DBRS Confirms Ratings of 16 Classes of WBCMT 2004-C15, Downgrades Six

DBRS has today downgraded six classes in the Wachovia Bank Commercial Mortgage Trust Series 2004-C15 transaction as follows:

Class H from BB (sf) to B (sf)
Class J from B (sf) to CCC (sf)
Class K from B (low) (sf) to CCC (sf)
Class L from CCC (sf) to C (sf)
Class M from CCC (sf) to C (sf)
Class N from CCC (sf) to C (sf)

In addition, DBRS has confirmed Classes A-1 through G and Class O, including the notional Class X-C. DBRS has also confirmed the ratings of the rake bonds associated with the non-pooled 175 West Jackson B-note. DBRS does not rate the first loss piece, Class P. The trends on Class A-1A through Class H, including Class X-C are Stable. DBRS notes that Class L through Class O are designated as Interest in Arrears.

The downgrade is a result of the estimated losses associated with the loans in special servicing, which are expected to affect the DBRS-rated Class L. Furthermore, the estimated losses incurred by the trust, with respect to the specially serviced loans, will erode the credit enhancement to a number of the lower-rated classes, prompting further downgrades.

DBRS shadow-rates two loans in the transaction, 175 West Jackson (Prospectus ID#1) and Coastal Grand Mall (Prospectus ID#2), as investment-grade. DBRS has today confirmed that the performance of these loans remains consistent with investment-grade loan characteristics.
The transaction has seasoned for almost eight years, with 76 loans remaining out of the original 87. The transaction also benefits from defeasance collateral, representing 2.99% of the current pool balance. The total collateral reduction as of the March remittance report is approximately 29%. Additionally, DBRS expects that Prospectus ID#6, an office building in Fresno, California, that is wholly leased to the IRS through 2018, will repay in full.

The rest of the transaction continues to exhibit stable performance. As of the March 2012 remittance, the pool as a whole reported a weighted-average DSCR of 1.31x.
According to the March 2012 remittance report, there are four loans in special servicing and 18 loans on the servicer’s watchlist, which represent 8.58% and 24.07% of the current pool balance, respectively.

As part of its review, DBRS analyzed the top 15 loans, the servicer’s watchlist, the four specially serviced loans and shadow-rated loans, which comprise approximately 71% of the current pool balance.

DBRS will publish a full report shortly that will provide additional analytical detail on this rating action. If you are interested in receiving this report, contact us at info@dbrs.com.

DBRS continues to monitor this transaction in its Monthly CMBS Surveillance Report to assess any material changes at the bond or collateral level that may impact ratings. The Monthly CMBS Surveillance Report also highlights any material updates in the loans on the servicer’s watchlist and any specially serviced loans.

Note:

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