DBRS Upgrades Three Classes of Waterfall Victoria Mortgage Trust, Series 2011-SBC2

DBRS, Inc. (DBRS) has today upgraded three classes of Waterfall Victoria Mortgage Trust, Series 2011-SBC2 as follows:

-- Class M-1 to AA (high) (sf) from AA (sf)
-- Class M-2 to A (high) (sf) from A (sf)
-- Class M-3 to BBB (high) (sf) from BBB (sf)

DBRS has today also confirmed the rating of Class A at AAA (sf). All trends are Stable. DBRS does not rate Class M-4, Class M-5 or the notional bond, Class XC.

The rating upgrades reflect the stable performance of the underlying collateral, coupled with the increased credit enhancement to the bonds from loan liquidations, early repayments and amortization. Since issuance, 69 of the original 175 loans have either paid off in advance of maturity or been liquidated from the trust. As a result, the total collateral reduction has increased to 50.5% as of the February 2015 remittance. To date, 11 loans have been liquidated from the pool at a combined realized loss of approximately $2.2 million, which has been contained to the unrated Class M-5. According to the most recent year-end financial reporting, the top 15 loans have a weighted-average debt yield of 9.3%.

As of the February 2015 remittance report, there are eight loans in special servicing, representing 7.7% of the pool. DBRS analyzed these loans assuming a 100% probability of default and elevated losses. There are also 45 loans on the servicer’s watchlist, representing 39.0% of the outstanding pool balance. These loans remain current, but are being monitored for low debt service coverage ratios and low occupancy rates.

As part of its review, DBRS analyzed the top 15 loans, the specially serviced loans and the loans on the servicer’s watchlist, which comprise approximately 62.5% of the current 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 2015 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 (January 2015), which can be found on our website under Methodologies.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.