Market Overview

KBRA Assigns Preliminary Ratings to WFCM 2018-C46

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Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of
preliminary ratings to 15 classes of WFCM 2018-C46 (see ratings list
below), a $692.1 million CMBS conduit transaction collateralized by 49
commercial mortgage loans secured by 55 properties.

The collateral properties are located in 22 states, with three state
exposures each representing 10.0% or more of the pool balance:
California (13.6%), North Carolina (12.3%), and Florida (10.0%). The
pool has exposure to all of the major property types, with four
representing more than 10.0% of the pool balance: retail (36.9%), office
(24.9%), multifamily (14.1%), and lodging (14.0%). The loans have
principal balances ranging from $1.8 to $55.0 million for the largest
loan in the pool, The Ballantyne (7.9%), which is secured by a 244-key
full-service resort hotel located in Charlotte, North Carolina. The five
largest loans, which also include Fair Oaks Mall (5.9%), Town Center
Aventura (5.8%), Silver Spring Plaza (5.1%), and Showcase II (4.8%),
represent 29.4% of the initial pool balance, while the top 10 loans
represent 46.7%.

KBRA's analysis of the transaction incorporated our multi-borrower
rating process that begins with our analysts' evaluation of the
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 Methodology
. On an aggregate basis, KNCF was
7.3% 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, 38.7% less than third party appraisal values. The pool has an
in-trust KLTV of 99.6% and an all-in KLTV of 105.0%. The model deploys
rent and occupancy stresses, probability of default regressions, and
loss given default calculations to determine losses for each collateral
loan that are then used to assign our credit ratings.

For complete details on the analysis, please see our pre-sale report, WFCM
2018-C46
published at www.kbra.com.
The report includes our WFCM
2018-C46 KBRA Conduit Comparative Analytic Tool (KCAT)
, 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 included in our CMBS
    Monthly Trend Watch publication.
  • Excel-based property cash flow statements for the top 20 loans.

Preliminary Ratings Assigned: WFCM
2018-C46

           
Class       Initial Class Balance       Expected KBRA Rating
A-1       $14,029,000       AAA(sf)
A-2       $147,143,000       AAA(sf)
A-SB       $24,040,000       AAA(sf)
A-3       $115,000,000       AAA(sf)
A-4       $184,264,000       AAA(sf)
A-S       $56,234,000       AAA(sf)
B       $31,145,000       AA-(sf)
C       $32,010,000       A-(sf)
D       $20,840,0001       BBB(sf)
E-RR2       $16,361,0001       BBB-(sf)
F-RR2       $12,977,000       BB-(sf)
G-RR2       $10,382,000       B-(sf)
H-RR2       $27,684,550       NR
X-A       $484,476,0003       AAA(sf)
X-B       $119,389,0003       AAA(sf)
X-D       $20,840,0001,3       BBB(sf)
1Approximate initial certificate balances. The
certificate balances of the Class D and Class E-RR certificates (and
accordingly, the approximate notional balance of the Class X-D
certificates) will not be determined until final pricing. However,
each class' initial certificate balance is expected to fall within
the following ranges: Class D - $19,898,000 to $22,494,000; and
Class E-RR - $14,707,000 to $17,303,000. The notional balance of the
Class X-D certificates will be equal to the certificate balance of
the Class D certificates. 2In satisfaction of the US Risk
Retention rules, these classes are expected to be purchased and
retained by a third-party purchaser, on the closing date. Such
classes will represent an "eligible horizontal residual interest"
and will represent at least 5.0% of the fair market value of all
non-residual certificates issued. 3Notional balance

Representations & Warranties 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 available here.

Related Publications: (available
at www.kbra.com)

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About KBRA and KBRA Europe

KBRA is a full service credit rating agency registered with the U.S.
Securities and Exchange Commission as an NRSRO. In addition, KBRA is
designated as a designated rating organization by the Ontario Securities
Commission for issuers of asset-backed securities to file a short form
prospectus or shelf prospectus, is recognized by the National
Association of Insurance Commissioners as a Credit Rating Provider, and
is a certified Credit Rating Agency (CRA) by the European Securities and
Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is
registered with ESMA as a CRA.

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