388
mqian@kbra.com

James Wang, Senior Director
(646) 731-2450
jwang@kbra.com

Susannah Keagle, Senior Director
(646) 731-3357
skeagle@kbra.com

Business Development Contact:
Michele Patterson, Managing Director
(646) 731-2397
mpatterson@kbra.com