Approximately $604.5 Million of Structured Securities Affected
New York, March 09, 2011 -- Moody's Investors Service (Moody's) upgraded the ratings of two classes
and affirmed 12 classes of Wachovia Commercial Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 2002-C1
as follows:
Cl. A-3, Affirmed at Aaa (sf); previously on
May 23, 2002 Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on
May 23, 2002 Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Feb 8,
2006 Upgraded to Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Apr 12,
2007 Upgraded to Aaa (sf)
Cl. D, Affirmed at Aaa (sf); previously on Apr 12,
2007 Upgraded to Aaa (sf)
Cl. E, Affirmed at Aaa (sf); previously on Sep 25,
2008 Upgraded to Aaa (sf)
Cl. F, Upgraded to Aa1 (sf); previously on Sep 25,
2008 Upgraded to Aa2 (sf)
Cl. G, Upgraded to A1 (sf); previously on Apr 12,
2007 Upgraded to A2 (sf)
Cl. H, Affirmed at Baa1 (sf); previously on Apr 12,
2007 Upgraded to Baa1 (sf)
Cl. J, Affirmed at Ba1 (sf); previously on Apr 12,
2007 Upgraded to Ba1 (sf)
Cl. K, Affirmed at Ba2 (sf); previously on Apr 12,
2007 Upgraded to Ba2 (sf)
Cl. M, Affirmed at B2 (sf); previously on May 23,
2002 Definitive Rating Assigned B2 (sf)
Cl. N, Affirmed at B3 (sf); previously on May 23,
2002 Definitive Rating Assigned B3 (sf)
Cl. IO-I, Affirmed at Aaa (sf); previously on
May 23, 2002 Definitive Rating Assigned Aaa (sf)
RATINGS RATIONALE
The upgrades are due to an increase in subordination from payoffs and
amortization and an increase in defeasance. The pool has paid down
33% since securitization and 21% since last review.
The affirmations are due to key parameters, including Moody's
LTV ratio, Moody's stressed debt service coverage ratio (DSCR)
and the Herfindahl Index (Herf), remaining within acceptable ranges.
Based on our current base expected loss, the credit enhancement
levels for the affirmed classes are sufficient to maintain their current
ratings.
Moody's rating action reflects a cumulative base expected loss of
3.2% of the current balance. At last review,
Moody's cumulative base expected loss was 1.7%.
Moody's stressed scenario loss is 7.3% of the current
balance. Moody's provides a current list of base and stress
scenario losses for conduit and fusion CMBS transactions on moodys.com
at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
Depending on the timing of loan payoffs and the severity and timing of
losses from specially serviced loans, the credit enhancement level
for investment grade classes could decline below the current levels.
If future performance materially declines, the expected level of
credit enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these
expectations. Performance that falls outside an acceptable range
of the key parameters may indicate that the collateral's credit
quality is stronger or weaker than Moody's had anticipated during
the current review. Even so, deviation from the expected
range will not necessarily result in a rating action. There may
be mitigating or offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to amortization
and loan payoffs or a decline in subordination due to realized losses.
Primary sources of assumption uncertainty are the current sluggish macroeconomic
environment and varying performance in the commercial real estate property
markets. However, Moody's expects to see increasing or stabilizing
property values, higher transaction volumes, a slowing in
the pace of loan delinquencies and greater liquidity for commercial real
estate in 2011. The hotel and multifamily sectors are continuing
to show signs of recovery, while recovery in the office and retail
sectors will be tied to recovery of the broader economy. The availability
of debt capital continues to improve with terms returning toward market
norms. Moody's central global macroeconomic scenario reflects an
overall sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
The principal methodology used in this rating was "Moody's Approach
to Rating Fusion U.S. CMBS Transactions " published in April
2005. 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.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 level are driven
by property type, Moody's actual and stressed DSCR,
and Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit
model results at the B2 level are driven by a paydown analysis based on
the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity,
is a primary determinant of pool level diversity and has a greater impact
on senior certificates. Other concentrations and correlations may
be considered in our analysis. Based on the model pooled credit
enhancement levels at Aa2 and B2, 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, the credit enhancement for loans with investment-grade
credit estimates is melded with the conduit model credit enhancement into
an overall model result. Fusion loan credit enhancement is based
on the credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is incorporated
for loans with similar credit estimates in the same transaction.
Moody's uses a variation of Herf to measure diversity of loan size,
where a higher number represents greater diversity. Loan concentration
has an important bearing on potential rating volatility, including
risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf score is 40. The pool has a Herf of 56
compared to 77 at Moody's prior review.
Moody's ratings are determined by a committee process that considers
both quantitative and qualitative factors. Therefore, the
rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance
of commercial mortgage backed securities (CMBS) transactions. 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 April 12, 2007.
Please see the ratings tab on the issuer / entity page on moodys.com
for the last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third-party due diligence report on the underlying assets or financial
instruments related to the monitoring of this transaction in the past
six months.
DEAL PERFORMANCE
As of the February 15, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 33% to $636.6
million from $950.0 million at securitization. The
Certificates are collateralized by 119 mortgage loans ranging in size
from less than 1% to 3% of the pool, with the top
ten loans representing 22% of the pool. The pool includes
23 loans, representing 23% of the pool, that have been
fully defeased and are secured by U.S. Government securities.
Defeasance accounted for 20% of the pool at last review.
Twenty-eight loans, representing 23% 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) 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.
Four loans have been liquidated from the pool, resulting in a realized
loss of $3.7 million (15% loss severity on average).
There are three loans, representing 5% of the pool,
in special servicing. The servicer recognized a $2.5
million appraisal reduction for one of the specially serviced loans,
the Dana Corporation -- Rochester Hills Loan ($6.9
million -- 1% of the pool). Moody's has estimated
a $3.4 million loss for this loan. The other two
specially serviced loans mature in the next nine months. Both loans
have a debt yield in excess of 10% based on the most recently available
net operating income. Moody's believes both loans are refinance
candidates and is not estimating a loss for them.
Moody's has assumed a high default probability for seven poorly
performing loans representing 6% of the pool and has estimated
an aggregate $8.8 million loss (25% expected loss
based on a 50% probability default) from these troubled loans.
Moody's was provided with full year 2009 and partial year 2010 operating
results for 95% and 86% of the pool's non-defeased
loans, respectively. Excluding specially serviced,
troubled and defeased loans, Moody's weighted average LTV
is 76% compared to 82% at Moody's prior review.
Moody's net cash flow reflects a weighted average haircut of 12%
to the most recently available net operating income. Moody's
value reflects a weighted average capitalization rate of 9.5%.
Excluding specially serviced, troubled and defeased loans,
Moody's actual and stressed DSCRs are 1.37X and 1.38X,
respectively, compared to 1.33X and 1.25X at last
review. Moody's actual DSCR is based on Moody's net
cash flow (NCF) and the loan's actual debt service. Moody's
stressed DSCR is based on Moody's NCF and a 9.25%
stressed rate applied to the loan balance.
The top three performing conduit loans represent 8% of the pool
balance. The largest loan is the Broadmoor Towne Center Loan ($17.0
million -- 2.7% of the pool), which is secured
by a 173,000 square foot (SF) community shopping center located
in Colorado Springs, Colorado. Although the loan is current,
it is on the watchlist due to upcoming lease expirations. However,
all tenants with upcoming lease expirations have either renewed or been
replaced and the center is 100% leased as of December 2010.
Moody's LTV and stressed DSCR is 74% and 1.38X,
respectively, compared to 80% and 1.29X at last review.
The second largest loan is the 215 East 23rd Street Loan ($16.0
million - 2.5% of the pool), which is secured
by a 74-unit Class A multifamily property with street level retail
located in the Gramercy Park area of New York City. The property
is 100.0% leased to the School of Visual Arts for a 10-year
term and is used by the school as student housing. Moody's LTV
and stressed DSCR is 52% and 1.66X, respectively,
compared to 61% and 1.43X at last review.
The third largest loan is the Maine Crossing Loan ($15.7
million -- 2.5% of the pool), which is secured
by a 149,000 SF retail center located in South Portland, Maine.
The property is shadow anchored by Target. Although Maine Mall,
a 1 million SF regional mall, is the dominant mall in the trade
area the subject property has performed well. Moody's current
LTV and stressed DSCR are 74% and 1.39X, compared
to 101% and 1.01X at last review.
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, and confidential and proprietary Moody's
Analytics information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Peter Simon
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Keith Banhazl
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
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Upgrades Two and Affirms 12 CMBS Classes of WBCMT 2002-C1
