Approximately $15 Million of Structured Securities Affected
New York, December 19, 2013 -- Moody's Investors Service (Moody's) upgraded the ratings of two classes
and downgraded one class of Wachovia Bank Commercial Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2003-C6
as follows:
Cl. N, Upgraded to Aaa (sf); previously on Jul 25,
2013 Upgraded to B2 (sf)
Cl. O, Upgraded to B1 (sf); previously on Jul 25,
2013 Affirmed Caa3 (sf)
Cl. IO, Downgraded to Caa3 (sf); previously on Jul 25,
2013 Downgraded to B2 (sf)
RATINGS RATIONALE
The upgrades of the P&I classes are primarily due to increased credit
support resulting from loan paydowns and amortization. The deal
has paid down 78% since last review without an increase in realized
losses. Class N is also fully covered by defeasance.
The downgrade of the IO Class, Class IO, is due to a decline
in 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 10.6%
of the current balance compared to 3.8% at Moody's
prior review. Moody's base expected loss plus realized losses is
now 0.8% of the original pooled balance compared to 0.9%
at the prior review. Moody's provides a current list of base
expected losses for conduit and fusion CMBS transactions on moodys.com
at http://v3.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 may indicate that the collateral's
credit quality is stronger or weaker than Moody's had previously anticipated.
Factors that may cause an upgrade of the ratings include significant loan
paydowns or amortization, an increase in the pool's share
of defeasance or overall improved pool performance. Factors that
may cause a downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased 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.
DESCRIPTION OF MODELS USED
Moody's review utilized the excel-based CMBS Conduit Model
v 2.64 which is used 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 used by Moody's to
estimate Moody's value). Conduit model results at the B2
(sf) level are driven by a paydown analysis based on the individual loan
level Moody's LTV ratio. Other concentrations and correlations
may be considered in our analysis. Based on the model pooled credit
enhancement levels at Aa2 (sf) and B2 (sf), 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 assessments is melded with the conduit model credit enhancement
into an overall model result. Negative pooling, or adding
credit enhancement at the credit assessment level, is incorporated
for loans with similar credit assessments 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 five
compared to eight at prior review.
In cases where the Herf falls below 20, Moody's uses the excel-based
Large Loan Model v 8.6 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. These aggregated
proceeds are then further adjusted for any pooling benefits associated
with loan level diversity, other concentrations and correlations.
DEAL PERFORMANCE
As of the December 16, 2013 distribution date, the transaction's
aggregate pooled certificate balance has decreased by 98% to $15
million from $953 million at securitization. The Certificates
are collateralized by seven mortgage loans ranging in size from 5%
to 27% of the pool. One loan, representing 15%
of the pool, has been defeased and is collateralized with U.S.
Government Securities.
No loans are currently on the master servicer's watchlist.
Six loans have been liquidated at a loss from the pool, resulting
in an aggregate realized loss of $5.5 million (19%
loss severity on average). Two loans, representing 37%
of the pool, are currently in special servicing. The largest
specially serviced loan is the Trader Joe's Plaza Loan ($4.2
million -- 27.3% of the pool), which 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. The lender continues to dual track a workout
with the borrower and foreclosure. The property was 74%
leased as of December 2012.
The other specially serviced loan is also secured by a retail property.
The servicer does not currently recognize an appraisal reduction for this
deal, while Moody's estimates a $1.5 million
loss (27% expected loss on average) for the specially serviced
loans.
Moody's was provided with full year 2012 and partial year 2013 operating
results for 100% of the pool. Moody's weighted average
conduit LTV is 80% compared to 87% at Moody's prior
review. Moody's conduit component excludes loans with credit
assessments, defeased and CTL loans and specially serviced and troubled
loans. Moody's net cash flow (NCF) reflects a weighted average
haircut of 24% 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 0.92X and 1.40X,
respectively, compared to 1.26X and 1.30X at prior
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% stressed
rate applied to the loan balance. Moody's stressed DSCR is greater
than Moody's actual DSCR for this transaction because the actual debt
constant for the pool is greater than Moody's 9.25% stressed
rate.
The top three conduit loans represent 43% of the pool balance.
The largest conduit loan is the Rite Aid -- Las Vegas, NV Loan
($2.9 million -- 19.0% of the pool),
which is secured by a 17,000 SF retail property located in Las Vegas,
Nevada. The loan is fully leased to Rite Aid, which subleases
the space to Dollar General. The loan is fully amortizing and the
loan and lease are co-terminous. Moody's incorporated
a lit/dark analysis for this property. Moody's LTV and stressed
DSCR are 91% and 1.19X, respectively, compared
to 76% and 1.25X at last review.
The second largest conduit loan is the Bailey Building Loan ($2.1
million -- 13.6% of the pool), which is secured
by a 45,000 SF office located in Montgomery, Alabama.
The property is 78% leased as of October 2013. Moody's
LTV and stressed DSCR are 64% and 1.62X, respectively,
compared to 61% and 1.60X at last review.
The third largest conduit loan is the Rite Aid -- Bayville,
NJ Loan ($1.5 million - 10.0% of the
pool), which is secured by an 11,000 SF retail property located
in Bayville, New Jersey. The loan is fully leased to Rite
Aid. The loan is not fully amortizing, but has already amortized
30% since securitization. Moody's incorporated a lit/dark
analysis for this property. Moody's LTV and stressed DSCR
are 87% and 1.25X, respectively, compared to
79% and 1.30X 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.
Peter Simon
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
Michael Gerdes
MD - Structured Finance
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 Upgrades Two and Downgrades One Class of WBCMT 2003-C6
