S&P: Various Rating Actions Taken On Wachovia Bank Commercial Mortgage Trust Series 2006-C24
Our rating actions on the certificates follow our analysis of the transaction, primarily using our criteria for rating U. S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining loans in the pool, the transaction's structure, and the liquidity available to the trust.
We raised our ratings on classes A-J and B to reflect our expectation of the available credit enhancement for these classes, which we believe is greater than our most recent estimate of necessary credit enhancement for the respective rating levels. The upgrades also follow our views regarding the current and future performance of the transaction's collateral and available liquidity support.
The affirmation on the class C certificates reflects the class' interest shortfall history as well as our view of the class' susceptibility to future interest shortfalls. The affirmations also reflect our views regarding the current and future performance of the transaction’s collateral, the transaction's structure, and liquidity support available to the class.
While available credit enhancement levels suggest further positive rating movements on classes A-J and B and positive rating movement on class C, our analysis considered the susceptibility of the classes to reduced liquidity support from the three specially serviced assets ($22.8 million, 28.1%) and the potential maturity default risk of the Bank of America - Pasadena CA loan ($49.2 million, 60.5%), which has passed its anticipated repayment date in September 2015 and currently has a final maturity date of December 2019. The loan is secured by a 345,945 sq.-ft. office property located in Pasadena, Calif. that is leased 100% to Bank of America until October 2019. The loan hasa reported debt service coverage (DSC) of 0.85x as of year-end 2015.
As of the Sept. 16, 2016, trustee remittance report, the collateral pool balance was $81.0 million, which is 4.0% of the pool balance at issuance. The pool currently includes seven loans, down from 119 loans at issuance. Three ofthese loans are with the special servicer, and four ($58.4 million, 71.9%) areon the master servicer's watchlist. The master servicer, Wells Fargo Bank N. A., reported financial information for all the loans in the pool, of which 68.2% was year-end 2015 data, and the remainder was year-end 2014 data.
Excluding the three specially serviced loans, we calculated a 0.31x S&P GlobalRatings' weighted average DSC and a 128.8% S&P Global Ratings' weighted average loan-to-value ratio using a 7.80% S&P Global Ratings' weighted averagecapitalization rate for the remaining loans.
To date, the transaction has experienced $187.8 million in principal losses, or 9.4% of the original pool trust balance. We expect losses to reach approximately 9.6% of the original pool trust balance in the near term, based on losses incurred to date and additional losses we expect upon the eventual resolution of the three specially serviced loans.
As of the Sept. 16, 2016, trustee remittance report, three loans in the pool were with the special servicer, LNR Partners LLC (LNR). Details of the loans are as follows:
The Oxford Marketplace loan ($10.2 million, 12.5%) is the second-largest loan in the pool and has a total reported exposure of $10.3 million. The loan is secured by a 90,328 sq.-ft. retail center in Oxford, Miss. The loan, which has a reported nonperforming matured balloon payment status, was transferred to the special servicer on Feb. 19, 2016, due to maturity default. This was because the borrower was unable to pay off the loan by the Feb. 11, 2016, maturity date. LNR stated that the lender has engaged counsel and is proceeding with enforcement of remedies. The reported occupancy as of October 2015 was 94.5%. We expect a minimal loss upon thisloan's eventual resolution.
The Union Square loan ($6.3 million, 7.8%) is the third-largest loan in the pool and has a total reported exposure of $6.8 million. The loan is secured by a 74,753 sq.-ft. retail property located in Monroe, N. C. The loan, which has a reported nonperforming matured balloon payment status, was transferred to the special servicer on Jan. 20, 2016, due to maturity default. This was because the borrower was unable to pay off the loan by the maturity date of Feb. 11, 2016. LNR stated that the lender has engagedcounsel and is proceeding with enforcement of remedies. The reported DSC and occupancy as of Sept. 30, 2015, were 1.14x and 71.3%, respectively. Anappraisal reduction amount of $2.4 million is in effect against this loan. We expect a moderate loss upon this loan's eventual resolution.
The 131 Danbury loan ($6.3 million, 7.8%) is the fourth-largest loan in the pool has a total reported exposure of $6.7 million. The loan is secured by a 52,641 sq.-ft. office building located in Wilton, Conn. The loan was transferred to the special servicer on Feb. 12, 2016, due to maturity default. This was because the borrower was unable to pay off the loan by the maturity date of Feb. 11, 2016. The reported DSC and occupancyas of March 31, 2016, were 0.72x and 96.0%, respectively. We expect a minimal loss upon this loan's eventual resolution.
With respect to the specially serviced loans noted above, a minimal loss is less than 25%, a moderate loss is 26%-59%, and a significant loss is 60% or greater.