DBRS Confirms Ratings of Waterfall Victoria Mortgage Trust, Series 2011-SBC2

DBRS has today confirmed the ratings of Waterfall Victoria Mortgage Trust, Series 2011-SBC2 as follows:

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

All trends are Stable. DBRS does not rate the bottom two classes in the capital stack, Class M-4 and Class M-5.

The confirmations reflect the performance of the underlying collateral coupled with the increased credit enhancement to the bonds from loan liquidations, early repayments and amortization. The collateral for the transaction originally consisted of 175 fixed- and floating-rate loans secured by 175 commercial properties. The loans were originated between 2003 and 2009, having an average seasoning of 33 months at issuance. Approximately 91.4% of the transaction balance was secured by 162 fully amortizing loans.

Since issuance, 25 of the original 175 loans have either paid off in advance of maturity or been liquidated from the trust, contributing to the total collateral reduction of 21.3%. Realized losses remain small as the liquidations of only three loans: Prospectus ID#6, ID#75 and ID#138 combined resulted in a loss to the trust of approximately $575,000, which has been contained to the unrated Class M-5.

Given that 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 February 2013 remittance report, there are 13 loans representing 8.3% of the pool in special servicing. DBRS analyzed these loans assuming a 100% probability of default and elevated losses. According to the March 2012 remittance report, there are 38 loans on the servicer’s watchlist, representing 24.0% of the outstanding pool balance.

DBRS continues to monitor this transaction in its Monthly CMBS Surveillance Report, with additional information on the DBRS viewpoint for this transaction, including details on the largest loans in the pool and loans on the servicer’s watchlist. The February 2013 Monthly CMBS Surveillance Report for this transaction will be published shortly. If you are interested in receiving this report, contact us at info@dbrs.com.

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

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

The applicable methodologies are CMBS Rating Methodology (January 2012) and CMBS North American Surveillance Methodology (November 2012), which can be found on our website under Methodologies.