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Rating Action:

Moody's Affirms Twelve Classes of WFRBS 2014-C20

29 Apr 2016

Approximately $1.06 Billion of Structured Securities Affected

New York, April 29, 2016 -- Moody's Investors Service has affirmed the ratings on twelve classes in WFRBS Commercial Mortgage Trust 2014-C20 as follows:

Cl. A-1, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf)

Cl. A-2, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf)

Cl. A-3, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf)

Cl. A-4, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf)

Cl. A-5, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf)

Cl. A-S, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf)

Cl. A-SB, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf)

Cl. A-SFL, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf)

Cl. A-SFX, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf)

Cl. B, Affirmed Aa3 (sf); previously on May 1, 2015 Affirmed Aa3 (sf)

Cl. C, Affirmed A3 (sf); previously on May 1, 2015 Affirmed A3 (sf)

Cl. X-A, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf)

RATINGS RATIONALE

The ratings on the P&I classes were 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 the IO class was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its referenced classes.

Moody's rating action reflects a base expected loss of 4.2% of the current balance. 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 principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. Please see the Ratings Methodologies page on www.moodys.com for a copy of these methodologies.

DESCRIPTION OF MODELS USED

Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans 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). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance.

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 30, the same as at Moody's last review.

DEAL PERFORMANCE

As of the April 15, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 1% to $1.23 billion from $1.25 billion at securitization. The certificates are collateralized by 98 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans constituting 48% of the pool. The pool contains eleven cooperative loans, constituting 3.5% of the pool, that are too small to receive a structured credit assessment, but received investment grade quality treatment.

Eleven loans, constituting 9% of the pool, are 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.

No loans are in special servicing. No loans have been liquidated from the pool. Moody's received full year 2014 operating results for 100% of the pool. Moody's weighted average conduit LTV is 110%, and remains unchanged since Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 15% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.1%.

Moody's actual and stressed conduit DSCRs are 1.46X and 1.00X, respectively, compared to 1.41X and 1.01X at securitization. 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.

There are eleven loans ($43 million -- 3.5% of the pool), which are secured by cooperative properties located in New York. Nine of the properties are in New York City, one is in Long Island, and the other in White Plains.

The top three conduit loans represent 23% of the pool balance. The largest loan is the Woodbridge Center Loan ($130 million -- 11% of the pool), which is secured by a 1.1 million square foot (SF) component of a 1.7 million SF enclosed two-story mall located in Woodbridge, New Jersey. Major anchor tenants include Sears, Macy's, JC Penney, Boscov's, and Lord and Taylor. Macy's, JC Penney, and Lord and Taylor are not part of the collateral. The mall sponsor is General Growth Properties. As of December 2015, the property was 96% leased to over 150 tenants. Moody's LTV and stressed DSCR are 127% and 0.79X, respectively, and remains unchanged since last review.

The second largest loan is the Bloomberg Data Center Loan ($84 million -- 7% of the pool), which is secured by a built-to-suit data center located in Orangeburg, New York. The property developed in 2014 for $123.2 million. Bloomberg is the sole tenant with a lease through March 2029. The lease includes 20 years of extension options, renewable in periods of five and ten years. Moody's LTV and stressed DSCR are 99% and 1.21X, respectively, compared to 101% and 1.18X at last review.

The third largest loan is the Worldgate Centre Loan ($63 million -- 5% of the pool), which is secured by an anchored retail center located in Herndon, Virginia. The property was developed in 1990 and is currently anchored by Worldgate Sport and Health and an AMC movie theatre. As of December 2015, the property was 97% leased to local, regional, and national tenants. Moody's LTV and stressed DSCR are 111% and 0.90X, respectively, compared to 113% and 0.88X 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.

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 credit rating action on the support provider and in relation to each particular credit 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 credit rating action, and whose ratings may change as a result of this credit 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.

Tulay Sangiray
Associate 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
Associate Managing Director
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 Twelve Classes of WFRBS 2014-C20
No Related Data.
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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