DBRS Confirms Ratings of WVMT 2011-SBC2

DBRS has today confirmed the ratings of Waterfall Victoria Mortgage Trust (WVMT), Series 2011-SBC2 as listed in the table below. All trends are Stable.

The collateral for the transaction originally consisted of 175 fixed and floating-rate loans secured by 175 multifamily, mixed-use and commercial properties. The loans were originated between 2003 and 2009, having an average seasoning of 33 months at issuance.

Since issuance, the pool balance has been reduced by 7.5%, with 169 of the original 175 loans remaining as of the March 2012 remittance report. Given the loans were not originated for securitization and the seasoned nature of this transaction, updated property financial reporting was not available for this surveillance review. Modeling assumptions included DBRS underwritten net cash flow from issuance, an increase in loss severity given default for loans secured by owner-occupied properties and a LIBOR interest rate stress for floating-rate loans. As of the March 2012 remittance report, there are 11 loans representing 5.3% of the pool in special servicing. DBRS analyzed these loans assuming a 100% probability of default. There are 27 loans on the servicer’s watchlist, representing 16.4% of the outstanding pool balance, as of the March 2012 remittance report.

As part of this surveillance review, DBRS analyzed the loans on the servicer’s watchlist, the specially serviced loans, and the top 15 loans in the pool. Combined, these loans represent 43% of the outstanding pool balance, as of the March 2012 remittance report.

Collateral reduction from loan payoffs (six since issuance) and scheduled amortization on the loans totaled 7.5% since issuance. The collateral reduction has resulted in increased credit enhancement to the bonds, continuing to support the ratings as assigned.

For additional detail on the current status and DBRS commentary, please see the March 2012 Monthly Surveillance Report for this transaction, which will be published shortly.

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

The applicable methodologies are CMBS Rating Methodology and CMBS North American Surveillance Methodology, which can be found on our website under Methodologies.