Approximately $350.5 million of structured securities affected
New York, March 04, 2019 -- Moody's Investors Service ("Moody's") has downgraded
the ratings on three classes and affirmed the ratings on four classes
in Wachovia Bank Commercial Mortgage Trust Series 2007-C33 as follows:
Cl. A-J, Downgraded to Caa1 (sf); previously
on Aug 23, 2018 Affirmed Ba3 (sf)
Cl. B, Downgraded to C (sf); previously on Aug 23,
2018 Affirmed Caa2 (sf)
Cl. C, Downgraded to C (sf); previously on Aug 23,
2018 Affirmed Ca (sf)
Cl. D, Affirmed C (sf); previously on Aug 23,
2018 Affirmed C (sf)
Cl. E, Affirmed C (sf); previously on Aug 23,
2018 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Aug 23,
2018 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Aug 23,
2018 Affirmed C (sf)
RATINGS RATIONALE
The ratings on three P&I classes were downgraded due to higher anticipated
losses from the specially serviced loans. The higher losses are
driven by the deterioration in performance of the Independence Mall Loan
and the high expected loss severity from the reported sale of the asset.
The ratings on four P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
Moody's rating action reflects a base expected loss of 67.5%
of the current pooled balance, compared to 56.2% at
Moody's last review. Moody's base expected loss plus realized losses
is now 14.0% of the original pooled balance, compared
to 12.9% 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, 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 "Moody's Approach
to Rating Large Loan and Single Asset/Single Borrower CMBS" published
in July 2017. Please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
Moody's analysis also incorporated a loss and recovery approach in rating
the P&I classes in this deal since 90% of the pool is in special
servicing and Moody's has identified an additional troubled loan,
representing 1.4% of the pool. In this approach,
Moody's determines a probability of default for each specially serviced
and troubled loan that it expects will generate a loss and estimates a
loss given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer advances
to date, estimated future advances and closing costs. Translating
the probability of default and loss given default into an expected loss
estimate, Moody's then applies the aggregate loss from specially
serviced loans to the most junior class and the recovery as a pay down
of principal to the most senior class.
DEAL PERFORMANCE
As of the February 15, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 90% to $350.5
million from $3.6 billion at securitization. The
certificates are collateralized by nine mortgage loans ranging in size
from 1% to 57% of the pool. The remaining loans are
either in special servicing (90% of the pool) or have been previously
modified.
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 three,
the same as the last review.
Forty-five loans have been liquidated from the pool, resulting
in an aggregate loss to the trust of $266 million (for an average
loss severity of 42%). Currently, the pool is composed
of six loans in special servicing representing 90% of the pool,
five of which are already REO.
The largest specially serviced loan is the Independence Mall Loan ($200.0
million -- 56.8% of the pool), which is secured
by a 398,000 SF portion of a regional mall located in Independence,
Missouri, located approximately 10 miles east of downtown Kansas
City, Missouri. The mall's non-collateral anchors
include Macy's, Sears, and Dillard's. The loan originally
transferred to special servicing in May 2017 because the borrower was
unable to repay the loan at the scheduled maturity date in July 2017.
The loan become REO in May 2018 and a recent sale of the property was
reported for $57 million. A significant loss is expected
from the liquidation of this loan.
The second largest specially serviced loan is the Central / Eastern Industrial
Pool ($80.7 million -- 22.9% of the pool),
which is secured by 13 single tenant industrial properties totaling 2.1
million square feet (SF) and located across several U.S.
states. The buildings range in size from 30,080 square feet
to 433,006 square feet, with an average size of 161,755
square feet. The loan transferred to special servicing in July
2010 for imminent default. The loan is currently REO and the master
servicer recognized a $43.0 million appraisal reduction
as of the most recent remittance report. The special servicer has
indicated that sale of nine properties closed in January 2019 and the
remaining four are currently being marketed for sale.
The third largest specially serviced loan is the Pocatello Square Loan
($17.1 million -- 4.8% of the pool),
which is secured by a 138,925 SF retail property located in Pocatello,
ID. The loan was transferred to special servicing in May 2017 for
imminent default. The loan is currently REO and the master servicer
has recognized a $6.7 million appraisal reduction.
The special servicer indicated the property is currently being offered
for sale.
The remaining three specially serviced loans are secured by a mix of property
types. Moody's estimates an aggregate $230 million loss
for the specially serviced loans (72% expected loss on average)
and 100% loss on the troubled B-Note of $4.9
million, further described below.
As of the February 15, 2019 remittance statement cumulative interest
shortfalls were $82.4 million. Moody's anticipates
interest shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are caused
by special servicing fees, including workout and liquidation fees,
appraisal entitlement reductions (ASERs), loan modifications and
extraordinary trust expenses.
The remaining performing loans, represent 8.7% of
the pool. The first loan is the Riverside Plaza - A note
Loan ($18.2 million -- 5.2% of the pool),
which is secured by a 217,936 SF anchored retail center in Keene,
NH. The property is anchored by Wal-Mart. The original
loan was modified in July 2018 and included a split into an $18.2
million A-Note and a $4.9 million B-Note (hope
note) as well as an extended maturity date. As part of the modification
this loan is now also cross-collateralized with the Key Road Plaza
Loan (described below).
The second loan is the Key Road Plaza Loan ($12.4 million
-- 3.5% of the pool), which is secured
by a 83,634 SF retail center located in Keene, NH.
The loan was previously in special servicing and was modified in conjunction
with the above loan. The modification included a $500,000
principal paydown, an extended maturity date and is now cross-collateralized
with the Riverside Plaza loan. Both loans remain current and performing
under the terms of the modification.
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.
Dariusz Surmacz
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
