NEW YORK--(BUSINESS WIRE)--Aug 7, 2018--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 . 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, published at . The report includes our , 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.

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 .

Related Publications: (available at )


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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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CONTACT: Kroll Bond Rating Agency


Erika Hinman, Associate Director



Anna Hertzman, Managing Director



Yee Cent Wong, Senior Managing Director



Dayna Carley, Senior Director




SOURCE: Kroll Bond Rating Agency

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PUB: 08/07/2018 10:03 AM/DISC: 08/07/2018 10:03 AM