DBRS Finalizes Ratings to WVMT 2011-SBC2

DBRS has today assigned final ratings to the following classes of Waterfall Victoria Mortgage Trust, Series 2011-SBC2. The trends are Stable.

-- Class A at AAA (sf)
-- Class M-1 at AA (sf)
-- Class M-2 at ‘A’ (sf)
-- Class M-3 BBB (sf)

The collateral for the transaction consists of 175 fixed and floating-rate loans secured by 175 multifamily, mixed-use and commercial properties. The loans were originated between 2003 and 2009, and have an average seasoning of 33 months. Greystone Bank originated or purchased 94.4% of the pool by loan balance, with the remainder originated by Lehman Brothers Bank FSB. The average loan size is relatively small at $558,139. Expenses associated with foreclosing on small balance loans represent a higher percentage of loan balance than those associated with larger loans, resulting in a higher severity of loss. There is significant geographic concentration, as 87.5% of the pool is located in just two states, New York and California. The subject properties located in these states are predominantly located in very mature infill neighborhoods with high barriers to entry and very limited land available for development. As loans representing 80.3% of the pool have adjustable rates, the pool suffers from interest rate risk. DBRS modeled floating rate loans with a stressed index of 6.25%, which when added to the loans’ margins results in an average stressed interest rate of 9.1%. This represents an increase of approximately 2% over the actual average current interest rate of 7.1% for floating rate loans in the pool.

DBRS sampled 55 of the 175 loans in the pool, representing 38.9% of the pool. DBRS reviewed the broker price opinions (BPOs) as well as the original credit memo and original appraisal for these loans. In addition, DBRS performed site inspections on 47 of the properties, inspecting the exterior of the property and viewing competitive properties. In general the properties inspected were relatively old, though as the properties are predominantly located in mature neighborhoods that were developed several decades ago, most of the competing product in the market is of a similar vintage and condition as the collateral properties.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The applicable methodology is CMBS Rating Methodology, which can be found on our website under Methodologies.