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Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings for the WFRBS 2013-C11 transaction (see ratings list below). WFRBS 2013-C11 is a $1.4 billion CMBS conduit transaction collateralized by 82 fixed rate commercial mortgage loans that are secured by 153 properties.
The loans have principal balances ranging from $1.1 million to $155.0 million for the largest loan in the pool, which is secured by Republic Plaza (10.8%), a 1.3 million sf office building located in Denver, Colorado. The top five loans, which also include Concord Mills (8.7%), RHP Portfolio I (8.4%), 515 Madison Avenue (8.4%) and Brennan Industrial Portfolio II (8.2%), represent 44.5% of the initial pool balance, while the top ten loans represent 62.1%.
The underlying collateral properties are geographically diverse as they are located in 33 states. The three largest state exposures are Colorado (17.0%), North Carolina (12.9%), and California (9.9%). The pool has exposure to four property types with concentrations in excess of 10%: office (35.2%), retail (22.2%), hospitality (12.1%) and manufactured housing (10.8%). The majority of the office exposure is comprised of CBD office properties.
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. The analysis incorporates a detailed evaluation of the underlying collateral properties’ financial and operating performance using our CMBS Property Evaluation Guidelines to determine Kroll Net Cash Flow (KNCF), which on an aggregate basis was 4.2% less than the issuer cash flow. KBRA capitalization rates were applied to each asset’s KNCF to derive individual property values that, on an aggregate basis, were 27.3% lower than third party appraisal values. The weighted average capitalization rate for the transaction was 9.3%. The pool has an in-trust KLTV of 94.9% and an all-in KLTV of 97.0%.
The KBRA credit 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, WFRBS 2013-C11 published today at www.krollbondratings.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 final ratings that differ from the preliminary ratings.
Preliminary Ratings Assigned: WFRBS 2013-C11
|Class||Expected Ratings||Balance ($)|
1 Notional balance
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: WFRBS 2013-C11 17g-7 Disclosure Report.
About Kroll Bond Rating Agency
Kroll Bond Rating Agency is registered with the SEC as a nationally recognized statistical rating organization (NRSRO). Kroll Bond Rating Agency was established in 2010 to restore trust in credit ratings by establishing new standards for assessing risk and by offering accurate, clear, and transparent ratings.