KBRA Downgrades Eight Ratings and Affirms All Other Ratings for WFCM 2015-NXS2
13 Aug 2024 | New York
KBRA downgrades the ratings of eight classes of certificates and affirms all other ratings of WFCM 2015-NXS2, a $673.9 million CMBS conduit transaction. The rating actions follow a surveillance review of the transaction, which has exhibited an increase in estimated losses compared to KBRA’s last rating adjustments in August 2023. Additionally, the ratings consider the likelihood of interest shortfalls reaching higher in the capital structure as the servicer works through the resolutions of the transaction’s specially serviced assets and loans that may be unable to refinance at their impending maturity dates. 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 July 2024 remittance period, there are eight (23.4%) specially serviced assets, including three (7.0%) that are in foreclosure and one loan (1.9%) that is over 30 days delinquent. KBRA identified 14 loans (38.4%) as K-LOCs, including the specially serviced assets. The K-LOCs include five of the top 10 loans (25.9%):
- Campbell Technology Park (largest, 8.9% of the pool balance, 48.3% estimated loss severity)
- Sea Harbor Office Center (3rd largest, 5.9%, 62.0%)
- Embassy Suites Nashville (4th largest, 5.6%)
- Colman Building (6th largest, 3.3%, 72.8%)
- Hampton Inn Philadelphia Airport (8th largest, 2.2%, 12.8%)
Three other K-LOCs (5.6%) have estimated losses:
- 70 Broad Street (2.1%, 58.6%)
- Interbay Worklofts (1.9%, 41.2%)
- 1200 Madison Avenue (1.6%, 45.9%)
The remaining six K-LOCs, representing 6.9% of the pool balance, do not have estimated losses.
Excluding the K-LOCs with estimated losses, the transaction’s WA KLTV is 102.9%, compared to 106.1% at last review and 107.4% at issuance. The KDSC is 1.57x, compared to 1.62x at last review and 1.75x at issuance.
Details concerning the classes with rating changes are as follows:
- Class B to A- (sf) from AA- (sf)
- Class C to B- (sf) from A- (sf)
- Class PEX to B- (sf) from A- (sf)
- Class D to CC (sf) from BBB- (sf)
- Class E to C (sf) from B (sf)
- Class F to C (sf) from CCC (sf)
- Class X-E to C (sf) from B (sf)
- Class X-F to C (sf) from CCC (sf)
To access rating and relevant documents, click here.
Click here to view the report.