Kroll Bond Rating Agency Assigns Preliminary Ratings to WFCM 2015-C26
The underlying collateral properties are located in 28 states, with two states representing more than 10.0% of the pool balance:
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 | AAA(sf) | |||
Class A-2 | AAA(sf) | |||
Class A-3 | AAA(sf) | |||
Class A-4 | AAA(sf) | |||
Class A-SB | AAA(sf) | |||
Class X-A | AAA(sf) | |||
Class X-B | AAA(sf) | |||
Class X-C | BB(sf) | |||
Class X-D | B(sf) | |||
Class X-E | NR | |||
Class A-S | AAA(sf) | |||
Class B | AA-(sf) | |||
Class C | A-(sf) | |||
PEX | A-(sf) | |||
Class D | BBB-(sf) | |||
Class E | BB(sf) | |||
Class F | B(sf) | |||
Class G | 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
CMBS Property Evaluation Guidelines, published
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