Market Overview

Kroll Bond Rating Agency Assigns Preliminary Ratings to WFRBS 2012-C10


Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings for the WFRBS 2012-C10 transaction (see ratings list below). WFRBS 2012-C10 is a $1.3 billion CMBS conduit transaction collateralized by 85 fixed rate commercial mortgage loans that are secured by 122 properties.

The loans have principal balances ranging from $1.3 million to $125.0 million for the largest loan in the pool, which is secured by Republic Plaza (9.6%), a 1.3 million sf office building located in Denver, Colorado. The top five loans, which also include Concord Mills (8.4%), Dayton Mall (6.3%), Stag REIT Portfolio (5.3%) and the Rogue Valley Mall (4.2%), represent 33.8 of the initial pool balance, while the top ten loans represent 48.9%.

The underlying collateral properties are geographically diverse as they are located in 28 states. The largest exposure is North Carolina (18.1%) and no other geographic exposure exceeds 10.0% of the pool. The North Carolina exposure is comprised of twelve loans that represent 18.1% of the pool balance. The transaction has exposure to all of the major property sectors. The pool has significant exposure to retail properties, however, which represent 43.8% of the pool balance. Hospitality (18.8%) and office (17.2%) are the only other property types with a concentration in excess of 10%.

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 underlying collateral properties' financial and operating performance using our CMBS Property Evaluation Guidelines to determine Kroll Net Cash Flow (KNCF), which is a key input used in our credit modeling process. KBRA capitalization rates were applied to each asset's KNCF to derive individual property values that, on an aggregate basis, were 3.2% lower than third party appraisal values. The weighted average capitalization rate for the transaction was 9.5%. The pool has an in-trust KLTV of 93.0% and an all-in KLTV of 93.3%.

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 2012-C10 published today at

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 2012-C10

Class           Expected Ratings           Balance ($)
A-1           AAA(sf)           $82,960,000
A-2           AAA(sf)           $85,912,000
A-3           AAA(sf)           $621,167,000
A-SB           AAA(sf)           $123,890,000
A-S           AAA(sf)           $127,297,000
X-A1           AAA(sf)           $1,041,226,000
X-B1           AAA(sf)           $119,138,000
B           AA-(sf)           $76,705,000
C           A-(sf)           $42,433,000
D           BBB-(sf)           $52,224,000
E           BB(sf)           $26,113,000
F           B(sf)           $22,848,000
G           NR           $44,064,775

1 Notional balance


17g7 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 2012-C10 17g-7 Disclosure Report.

Related publications (available at
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.

Kroll Bond Rating Agency
Analytical Contacts:
Joseph Kelly, 646-731-2365
Steve Rosamilia, 917-200-8531
Troy Doll, 646-731-2336

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