Approximately $1.02 Billion of Structured Securities Affected
New York, February 09, 2018 -- Moody's Investors Service has affirmed the ratings on twelve classes in
WFRBS Commercial Mortgage Trust 2014-C20 as follows:
Class A-1, Affirmed Aaa (sf); previously on April 21,
2017 Affirmed Aaa (sf)
Class A-2, Affirmed Aaa (sf); previously on April 21,
2017 Affirmed Aaa (sf)
Class A-3, Affirmed Aaa (sf); previously on April 21,
2017 Affirmed Aaa (sf)
Class A-4, Affirmed Aaa (sf); previously on April 21,
2017 Affirmed Aaa (sf)
Class A-5, Affirmed Aaa (sf); previously on April 21,
2017 Affirmed Aaa (sf)
Class A-SB, Affirmed Aaa (sf); previously on April 21,
2017 Affirmed Aaa (sf)
Class A-S, Affirmed Aaa (sf); previously on April 21,
2017 Affirmed Aaa (sf)
Class A-SFL, Affirmed Aaa (sf); previously on April
21, 2017 Affirmed Aaa (sf)
Class A-SFX, Affirmed Aaa (sf); previously on April
21, 2017 Affirmed Aaa (sf)
Class B, Affirmed Aa3 (sf); previously on April 21, 2017
Affirmed Aa3 (sf)
Class C, Affirmed A3 (sf); previously on April 21, 2017
Affirmed A3 (sf)
Class X-A*, Affirmed Aaa (sf); previously on April
21, 2017 Affirmed Aaa (sf)
* Interest Only Class
RATINGS RATIONALE
The ratings on the 11 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 quality of
the referenced classes.
Moody's rating action reflects a base expected loss of 4.5%
of the current pooled balance, compared to 4.1% at
Moody's last review. Moody's base expected loss plus realized
losses is now 4.3% of the original pooled balance,
compared to 4.0% 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 RATINGS:
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 July 2017. The
methodologies used in rating Class X-A were "Moody's
Approach to Rating Structured Finance Interest-Only (IO) Securities"
published in June 2017 and "Approach to Rating US and Canadian Conduit/Fusion
CMBS" published in July 2017. Please see the Rating Methodologies
page on www.moodys.com for a copy of these methodologies.
DEAL PERFORMANCE
As of the January 18. 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 4.9% to $1.19
billion from $1.25 billion at securitization. The
certificates are collateralized by 98 mortgage loans ranging in size from
less than 1% to 10.8% of the pool, with the
top ten loans (excluding defeasance) constituting 47.5%
of the pool. 2 loans, constituting 1.0% of
the pool, have defeased and are secured by US government securities.
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 29,
the same as at Moody's last review.
Seven loans, constituting 6.3% 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 have been liquidated from the pool. One loan, constituting
1.4% of the pool, is currently in special servicing.
The sole specially serviced loan is the Minneapolis Apartment Portfolio
($16.4 million -- 1.4% of the pool),
which is secured by a portfolio consisting of 17 multifamily properties
with 430 units totaling 237,630 square feet (SF) and seven retail
spaces in two of the properties totaling 7,641 SF. All of
the properties of the portfolio are located in South Minneapolis within
a short distance from downtown Minneapolis. The loan transferred
to specially servicing due to an ongoing inquiry from the city into the
rental license of the Sponsor. The inquiry was made after a lawsuit
was filed against the Borrower. A settlement with the Borrower
has been finalized after an October 2017 remediation. The borrower
will have to up to nine months to sell the assets on an individual basis
and repay the loan in full. Moody's estimates a modest loss for
the specially serviced loan.
Moody's received full year 2016 operating results for 95.4%
of the pool, and full or partial year 2017 operating results for
98.8% of the pool (excluding specially serviced and defeased
loans). Moody's weighted average conduit LTV is 106.0%,
compared to 110.2% at 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 15.5% 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 1.47X and 1.07X,
respectively, compared to 1.41X and 1.01X 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.
There are eleven loans ($42.5 million -- 3.6%
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 is in White Plains.
The top three conduit loans represent 22.8% of the pool
balance. The largest loan is the Woodbridge Center Loan ($128.6
million -- 10.8% of the pool), which is secured
by a 1.1 million SF component of a two-story, regional
mall in Woodbridge, New Jersey. The mall anchors include
Macy's, Sears, Boscov's, JC Penney, Lord and Taylor
and Dick's Sporting Goods. Macy's, JC Penny and Lord &
Taylor own their respective stores and are not included as collateral
for the loan. As of September 2017, the total mall was 97%
occupied and the inline space was 88% occupied, compared
to 95% for the total mall and 82% for the inline space as
of December 2016. The loan is comprised of two pari-passu
note components totaling $247.3 million. Moody's
LTV and stressed DSCR are 125.1% and 0.8X,
compared to 126.5% and 0.79X, respectively,
at the last review.
The second largest loan is the Bloomberg Data Center Loan ($80.7
million -- 6.8% 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 lease extension options,
renewable in periods of five and ten years. Due to the single tenant
exposure, Moody's value incorporated a lit/dark analysis.
Moody's LTV and stressed DSCR are 100.3% and 1.26X,
compared to 102.2% and 1.24X, respectively,
at the last review.
The third largest loan is the Sugar Creek I & II Loan ($62.6
million -- 5.3% of the pool), which is secured
by two adjacent, eight-story office buildings located in
Sugarland, Texas, 20 miles southwest of the Houston CBD.
Both buildings are of Class-A quality. Sugar Creek-I
was constructed in 2000 while Sugar Creek-II was completed in 2008.
Collateral for the loan also includes a four-story 1,198-space
parking garage in addition to 326 surface parking spaces. As of
September 2017, the property was 92% leased, compared
to 83% as of September 2016 and 95% at securitization.
The asset is also encumbered with $8.6 million of mezzanine
financing held outside the trust. Moody's LTV and stressed DSCR
are 130.3% and 0.83X, respectively, the
same as at Moody's 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.
Suzanna Sava
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Gregory Reed
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
