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KBRA Assigns Ratings to WFCM 2020-C56

Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of ratings to 17 classes of WFCM 2020-C56, a $731.1 million CMBS conduit transaction collateralized by 44 commercial mortgage loans secured by 64 properties.

The collateral properties are located throughout 30 MSAs, the largest three of which are New York (16.4%), East Bay (11.7%), and Dallas – Fort Worth (8.8%). The pool has exposure to all of the major property types, with two types representing more than 10.0% of the pool balance: multifamily (43.2%) and office (23.1%). The loans have principal balances ranging from $2.2 million to $52.7 million for the largest loan in the pool, Supor Industrial Portfolio (7.2%), is comprised of 27.1 acres of land underlying two industrial warehouses located in Harrison, New Jersey, approximately two miles northeast of the Newark CBD and 10 miles west of Manhattan. The assets together comprise 610,650 sf. The five largest loans, which also include The Grid (7.2%), KPMG Plaza at Hall Arts (6.0%), Panoramic Berkeley (5.7%), and Solitude at Centennial (4.9%), represent 30.9% of the initial pool balance, while the top 10 loans represent 51.4%.

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 8.4% 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, 42.3% less than third party appraisal values. The pool has an in-trust KLTV of 101.4% and an all-in KLTV of 111.1%. 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.

Click here to view the report. To access ratings and relevant documents, click here.

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Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the U.S. Information Disclosure Form located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the U.S. Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

KBRA is a full-service credit rating agency registered as an NRSRO with the U.S. Securities and Exchange Commission. 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) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.

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Contacts

Analytical Contacts

Christina Chou, Associate Director (Lead Analyst)
+1 (646) 731-3387
cchou@kbra.com

James Wang, Senior Director
+1 (646) 731-2450
jwang@kbra.com

Susannah Keagle, Senior Director
+1 (646) 731-3357
skeagle@kbra.com

Anshul Manglani, Associate
+1 (646) 731-2366
amanglani@kbra.com

Nitin Bhasin, Senior Managing Director (Rating Committee Chair)
+1 (646) 731-2334
nbhasin@kbra.com

Business Development Contact

Michele Patterson, Managing Director
+1 (646) 731-2397
mpatterson@kbra.com