Approximately $678 million of structured securities affected
New York, November 04, 2020 -- Moody's Investors Service, ("Moody's") has
affirmed the ratings on five classes and downgraded the ratings on three
classes in WFRBS Commercial Mortgage Trust 2013-C15 as follows:
Cl. A-3, Affirmed Aaa (sf); previously on November
14, 2019 Affirmed Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on November
14, 2019 Affirmed Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on November
14, 2019 Affirmed Aaa (sf)
Cl. A-SB, Affirmed Aaa (sf); previously on November
14, 2019 Affirmed Aaa (sf)
Cl. B, Downgraded to A2 (sf); previously on November
14, 2019 Affirmed Aa3 (sf)
Cl. C, Downgraded to Ba1 (sf); previously on November
14, 2019 Affirmed A3 (sf)
Cl. X-A*, Affirmed Aaa (sf); previously on
November 14, 2019 Affirmed Aaa (sf)
Cl. PEX**, Downgraded to Baa1 (sf); previously
on November 14, 2019 Affirmed A1 (sf)
* Reflects interest-only classes
** Reflects exchangeable classes
RATINGS RATIONALE
The ratings on four 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 ratings on the P&I classes, Cl. B and Cl.
C, were downgraded due to a decline in pool performance and higher
anticipated losses driven primarily from Kitsap Mall (9.6%
of the pool), which was already experiencing declining net operating
income (NOI) prior to the coronavirus pandemic.
The rating on the IO class was affirmed based on the credit quality of
the referenced classes.
The rating on the exchangeable class, Cl. PEX, was
downgraded due to a decline in credit quality of the referenced exchangeable
classes.
The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to disrupt
economies and credit markets across sectors and regions. Our analysis
has considered the effect on the performance of commercial real estate
from the current weak US economic activity and a gradual recovery for
the coming months. Although an economic recovery is underway,
it is tenuous and its continuation will be closely tied to containment
of the virus. As a result, the degree of uncertainty around
our forecasts is unusually high. Stress on commercial real estate
properties will be most directly stemming from declines in hotel occupancies
(particularly related to conference or other group attendance) and declines
in foot traffic and sales for non-essential items at retail properties.
We regard the coronavirus outbreak as a social risk under our ESG framework,
given the substantial implications for public health and safety.
Moody's rating action reflects a base expected loss of 10.9%
of the current pooled balance, compared to 7.1% at
Moody's last review. Moody's base expected loss plus realized
losses is now 9.7% of the original pooled balance,
compared to 5.8% 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 methodologies used in rating all classes except exchangeable classes
and interest-only classes were "Approach to Rating US and Canadian
Conduit/Fusion CMBS" published in September 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1244778
and "Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in September 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1190579.
The principal methodology used in rating exchangeable classes was "Moody's
Approach to Rating Repackaged Securities" published in June 2020 and available
at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1230078.
The methodologies used in rating interest-only classes were "Approach
to Rating US and Canadian Conduit/Fusion CMBS" published in September
2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1244778,
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in September 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1190579,
and "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in February 2019 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1111179.
Please see the list of ratings at the top of this announcement to identify
which classes are interest-only (indicated by the *) and exchangeable
classes (indicated by the **). Alternatively, please
see the Rating Methodologies page on www.moodys.com for
a copy of these methodologies.
DEAL PERFORMANCE
As of the October 19, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 28% to $792
million from $1.1 billion at securitization. The
certificates are collateralized by 71 mortgage loans ranging in size from
less than 1% to 14% of the pool, with the top ten
loans (excluding defeasance) constituting 60% of the pool.
One loan, constituting 1% of the pool, has an investment-grade
structured credit assessment. Fifteen loans, constituting
12% of the pool, have defeased and are secured by US government
securities. The pool contains nineteen low leverage cooperative
loans, constituting 6% of the pool balance, that were
too small to credit assess; however, have Moody's leverage
that is consistent with other loans previously assigned an investment
grade Structured Credit Assessments.
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 14,
compared to 16 at Moody's last review.
As of the October 2020 remittance report, loans representing 88%
were current on their debt service payments.
Twenty loans, constituting 36% of the pool, are on
the master servicer's watchlist, of which two loans,
representing 11% of the pool, indicate the borrower has requested
relief in relation to coronavirus impact on the property. 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.
Three loans have been liquidated from the pool, resulting in an
aggregate realized loss of $20.4 million (for an average
loss severity of 50%). Four loans, constituting 12%
of the pool, are currently in special servicing. Two of the
specially serviced loans, representing 10% of the pool,
have transferred to special servicing since March 2020.
The largest specially serviced loan is the Kitsap Mall Loan ($75.8
million -- 9.6% of the pool), which is secured
by a 533,480 square feet (SF) component of a 715,225 SF enclosed
regional mall located on the Kitsap Peninsula in Silverdale, Washington,
which is approximately 18 miles west of Seattle, Washington.
The property is currently anchored by Kohl's (which is not part of the
collateral), JC Penney (on a ground lease) and Macy's. One
anchor space is currently vacant following the October 2019 closure of
Sears (105,600 SF). Other major tenants include Barnes &
Noble, Dick's Sporting Goods and H&M. As of the
September 2020 rent roll, the collateral was 90% occupied
and inline occupancy was 66%. As of the September 2020 rent
roll, the mall was 92% leased, compared to 96%
in December 2019 and 100% at securitization. The loan has
amortized 2% since securitization. Property performance
has declined, and the year-end 2019 net operating income
(NOI) was nearly 31% lower than at securitization. The loan
transferred to special servicing in May 2020 due to imminent monetary
default. The loan is last paid through its March 2020 payment date,
and a pre-negotiation letter has been executed. The borrower
has indicated that the title will be handed back to the trust, and
a receiver was appointed in August 2020.
The second largest specially serviced loan is the Gander Mountain Portfolio
Loan ($9.0 million -- 1% of the pool),
which is secured by two single-tenant retail properties in Opelika
Alabama and Valdosta, Georgia. The sole tenant in both of
these properties, Gander Mountain, filed for Chapter 11 Bankruptcy
in March 2017. As of September 2020, a lease was signed for
a single tenant in the Opelika, Alabama property while the Valdosta,
Georgia property remains vacant. The loan has amortized 13%
since securitization. The loan transferred to special servicing
in August 2017 due to imminent monetary default.
The remaining two specially serviced loans are secured by a retail property
and hotel and represent 1% of the pool. Moody's estimates
an aggregate $59.9 million loss (64% expected loss
on average) for the specially serviced loans.
Moody's received full year 2019 operating results for 94% of the
pool, and full or partial year 2020 operating results for 65%
of the pool (excluding specially serviced and defeased loans).
Moody's weighted average conduit LTV is 98%, compared
to 95% 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 24% to the most recently available net operating income (NOI).
Moody's value reflects a weighted average capitalization rate of
10.2%.
Moody's actual and stressed conduit DSCRs are 1.67X and 1.22X,
respectively, compared to 1.78X and 1.28X 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 loan with a structured credit assessment is the 33 Greenwich Owners
Corp. Loan ($11 million -- 1% of the
pool), which is secured by a residential cooperative located in
Manhattan's Greenwich Village neighborhood. Moody's structured
credit assessment is aaa (sca.pd).
The top three conduit loans represent 34% of the pool balance.
The largest loan is the Augusta Mall Loan ($110 million --
14% of the pool), which represents a pari-passu portion
of a $170 million mortgage loan. The loan is secured by
a 500,000 SF portion of a 1.1 million SF super regional mall
in Augusta, Georgia. The mall's anchors include Dillard's,
Sears, Macy's, and JC Penney and each anchor is excluded from
the loan collateral. As of June 2020 rent roll, the inline
occupancy was 93%, compared to 96% as of December
2018. The loan is interest-only loan for the entire loan
term. Moody's LTV and stressed DSCR are 107% and 0.96X,
respectively, compared to 97% and 1.03X at the last
review.
The second largest loan is the Meritage Resort and Spa Loan ($81
million -- 10% of the pool), which is secured
by a full-service independent hotel located in Napa, California.
Amenities include a restaurant, wine bar, business center,
bocce court, fitness room, pool, wine tasting rooms
and a spa. The property was 66% occupied as of August 2020,
compared to 63% as of June 2019. The loan benefits from
amortization and Moody's LTV and stressed DSCR are 106% and 1.13X,
respectively, compared to 83% and 1.44X at the last
review.
The third largest loan is the Carolina Place Loan ($78 million
-- 10% of the pool), which represents a pari-passu
portion of a $161 million mortgage loan. The loan is secured
by a 647,511 SF component of a 1.2 million SF super-regional
mall located in Pineville, North Carolina. The mall is anchored
by Dillard's, Belk, Dick's Sporting Goods and JC Penney (all
non-collateral anchors) Sears, a former collateral anchor
tenant, vacated in early 2019. As of June 2020 rent roll,
the total mall was 83% leased, compared to 73% in
June 2019 and 99% in December 2018. As of the June 2020
rent roll, the collateral portion and in-line were 75%
and 96% leased, respectively. After an initial three-year
interest only period, the loan has amortized by 8% since
securitization. Moody's LTV and stressed DSCR are 120% and
0.90X, respectively, compared to 107% and 0.98X
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 in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
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, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security 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.
The ratings have been disclosed to the rated entity or its designated
agent(s) and issued with no amendment resulting from that disclosure.
These ratings are solicited. Please refer to Moody's Policy
for Designating and Assigning Unsolicited Credit Ratings available on
its website www.moodys.com.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1133569.
At least one ESG consideration was material to the credit rating action(s)
announced and described above.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the EU and is endorsed
by Moody's Deutschland GmbH, An der Welle 5, Frankfurt
am Main 60322, Germany, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that issued the credit rating is available on www.moodys.com.
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
Romina Padhi
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
