KBRA assigns preliminary ratings to WFCM 2020-C58
NEW YORK–(BUSINESS WIRE) – The Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings for 35 classes of WFCM 2020-C58, a $ 696.3 million CMBS conduit transaction.
The collateral is held in 31 MSAs, the three largest of which are Sacramento (14.4%), Los Angeles (12.2%) and New York (7.2%). The pool is involved in all major property types, with three types accounting for more than 15.0% of the pool balance: office (25.4%), retail (20.5%) and mixed-use (16.3%). The loans have principal balances of $ 1.5 million to $ 69.0 million for the largest loan in the pool, McClellan Park (9.9%), which is owned by a 6.9 million square foot mixed-use business park in McClellan, California The Sacramento CBD is secured 16 km to the northeast. The five largest loans, which also include MGM Grand & Mandalay Bay (6.5%), Pacific Gateway II (5.6%), CoLinx Distribution Center (5.3%) and The Arboretum (5.0%), account for 32.3% of the original pool balance while the top 10 loans account for 48.6%.
KBRA’s analysis of the transaction included our multi-credit rating process, which begins with our analysts assessing the financial and operational performance of the underlying collateral characteristics, the sustainable net cash flow (KNCF) estimate and KBRA value from KBRA based on our US CMBS property evaluation methodology. On an aggregated basis, the KNCF was 10.7% below the issuer’s cash flow. KBRA capitalization rates were applied to the KNCF of each asset to derive values that, on an aggregated basis, were 43.5% lower than third-party estimates. The pool has a trust KLTV of 104.2% and an all-in KLTV of 106.9%. The model uses rental and occupancy stress, probability of default regressions, and loss ratio calculations to determine the losses for each collateral loan, which are then used to map our credit ratings.
Learn more about key credit considerations, sensitivity studies that take into account what factors can affect these credit ratings and how they could lead to an upgrade or downgrade ESG factors (if they are a major driver of the credit rating or rating outlook change) please refer to the full rating report listed above.
A description of all material material sources used in establishing the credit rating and information on the methodology (s) (including any material models and sensitivity analyzes of the relevant material rating assumptions, if any) that were used in determining the credit rating is available located on the U.S. Information Disclosure Form Here.
Information on the meaning of each rating category can be found Here.
Additional information on this rating action is available on the US Information Disclosure Form noted above. More information on KBRA guidelines, methods, rating scales and information is available at available www.kbra.com.
KBRA is a full-service credit rating agency registered as an NRSRO with the US Securities and Exchange Commission. In addition, KBRA has been named by the Ontario Securities Commission as the designated rating organization for issuers of asset-backed securities for the submission of a short prospectus or shelf prospectus. KBRA is also recognized as a credit rating provider by the National Association of Insurance Commissioners and a certified credit rating agency (CRA) with the European Securities and Markets Authority (ESMA). The Kroll Bond Rating Agency Europe is registered with ESMA as a CRA.