Approximately $1.1 Billion of Structured Securities Affected
New York, September 08, 2016 -- Moody's Investors Service, ("Moody's") has
affirmed the ratings on seventeen classes and upgraded the ratings on
three classes in Wachovia Bank Commercial Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 2007-C34
as follows:
Cl. A-1A, Affirmed Aaa (sf); previously on Oct
8, 2015 Affirmed Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Oct
8, 2015 Affirmed Aaa (sf)
Cl. A-M, Upgraded to Aa3 (sf); previously on
Oct 8, 2015 Affirmed A2 (sf)
Cl. A-J, Upgraded to Ba2 (sf); previously on
Oct 8, 2015 Affirmed B1 (sf)
Cl. B, Upgraded to B1 (sf); previously on Oct 8,
2015 Affirmed B2 (sf)
Cl. C, Affirmed B3 (sf); previously on Oct 8,
2015 Affirmed B3 (sf)
Cl. D, Affirmed Caa2 (sf); previously on Oct 8,
2015 Affirmed Caa2 (sf)
Cl. E, Affirmed Caa3 (sf); previously on Oct 8,
2015 Affirmed Caa3 (sf)
Cl. F, Affirmed Ca (sf); previously on Oct 8,
2015 Affirmed Ca (sf)
Cl. G, Affirmed C (sf); previously on Oct 8, 2015
Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Oct 8, 2015
Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Oct 8, 2015
Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Oct 8, 2015
Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on Oct 8, 2015
Affirmed C (sf)
Cl. M, Affirmed C (sf); previously on Oct 8, 2015
Affirmed C (sf)
Cl. N, Affirmed C (sf); previously on Oct 8, 2015
Affirmed C (sf)
Cl. O, Affirmed C (sf); previously on Oct 8, 2015
Affirmed C (sf)
Cl. P, Affirmed C (sf); previously on Oct 8, 2015
Affirmed C (sf)
Cl. Q, Affirmed C (sf); previously on Oct 8, 2015
Affirmed C (sf)
Cl. IO, Affirmed Ba3 (sf); previously on Oct 8,
2015 Affirmed Ba3 (sf)
RATINGS RATIONALE
The ratings on three P&I classes, classes A-M,
A-J and B, were upgraded primarily due to Moody's expectation
of additional increases in credit support resulting from the payoff of
loans approaching maturity that are well positioned for refinance.
The pool has paid down by 3% since Moody's last review and loans
constituting 37% of the pool that have either defeased or have
debt yields exceeding 12.0% and are scheduled to mature
within the next 24 months.
The ratings on Classes A-3 and A-1A, 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 ratings on fourteen P&I classes,
classes C through Q, were affirmed because the ratings are consistent
with Moody's expected loss.
The rating on the IO class, Class IO, was affirmed based on
the credit performance (or the weighted average rating factor or WARF)
of the referenced classes.
Moody's rating action reflects a base expected loss of 12.2%
of the current balance, compared to 15.0% at Moody's
last review. Moody's base expected loss plus realized losses is
now 11.1% of the original pooled balance, compared
to 13.4% 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 December 2014.
Please see the Ratings Methodologies page on www.moodys.com
for a copy of this methodology.
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 23,
compared to 25 at Moody's last review.
DEAL PERFORMANCE
As of the August 17, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 25.5% to
$1.1 billion from $1.5 billion at securitization.
The certificates are collateralized by 96 mortgage loans ranging in size
from less than 1% to 13.6% of the pool, with
the top ten loans constituting 43% of the pool. There are
no loans that have an investment-grade structured credit assessment.
Eight loans, constituting 9.5% of the pool,
have defeased and are secured by US government securities.
Eighteen loans, constituting 14.3% 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.
Eight loans have been liquidated from the pool, resulting in an
aggregate realized loss of $29.9 million (for an average
loss severity of 28.8%). Eleven loans, constituting
20.4% of the pool, are currently in special servicing.
The largest specially serviced loan is the Sheraton Park Hotel Loan ($65.0
million -- 5.9% of the pool), which
is secured by a 486-room full-service hotel in Anaheim,
California located adjacent to Anaheim Convention Center and within easy
walking-distance to Disneyland theme park. The loan transferred
to special servicing in February 2012 due to imminent monetary default
and became real estate owned (REO) in June 2013. The property underwent
renovations throughout 2014. The special servicer indicated that
the resolution strategy is to continue to stabilize the asset and to sell
it by the fourth quarter of 2017.
The remaining ten specially serviced loans are secured by a mix of property
types. Moody's estimates an aggregate $103.7 million
loss for the specially serviced loans (46% expected loss on average).
Moody's has assumed a high default probability for six poorly performing
loans, constituting 9.8% of the pool, and has
estimated an aggregate loss of $16.2 million (a 15%
expected loss based on a 50% probability default) from these troubled
loans.
Moody's received full year 2015 operating results for 88% of the
pool, and full or partial year 2016 operating results for 58%
of the pool. Moody's weighted average conduit LTV is 94.3%,
compared to 97.3% 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 10.8% to the most recently available net operating income
(NOI). Moody's value reflects a weighted average capitalization
rate of 9.7%.
Moody's actual and stressed conduit DSCRs are 1.49X and 1.25X,
respectively, compared to 1.58X and 1.34X 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.
The top three conduit loans represent 13.6% of the pool
balance. The largest loan is the Ashford Hospitality Pool 5 Loan
($149.4 million -- 13.6% of the pool),
which is secured by a portfolio of five hotels, including three
Marriott-flagged hotels in New Jersey, Texas, and North
Carolina, a Sheraton-flagged hotel in Pennsylvania,
and an Embassy Suites-flagged hotel in Arizona. Financial
performance has improved since last review with an increase in occupancy
and revenue per available room (RevPAR). Occupancy and RevPAR for
the trailing twelve months ending June 2016 were 73.97%
and $111.51, compared to the occupancy and RevPar
for the trailing twelve months ending August 2015 of 70% and $108.
Moody's was informed that the current borrowers for the Ashford
Hospitality Pool 5 loan have elected to defease the loan with US Government
Securities and on August 19, 2016 disseminated the following press
release: https://www.moodys.com/research/Moodys-WBCMT-2007-C34-Ratings-Unaffected-by-Proposed-Defeasance-of--PR_353897
The second largest loan is the Integrated Health Campus Loan ($55.2
million -- 5.0% of the pool), which is secured
by a 302,000 square foot (SF) medical office property located in
the Allentown-Bethlehem, Pennsylvania area. As per
the March 2016 rent roll the property was 91.8% occupied,
compared to 100% leased as of June 2015. Moody's LTV and
stressed DSCR are 105.9% and 0.92X, respectively,
compared to 108.8% and 0.89X at the last review.
The third largest loan is a retail and industrial portfolio loan,
originally known as the Cole REIT Portfolio Loan ($46.6
million -- 4.2% of the pool), which is secured
by a 512,000 square foot (SF) portfolio of fourteen cross-collateralized
and cross-defaulted loans secured by fourteen single-tenant
properties across eleven states. Spirit Realty is now the sponsor
after merging with Cole Credit Property Trust II in July 2013.
The largest tenant is Sam's Club (135,000 SF; 26% NRA)
occupying one location in Anderson, South Carolina. The second
largest tenant is Wal-Mart (93,000 SF; 18% NRA)
occupying two locations in New London, Wisconsin and Spencer,
Indiana. The third largest tenant is Ashley Furniture (75,000
SF; 15% NRA) occupying one location in Amarillo, Texas.
The portfolio was 100% leased as of March 2016, the same
as in June 2015. Moody's LTV and stressed DSCR are 118%
and 0.86X, respectively, compared to 115.9%
and 0.89X at the 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.
Ruby Kaur
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
Matthew Halpern
AVP-Analyst/Manager
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
