Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 16 classes of the WFCM 2015-C26 transaction (see ratings list below). WFCM 2015-C26 is a $1.0 billion CMBS conduit transaction collateralized by 100 fixed rate commercial mortgage loans that are secured by 116 properties.
The underlying collateral properties are located in 28 states, with two states representing more than 10.0% of the pool balance: California (15.3%) and Texas (14.9%). The pool has exposure to all the major property types, with three that represent more than 10.0% of the pool balance: multifamily (29.7%), retail (25.8%) and lodging (21.5%). The loans have principal balances ranging from $0.8 million to $45.9 million for the largest loan in the pool, Chateau on the Lake (4.8%), a 301-key full-service hotel located in Branson, Missouri. The top five loans, which also include Trails at Dominion (4.2%), JW Marriott New Orleans (4.1%), Broadcom Building (3.7%), and Aloft Houston by the Galleria (3.4%), represent 20.3% of the initial pool balance, while the top 10 loans represent 34.2%.
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 3.6% 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, 34.3% less than third party appraisal values. The pool has an in-trust KLTV of 99.8% and an all-in KLTV of 102.7%. 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-C26 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-C26 | ||||
| Class | Class Balance | Expected Rating | ||
| Class A-1 | $69,600,000 | AAA(sf) | ||
| Class A-2 | $37,759,000 | AAA(sf) | ||
| Class A-3 | $225,000,000 | AAA(sf) | ||
| Class A-4 | $252,840,000 | AAA(sf) | ||
| Class A-SB | $88,249,000 | AAA(sf) | ||
| Class X-A | $750,414,000** | AAA(sf) | ||
| Class X-B | $138,297,000** | AAA(sf) | ||
| Class X-C | $19,242,000** | BB(sf) | ||
| Class X-D | $9,620,000** | B(sf) | ||
| Class X-E | $44,496,709** | NR | ||
| Class A-S | $76,966,000 | AAA(sf) | ||
| Class B | $42,090,000 | AA-(sf) | ||
| Class C | $49,306,000 | A-(sf) | ||
| PEX | $168,362,000 *** | A-(sf) | ||
| Class D | $46,901,000 | BBB-(sf) | ||
| Class E | $19,242,000 | BB(sf) | ||
| Class F | $9,620,000 | B(sf) | ||
| Class G | $44,496,709 | NR | ||
*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.
**Notional balance
***Maximum amount
that can 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-C26 17g-7 Disclosure Report.
Related publications (available at www.kbra.com):
CMBS:
WFCM 2015-C26 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).
