Fitch Ratings has downgraded seven and affirmed four classes of
RATING ACTIONSENTITY/DEBT RATING PRIOR
WFRBS 2013-C15
A-3 92938CAC1
LT AAAsf Affirmed AAAsf
A-4 92938CAD9
LT AAAsf Affirmed AAAsf
A-S 92938CAF4
LT Asf Downgrade AAAsf
A-SB 92938CAE7
LT AAAsf Affirmed AAAsf
B 92938CAH0
LT BBBsf Downgrade Asf
C 92938CAJ6
LT CCCsf Downgrade BBsf
D 92938CAL1
LT CCsf Downgrade CCCsf
E 92938CAN7
LT Csf Downgrade CCsf
F 92938CAQ0
LT Csf Affirmed Csf
PEX 92938CAK3
LT CCCsf Downgrade BBsf
X-A 92938CAG2
LT Asf Downgrade AAAsf
VIEW ADDITIONAL RATING DETAILS
KEY RATING DRIVERS
Increased Loss Expectations: The downgrades and Negative Outlooks reflect higher loss expectations since Fitch's last rating action on two regional mall loans,
Fitch's current ratings reflect a base case loss for the pool of 16.1%. The Negative Outlooks reflect losses that could reach 17.4% after factoring additional pandemic-related stresses.
There are 11 Fitch Loans of Concern (FLOCs; 54.4%), including three specially serviced loans (11.6%). In addition to
Fitch's base loss expectation on the
The loan, which is sponsored by
Per the
Fitch's base loss expectation on the
The loan, which is sponsored by a joint venture between
The remaining collateral anchor
While loss expectations on the specially serviced
The loan transferred to special servicing in
Collateral anchors include
Increased Credit Enhancement (CE): As of the
Three loans (15.1%) are full-term interest only, including the largest loan in the pool; all other remaining loans (84.9%) are currently amortizing. Loan maturities are concentrated in 2023 (97.6%), with one loan maturing in 2021 (1.1%) and two loans in 2028 (1.2%).
Coronavirus Exposure: Six loans (17.9%) are secured by hotel properties and 16 loans (45.8%) are secured by retail properties, including three regional malls (34.3%) in the top five loans. Fitch applied additional stresses to two hotel loans and four retail loans to account for potential cash flow disruptions due to the coronavirus pandemic; these additional stresses contributed to the Negative Rating Outlooks.
Alternative Loss Consideration: Fitch considered an additional scenario in addition to its base case scenario, where only the three regional mall loans remain in the pool. Classes A-S through F are reliant on proceeds from regional mall loans for repayment. This scenario contributed to the Negative Rating Outlooks.
RATING SENSITIVITIES
The Negative Rating Outlooks reflect the potential for downgrade due to concerns surrounding the ultimate impact of the coronavirus pandemic and performance concerns associated with the FLOCs, primarily the regional mall loans. The Stable Rating Outlooks reflect the increased CE from paydowns and defeasance and continued expected amortization.
Factors that could, individually or collectively, lead to positive rating action/upgrade:
Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance.
Upgrades to classes A-S, B and X-A are not likely due to continued performance and refinance concerns with the regional mall loans, but could occur if performance stabilizes and/or any of these loans or the specially serviced assets are resolved with better recoveries than expected. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls.
Upgrades to the 'Csf', 'CCsf' and 'CCCsf' categories are unlikely absent significant performance improvement on the FLOCs and substantially higher recoveries than expected on the regional mall FLOCs and specially serviced assets.
Factors that could, individually or collectively, lead to negative rating action/downgrade:
Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans.
Downgrades to classes A-3, A-4 and A-SB are not considered likely due to their position in the capital structure, but may occur if interest shortfalls affect these classes. These classes are not reliant on regional mall loans to pay in full.
Downgrades to classes A-S, B and X-A may occur if expected losses for the pool increase substantially from continued performance deterioration of the regional mall loans or with greater losses than expected and/or all of the loans susceptible to the coronavirus pandemic suffer losses.
Further downgrades of the 'Csf', 'CCsf' and 'CCCsf' rated classes would occur with increased certainty of losses or as losses are realized.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING
The principal sources of information used in the analysis are described in the Applicable Criteria.
ESG CONSIDERATIONS
WFRBS 2013-C15 has an ESG Relevance Score of '4' for Exposure to Social Impacts due to significantly high retail exposure, including three underperforming regional malls as a result of changing consumer preferences in shopping, which has a negative impact on the credit profile, and is highly relevant to the ratings in conjunction with other factors.
Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg.
Additional information is available on www.fitchratings.com
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