KBRA Downgrades Nine Ratings and Affirms All Other Ratings for WFCM 2016-LC24
6 Sep 2024 | New York
KBRA downgrades the ratings of nine classes of certificates and affirms all other outstanding ratings of WFCM 2016-LC24, an $860.9 million CMBS conduit transaction. The rating actions follow a surveillance review of the transaction, which has exhibited an increase in KBRA's estimated losses from six K-LOCs (15.9%), including three loans in the top 10, compared to last review. From a positive perspective, the transaction, particularly at the top of the capital structure, has benefited from deleveraging from loan payoffs, amortization, and defeasance.
As of the August 2024 remittance period, there are two (2.8%) specially serviced assets, including one REO asset (2.0%). KBRA identified 12 loans (21.2%) as K-LOCs, including the specially serviced assets. The K-LOCs include three (12.5%) of the top 10 loans:
- 1140 Avenue of the Americas (4th largest, 5.2% of the pool balance, 62.7% estimated loss severity)
- One Meridian (5th largest, 4.1%, 30.5%)
- Pinnacle II (7th largest, 3.1%, 43.9%)
Three other K-LOCs (3.4%) have estimated losses:
- One & Two Corporate Plaza (2.0%, 79.7%)
- Holiday Inn Hotel & Suites Beaufort (0.8%, 16.1%)
- Grove Park Center (0.6%, 11.4%)
The remaining six K-LOCs, representing 5.3% of the pool balance, do not have estimated losses.
Excluding the K-LOCs with estimated losses, the transaction's WA KLTV is 85.5%, compared to 92.5% at last review and 99.2% at securitization. The KDSC is 2.00x, which was in line with last review and above 1.97x at securitization.
Details concerning the classes with rating changes are as follows:
- Class D to BB (sf) from BBB- (sf)
- Class E to B (sf) from BBB- (sf)
- Class F to CCC (sf) from BB+ (sf)
- Class G to CC (sf) from BB- (sf)
- Class H to C (sf) from B- (sf)
- Class X-D to BB (sf) from BBB- (sf)
- Class X-EF to CCC (sf) from BB+ (sf)
- Class X-G to CC (sf) from BB- (sf)
- Class X-H to C (sf) from B- (sf)
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