Kroll Bond Rating Agency, Inc. (KBRA) is pleased to announce the assignment of preliminary ratings to 16 classes of the WFCM 2016-C32 transaction (see ratings list below). WFCM 2016-C32 is a $960.0 million CMBS conduit transaction collateralized by 112 commercial mortgage loans secured by 152 properties.

The underlying collateral properties are located in 33 states, with three state exposures, New York (17.6%), California (11.9%) and Texas (11.6%), that represent more than 10.0% of the pool balance. There is exposure to all the major property type segments, with five that represent more than 10.0% of the pool balance: retail (26.5%), multifamily (19.1%), lodging (16.2%), office (13.4%) and industrial (11.2%). The loans have principal balances ranging from $994,295 to $81.3 million for the largest loan in the pool, North Dallas Retail Portfolio (8.5%), which is secured by eight grocery-anchored centers located in four cities within the Dallas – Fort Worth MSA. The top five loans, which also include Marriott Melville Long Island (6.1%), Technology Station (5.2%), Chicago Industrial Portfolio I (4.6%) and Preferred Freezer - Newark (3.8%), represent 28.2% of the initial pool balance, while the top 10 loans represent 41.3%.

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 Methodology. 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, 37.0% less than third party appraisal values. The pool has an in-trust KLTV of 96.0% and an all-in KLTV of 98.3%. 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 2016-C32 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 2016-C32

Class   Class Balance (US$)   Expected Rating
A-1   $40,045,000   AAA(sf)
A-2   $45,913,000   AAA(sf)
A-3   $200,000,000   AAA(sf)
A-4   $319,738,000   AAA(sf)
A-SB   $66,289,000   AAA(sf)
X-A   $749,984,000*   AAA(sf)
X-B   $64,798,000*   AAA(sf)
X-E   $23,999,000*   BB-(sf)
X-F   $12,000,000*   B-(sf)
X-G   $35,999,761*   NR
A-S   $77,999,000   AAA(sf)
B   $64,798,000   AA-(sf)
C   $34,800,000   A-(sf)
D   $38,399,000   BBB-(sf)
X-D   $38,399,000*   BBB-(sf)
E   $23,999,000   BB-(sf)
F   $12,000,000   B-(sf)
G   $35,999,761   NR

*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 asset-level representations, warranties and enforcement mechanisms set forth in the related offering documents when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report entitled CMBS: WFCM 2016-C32 Representations & Warranties Disclosure Report.

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

CMBS: WFCM 2016-C32 Presale Report 
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published December 3, 2015 
CMBS Property Evaluation Methodology, published December 3, 2015

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).