NEW YORK--(WFRBS 2013-C12 transaction. WFRBS 2013-C12 is a $1.2 billion CMBS conduit transaction collateralized by 100 fixed rate commercial mortgage loans that are secured by 138 properties. Concurrently, we have withdrawn our preliminary ratings which were assigned on February 25, 2013 (see our ratings listed below).)--Kroll Bond Rating Agency (KBRA) assigned its final ratings to fourteen classes of the
Six mortgage loan sellers contributed the loans. The sellers and their respective contribution to the pool balance are as follows: The Royal Bank of Scotland (18 loans, 44.8%), Wells Fargo Bank, National Association (28 loans, 31.9%), Liberty Island Group I LLC (11 loans, 7.6%), C-III Commercial Mortgage LLC (14 loans, 6.6%), Basis Real Estate Capital II, LLC, (six loans, 4.7%) and NCB, FSB (23 loans, 4.5%).
The loans have principal balances ranging from $1.0 million to $125.0 million for the largest loan in the pool, which is secured by Grand Beach Hotel (10.2%), a 424 key full service hotel located in Miami Beach, Florida. The top five loans, which also include RHP Portfolio II (9.4%), One South Wacker Drive (7.7%), Merrill Lynch Office (6.0%), and Hensley & Co. Portfolio (4.0%) represent 37.4% of the initial pool balance, while the top ten loans represent 52.5%. The underlying collateral properties are geographically diverse as they are located in 29 states. The pool has exposure to four geographic concentrations in excess of 10%: Illinois (13.4%), Florida (11.6%), Texas (10.8%) and California (10.4%). The pool has exposure to two property types with exposures in excess of 20.0%, which are retail (24.8%) and office (22.9%).
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 KNCF, which on an aggregate basis was 3.1% 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 32.9% 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 91.9% and an all-in KLTV of 95.8%. KNCF and KBRA capitalization rates were among the key inputs used in our credit modeling process.
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 by KBRA to assign our credit ratings for this transaction.
Final Ratings Assigned: WFRBS 2013-C12
1 Notional balance
Rule 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: WFRBS 2013-C12 17g-7 Disclosure Report.
Related publications (available at www.krollbondratings.com):
CMBS Presale Report: WFRBS 2013-C12
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
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.