KBRA Downgrades Ratings for Two Classes and Affirms All Other Ratings for WFCM 2017-C38
28 Jun 2024 | New York
KBRA downgrades the ratings of two classes of certificates and affirms all other outstanding ratings of WFCM 2017-C38, a $998.8 million CMBS conduit transaction. The ratings actions follow a surveillance review of the transaction, which has exhibited a worsening in pool performance since securitization and last review including an increase in estimated losses on three K-LOCs (5.2% of the pool) and the resulting loss adjusted C-E levels.
As of the June 2024 remittance period, there are two specially serviced loans (4.9% of the pool balance), one of which is current (4.5%) and one of which is over 90 days delinquent (0.4%). KBRA identified nine loans (16.7%) as K-LOCs which include three top 10 loans (12.5%):
- Long Island Prime Portfolio - Melville (5th largest, 4.8%)
- 225 & 233 Park Avenue South (6th largest, 4.5%, 13.7% estimated loss severity)
- Valley Creek Corporate Center (9th largest, 3.3%)
Two other K-LOCs have estimated losses:
- Rite Aid - Allentown (0.4% of the pool balance, 23.0%)
- Shoppes at Hunters Run (0.3%, 24.0%)
Excluding the K-LOCs with estimated losses, the transaction has a WA KLTV of 96.3%, as compared to 91.7% at last review and 90.0% at securitization. The KDSC is 2.07x, as compared to 2.15x at last review and 2.23x at securitization.
Details concerning the classes that have been downgraded are as follows:
- Class E BB- (sf) to B (sf)
- Class F B- (sf) to CCC (sf)
To access rating and relevant documents, click here.
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