Press Release|CMBS

KBRA Downgrades Four Ratings and Affirms All Other Ratings for WFCM 2015-C28

22 Mar 2024   |   New York


KBRA downgrades the ratings of four classes of certificates and affirms all other outstanding ratings of WFCM 2015-C28, a $946.2 million CMBS conduit transaction. The rating actions follow a surveillance review of the transaction, which has exhibited a worsening in pool performance since securitization and reflect KBRA’s estimated losses for two K-LOCs (5.7%) and the resulting loss adjusted C/E levels.

As of the March 2024 remittance period, there are two specially serviced loans (5.6%), including one loan (4.3%) that is 90+ days delinquent and one loan (1.4%) that is matured non-performing. KBRA identified six K-LOCs (8.5%), including the specially serviced assets. These include one of the top 10 loans:

  • 3 Beaver Valley Road (7th largest, 4.3% of the pool balance, 43.1% estimated loss severity)

One other K-LOC has an estimated loss:

  • Washington Square (1.4%, 49.3%)

The remaining four K-LOCs do not have estimated losses and represent 2.8% of the pool balance.

Excluding the K-LOCs with estimated losses, the transaction’s WA KLTV is 89.4%, compared to 91.0% at last review and 105.5% at securitization. The KDSC is 1.94x, compared to 1.91x at last review and 1.62x at securitization.

Details concerning the classes with rating changes are as follows:

  • Class E to B (sf) from BB- (sf)
  • Class F to CCC (sf) from B- (sf)
  • Class X-E to B (sf) from BB- (sf)
  • Class X-F to CCC (sf) from B- (sf)

To access rating and relevant documents, click here.

Click here to view the report.

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Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

Doc ID: 1003637

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