KBRA Assigns Preliminary Ratings to WFCM 2020-C55

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 18 classes of WFCM 2020-C55 (see ratings list below), a $962.8 million CMBS conduit transaction collateralized by 66 commercial mortgage loans secured by 123 properties.

The collateral properties are located in 27 states, with the top three states represented by New York (26.1%), Pennsylvania (7.7%), and California (7.3%). The pool has exposure to all the major property types, with the top three being office (26.5%), retail (26.3%), and multifamily (14.8%). The loans have principal balances ranging from $945,000 to $82.9 million for the largest loan in the pool, Kings Plaza (8.6%), which is secured by 811,797 sf of a 1.1 million sf super-regional shopping mall located within New York City’s borough of Brooklyn. The five largest loans, which also include 1633 Broadway (7.3%), 650 Madison Avenue (4.2%), F5 Tower (4.2%) and Silver City Plaza (4.0%), represent 28.2% of the initial pool balance, while the top 10 loans represent 44.3%.

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 U.S. CMBS Property Evaluation Methodology. On an aggregate basis, KNCF was 6.6% 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, 39.2% less than third party appraisal values. The pool has an in-trust KLTV of 99.0% 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.

Preliminary Ratings Assigned: WFCM 2020-C55
   

Class

   

Initial Class Balance

 

 

Expected KBRA Rating

   

A-1

   

$20,310,000

   

AAA (sf)

   

A-2

   

$18,218,000

   

AAA (sf)

   

A-3

   

$24,260,000

   

AAA (sf)

   

A-SB

   

$32,314,000

   

AAA (sf)

   

A-4

   

See Footnote 1

   

AAA (sf)

   

A-5

   

See Footnote 1

   

AAA (sf)

   

A-S

   

$96,283,000

   

AAA (sf)

   

B

   

$44,531,000

   

AA- (sf)

   

C

   

$37,310,000

   

A- (sf)

   

D

   

$25,274,000

   

BBB (sf)

   

E

   

$20,460,000

   

BBB- (sf)

   

F

   

$20,460,000

   

BB- (sf)

   

G

   

$9,629,000

   

B- (sf)

   

H-RR

   

$34,902,711

   

NR

   

X-A

   

$673,982,0002

   

AAA (sf)

   

X-B

   

$178,124,0002

   

AAA (sf)

   

X-D

   

$45,734,0002

   

BBB- (sf)

   

X-F

   

$20,460,0002

   

BB- (sf)

   

X-G

   

$9,629,0002

   

B- (sf)

1The exact initial certificate balances will not be determined until final pricing; however, the aggregate balance of the Class A-4 and Class A-5 certificates is expected to equal $578,880,000. In the event that the Class A-4 certificates are issued with an initial certificate balance of $578,880,000, the Class A-5 certificates will not be issued. 2Notional balance.

For complete details on the analysis, please see our pre-sale report published at www.kbra.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 ratings that differ from the preliminary ratings.

To access ratings, reports and disclosures, click 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. KBRA is also 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.

Contacts

Analytical:

Elizabeth Yash, Associate Director

(646) 731-3346

eyash@kbra.com

Michael Brown, Managing Director

(646) 731-2307

mbbrown@kbra.com

Christina Chou, Associate

(646) 731-3387

cchou@kbra.com

Dayna Carley, Senior Director

(646) 731-2391

dcarley@kbra.com

Business Development:

Michele Patterson, Managing Director

(646) 731-2397

mpatterson@kbra.com

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