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Rating Action:

Moody's Affirms Nine and Downgrades Eleven CMBS Classes of WBCMT 2004-C11

04 Aug 2010

Approximately $905.1 Million of Structured Securities Affected

New York, August 04, 2010 -- Moody's Investors Service (Moody's) affirmed the ratings of nine classes and downgraded eleven classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2004-C11. The downgrades are due to higher expected losses for the pool resulting from anticipated losses from specially serviced and highly leveraged watchlisted loans and concerns about refinancing risk associated with loans approaching maturity in an adverse lending environment. Twenty-two loans, representing 20% of the pool, mature within the next three years. Five of these loans (8% of the pool) have a Moody's stressed debt service coverage ratio (DSCR) below 1.0X. The affirmations are due to key rating parameters, including Moody's loan-to-value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges.

On July 14, 2010 Moody's placed 11 classes of this transaction on review for possible downgrade. This action concludes our review of this transaction. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions.

As of the July 17, 2010 statement date, the transaction's aggregate certificate balance has decreased 13% to $905.1 million from $1.04 billion at securitization. The 54 mortgage loans that collateralize these Certificates range in size from less than 1% to 12% of the pool, with the top ten loans representing 31% of the pool. The pool contains three loans, representing 18% of the pool, with investment grade underlying ratings. A fourth loan, representing 12% of the pool, formerly had an underlying rating but due to declines in performance and increased leverage it is now analyzed as part of the conduit pool. Six loans, representing 16% of the pool, have defeased and are secured with U.S. Government securities.

Thirteen loans, representing 25% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC; formerly Commercial Mortgage Securities Association) monthly reporting package. As part of our ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance.

No loans have been liquidated from the pool since securitization. Three loans, representing 6% of the pool, are currently in special servicing. The largest specially serviced loan is the Bay City Mall Loan, ($23.5 million, 2.6% of the pool), which is secured by a 361,194 square foot enclosed regional shopping mall located in Bay City, Michigan. This loan was transferred to special servicing April 2009 due to the GGP bankruptcy filing. This loan is included in a list of "special consideration properties" under GGP's bankruptcy plan. The proposal for these loans includes a mechanism for the debtors and the lender to negotiate a fundamental restructuring of the loan. In addition, either party can, under certain circumstances, call for delivery of the property in satisfaction of the loan obligations.

The remaining two specially serviced loans are secured by two multi-family properties. Moody's estimates an aggregate $14.4 million loss for the specially serviced loans, which represents an overall 28% expected loss. The special servicer has recognized an aggregate $5.0 million appraisal reduction for one of the specially serviced loans.

In addition to recognizing losses from specially serviced loans, Moody's has assumed a high default probability on 13 watchlisted loans, representing 25% of the pool, due to concerns about declining property performance. Moody's estimates a $10.0 million aggregate loss for these troubled loans (overall 21% expected loss based on a 50% probability of default). Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans.

Moody's was provided with full year 2008 and 2009 operating statements for 96% of the pool. Moody's weighted average LTV for the conduit pool, excluding specially serviced and troubled loans, is 87% compared to 92% at last review.

Excluding specially serviced and troubled loans, Moody's actual and stressed DSCR is 1.17x compared to 1.28x at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loans' actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance.

Moody's uses a variation of Herf to measure loan size diversity, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple-notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has an all-in Herf of 16 compared to 17 at last review.

There are three loans with underlying ratings. The largest loan is the Four Seasons Town Center Loan ($84.9 million -- 9.4% of the pool), which is secured by the borrower's interest in a 1.1 million square foot regional mall located in Greensboro, North Carolina. JC Penney, Dillard's and Belk anchor this center. As of December 2009, the property was 94% leased, similar to Moody's last review. Financial performance has been stable and the loan has benefited from 5% amortization since last review. Moody's current underlying rating and stressed DSCR are A3 and 1.54X, respectively, compared to A3 and 1.42X at last review.

The second largest loan with an underlying rating is the Starrett-Lehigh Building Loan ($55.1 million -- 6.1% of the pool), which is secured by the borrower's interest in the fee and leasehold interest in a 2.3 million square foot office building located in New York, New York. Performance has improved since last review due to higher occupancy. Moody's current underlying rating and stressed DSCR are Aa2 and >4.0X, respectively, the same as last review.

The third largest loan with an underlying rating is the University Mall Loan ($18.1 million -- 2.0% of the pool), which is secured by a single level enclosed regional shopping mall located in Tuscaloosa, Alabama. JC Penney, Belk and Sears anchor this 650,000 square foot mall. Moody's current underlying rating and stressed DSCR are Aa3 and 1.85X, respectively, compared to Aa3 and 1.88X at last review.

The loan that previously had an underlying rating is the Brass Mill Center and Commons Loan ($110.4 million -- 12.2% of the pool), which is secured by the borrower's interest in a 1.2 million square foot regional mall and adjacent 197,000 square foot community center. The properties are located approximately 28 miles southwest of Hartford in Waterbury, Connecticut. Sears, Macy's, JC Penney and Burlington Coat Factory anchor the mall. The in-line mall stores were 88% leased as of year-end 2009 compared to 91% at last review. The loan has a 25-year amortization schedule and has amortized 15% since securitization. Despite the benefits of amortization, both occupancy and financial performance have declined since last review. Moody's LTV and DSCR are 90% and 1.08x, respectively, compared to 76% and 1.31X at last review.

The top three conduit loans represent 17.1% of the pool. The largest conduit loan is the Bank of America Tower Loan ($71.1 million -- 7.9% of the pool), which is secured by a 661,000 square foot Class A office building and 36,000 square foot annex building in Jacksonville, Florida. Performance has declined since last review due to a decline in overall occupancy from 87% at last review to 80% as of year-end 2009. Moody's LTV and DSCR are 94% and 1.10X, respectively, compared to 91% and 1.13X at last review.

The second largest conduit loan is the Westland Mall Loan ($55.8 million -- 6.2% of the pool), which is secured by the borrower's interest in a 835,000 square foot regional mall located approximately five miles north of the Miami International Airport in Hialeah, Florida. Macy's, Sears and JC Penney anchor this center. Occupancy levels have remained consistent since last review at 94%. Moody's LTV and stressed DSCR are 73% and 1.29X, respectively, compared to 81% and 1.26X at last review.

The third largest conduit loan is the Amargosa Commons Shopping Center Loan ($28.0 million -- 3.1% of the pool), which is secured by a power center located in Palmdale, California. The largest tenants include Bed Bath & Beyond, TJ Maxx, Petsmart and Trader Joe's. Property performance has declined due to the loss of Circuit City, which formerly leased 19% of the center. The center was 73% leased as of March 2010 compared to 92% on December 2008. The loan is on the servicer's watchlist due to the decline in occupancy and DSCR. Moody's is concerned that this loan has a high probability of default due to poor performance. Moody's LTV and DSCR are 148% and 0.64X, respectively, compared to 104% and 0.91X at last review.

Moody's rating action is as follows:

Cl. X-C Certificate, Affirmed at Aaa (sf); previously on May 10, 2004 Definitive Rating Assigned Aaa (sf)

Cl. X-P Certificate, Affirmed at Aaa (sf); previously on May 10, 2004 Definitive Rating Assigned Aaa (sf)

US$2.225M Cl. A-2 Certificate, Affirmed at Aaa (sf); previously on May 10, 2004 Definitive Rating Assigned Aaa (sf)

US$87.715M Cl. A-3 Certificate, Affirmed at Aaa (sf); previously on May 10, 2004 Definitive Rating Assigned Aaa (sf)

US$52.829M Cl. A-4 Certificate, Affirmed at Aaa (sf); previously on May 10, 2004 Definitive Rating Assigned Aaa (sf)

US$454.9M Cl. A-5 Certificate, Affirmed at Aaa (sf); previously on May 10, 2004 Definitive Rating Assigned Aaa (sf)

US$148.566M Cl. A-1A Certificate, Affirmed at Aaa (sf); previously on May 10, 2004 Definitive Rating Assigned Aaa (sf)

US$28.641M Cl. B Certificate, Affirmed at Aaa (sf); previously on Oct 9, 2008 Upgraded to Aaa (sf)

US$13.018M Cl. C Certificate, Affirmed at Aa2 (sf); previously on Oct 9, 2008 Upgraded to Aa2 (sf)

US$23.434M Cl. D Certificate, Downgraded to A3 (sf); previously on Jul 14, 2010 A2 (sf) Placed Under Review for Possible Downgrade

US$11.717M Cl. E Certificate, Downgraded to Baa1 (sf); previously on Jul 14, 2010 A3 (sf) Placed Under Review for Possible Downgrade

US$14.32M Cl. F Certificate, Downgraded to Baa2 (sf); previously on Jul 14, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade

US$13.019M Cl. G Certificate, Downgraded to Ba1 (sf); previously on Jul 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade

US$10.415M Cl. H Certificate, Downgraded to B1 (sf); previously on Jul 14, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade

US$16.924M Cl. J Certificate, Downgraded to Caa3 (sf); previously on Jul 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade

US$5.207M Cl. K Certificate, Downgraded to Ca (sf); previously on Jul 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade

US$2.604M Cl. L Certificate, Downgraded to Ca (sf); previously on Jul 14, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade

US$2.604M Cl. M Certificate, Downgraded to C (sf); previously on Jul 14, 2010 B1 (sf) Placed Under Review for Possible Downgrade

US$2.603M Cl. N Certificate, Downgraded to C (sf); previously on Jul 14, 2010 B2 (sf) Placed Under Review for Possible Downgrade

US$2.604M Cl. O Certificate, Downgraded to C (sf); previously on Jul 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade

Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST® (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated October 9, 2008.

The principal methodologies used in rating and monitoring this transaction are "CMBS: Moody's Approach to Rating Fusion Transactions," published on April 19, 2000 along with "US CMBS: Moody's Approach to Surveillance of Large Loan Transactions," published on March 8, 2006. These methodologies are available on www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found in the Rating Methodologies sub-directory on Moody's website. In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

New York
Sandra Ruffin
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Gregory Reed
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Investors Service
250 Greenwich Street
New York, NY 10007
USA

Moody's Affirms Nine and Downgrades Eleven CMBS Classes of WBCMT 2004-C11
No Related Data.
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