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.