Approximately $4.8 Million of Structured Securities Affected
New York, November 06, 2014 -- Moody's Investors Service has affirmed the ratings on three classes of
Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2003-C6 as follows:
Cl. N, Affirmed Aaa (sf); previously on Dec 19,
2013 Upgraded to Aaa (sf)
Cl. O, Affirmed B1 (sf); previously on Dec 19,
2013 Upgraded to B1 (sf)
Cl. IO, Affirmed Caa3 (sf); previously on Dec 19,
2013 Downgraded to Caa3 (sf)
RATINGS RATIONALE
The rating on Class N was affirmed because the transaction's key
metrics, including Moody's loan-to-value (LTV) ratio,
Moody's stressed debt service coverage ratio (DSCR) and the transaction's
Herfindahl Index (Herf), are within acceptable ranges.
The rating on Class O was affirmed at B1 (sf) due to key parameters,
including Moody's loan to value (LTV) ratio, Moody's stressed debt
service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining
within acceptable ranges along with concerns of interest shortfalls from
clawbacks of outstanding advances and special servied loans.
The rating on the IO class (Class IO) was affirmed based on the credit
performance (or the weighted average rating factor) of the referenced
classes.
Moody's rating action reflects a base expected loss of 9.5%
of the current balance, compared to 10.6% at Moody's
last review. Moody's base expected loss plus realized losses is
now 0.7% of the original pooled balance, compared
to 0.8% at the last review. Moody's provides
a current list of base expected losses for conduit and fusion CMBS transactions
on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. Performance
that falls outside the given range can indicate that the collateral's
credit quality is stronger or weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a significant
amount of loan paydowns or amortization, an increase in the pool's
share of defeasance or an improvement in pool performance.
Factors that could lead to a downgrade of the ratings include a decline
in the performance of the pool, loan concentration, an increase
in realized and expected losses from specially serviced and troubled loans
or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in this rating were "Moody's Approach to Rating
U.S. CMBS Conduit Transactions" published in September 2000,
and "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000. Please see the Credit
Policy page on www.moodys.com for a copy of these methodologies.
On October 9, 2014, Moody's issued a "Request for Comment"
asking for market feedback on proposed changes to the methodology it uses
to rate conduit and fusion CMBS transactions. If Moody's adopts
the new methodology as proposed, the changes could affect the ratings
of WBCMT 2003-C6. Please see "Request for Comment:
Proposed Enhancements to Our Approach to Rating US and Canadian Conduit/Fusion
CMBS", which is available at www.moodys.com,
for more information about the implications of the proposed changes to
the methodology on Moody's ratings.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model v
2.64, which it uses for both conduit and fusion transactions.
Conduit model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property
quality grade (which reflects the capitalization rate Moody's uses
to estimate Moody's value). Conduit model results at the
B2 (sf) level are based on a paydown analysis using the individual loan-level
Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio of either
of these two data points. For fusion deals, Moody's
merges the credit enhancement for loans with investment-grade structured
credit assessments with the conduit model credit enhancement for an overall
model result. Moody's incorporates negative pooling (adding
credit enhancement at the structured credit assessment level) for loans
with similar structured credit assessments in the same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, 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 a Herf of 5,
the same as at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based
Large Loan Model v 8.7 and then reconciles and weights the results
from the conduit and large loan models in formulating a rating recommendation.
The large loan model derives credit enhancement levels based on an aggregation
of adjusted loan-level proceeds derived from Moody's loan-level
LTV ratios. Major adjustments to determining proceeds include leverage,
loan structure, property type and sponsorship. Moody's
also further adjusts these aggregated proceeds for any pooling benefits
associated with loan level diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the October 15, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $14.7
million from $953 million at securitization. The certificates
are collateralized by seven mortgage loans ranging in size from 5%
to 28% of the pool. One loan, constituting 15%
of the pool, has defeased and is secured by US government securities.
One loan, constituting 9% of the pool, is on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE Finance
Council (CREFC) monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, the agency reviews the watchlist
to assess which loans have material issues that could affect performance.
Six loans have been liquidated from the pool with a loss, resulting
in an aggregate realized loss of $5.6 million. One
loan, the Trader's Joe's Plaza Loan ($4.1
million -- 28.1% of the pool) is currently in special
servicing. The loan is secured by a 45,000 square foot (SF)
retail property located in Las Vegas, Nevada. The loan transferred
to special servicing in July 2013 due to maturity default and the Borrower
filed for Chapter 11 Bankruptcy in March 2014. The special servicer
indicated the Bankruptcy proceedings are ongoing. The property
was 63% leased as of August 2014 compared to 74% leased
as of December 2012. The property is anchored by Trader Joe's
which represents 28% of the rentable area and has a lease expiration
in October 2015.
Moody's received full or partial year 2013 operating results for 80%
of the pool. Moody's weighted average conduit LTV is 75%,
compared to 80% at Moody's last review. Moody's
conduit component excludes loans with structured credit assessments,
defeased loans, and specially serviced and troubled loans.
Moody's net cash flow (NCF) reflects a weighted average haircut
of 26% to the most recently available net operating income (NOI).
Moody's value reflects a weighted average capitalization rate of
9.9%.
Moody's actual and stressed conduit DSCRs are 0.95X and 1.52X,
respectively, compared to 0.92X and 1.40X at the last
review. Moody's actual DSCR is based on Moody's NCF
and the loan's actual debt service. Moody's stressed
DSCR is based on Moody's NCF and a 9.25% stress rate
the agency applied to the loan balance.
As of the October 2014 remittance statement, the deal has cumulative
interest shortfalls of $751,389. Due to clawbacks
of property protection advances from a previously modified loan,
Class O did not receive any of its scheduled interest payments from the
May 2014 through the September 2014 payment dates, had cumulative
shortfalls of $114,206 in September 2014. As of the
October 2014 remittance statement, all advances associated with
the modified loan were reimbursed and the outstanding interest shortfalls
to Class O were reduced to $72,263. Interest shortfalls
are caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.
The top three conduit loans represent 43% of the pool balance.
The largest conduit loan is the Rite Aid -- Las Vegas,
NV Loan ($2.75 million -- 18.7%
of the pool), which is secured by a 17,000 SF retail property
located in Las Vegas, Nevada. The property is fully leased
to Rite Aid, which subleases the space to Dollar General.
The loan is fully amortizing and matures in June 2023. The loan
and lease are co-terminous. Due to the single tenant nature
of the property, Moody's incorporated a lit/dark analysis for this
property. Moody's LTV and stressed DSCR are 85% and 1.27X,
respectively, compared to 91% and 1.19X at last review.
The second largest conduit loan is the Bailey Building Loan ($2.05
million -- 14.0% of the pool), which
is secured by a 45,000 SF office located in Montgomery, Alabama.
The property is 78% leased as of September 2014, the same
as at last review. All of the leases at the property roll prior
to the loan maturity date in August 2018. Property performance
declined in 2013 due to a decrease in rental revenue. Moody's LTV
and stressed DSCR are 83% and 1.24X, respectively,
compared to 64% and 1.62X at last review.
The third largest conduit loan is the Rite Aid -- Bayville,
NJ Loan ($1.4 million - 9.8% of the
pool), which is secured by an 11,000 SF retail property located
in Bayville, New Jersey. The property is fully leased to
Rite Aid through September 2018 (the same as the loan maturity date).
The loan is not fully amortizing, but has amortized 35% since
securitization. Due to the single tenant nature of the property,
Moody's incorporated a lit/dark analysis for this property. Moody's
LTV and stressed DSCR are 86% and 1.26X, respectively,
compared to 87% and 1.25X at last review.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions of the disclosure form.
Moody's did not receive or take into account a third-party
assessment on the due diligence performed regarding the underlying assets
or financial instruments related to the monitoring of this transaction
in the past six months.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's did not use any stress scenario simulations in its analysis.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides certain regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this rating action, and
whose ratings may change as a result of this rating action, the
associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Matthew Halpern
Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Keith Banhazl
Senior Vice President
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Affirms Three Classes of WBCMT 2003-C6
