Fitch Ratings downgrades 6 classes of WaMu Commercial Mortgage Securities Trust 2007-SL2, commercial mortgage pass-through certificates. A detailed list of rating actions follows at the end of this release.
The downgrades reflect a greater certainty of expected losses across the pool. Fitch's expected losses for the transaction are 6.35% of the current transaction balance. Fitch has designated 121 loans (23%) as Fitch Loans of Concern, which includes 30 specially serviced assets (5.7%). Given the small balance nature of the loans, Fitch ran additional stress scenarios by increasing cap rate scenarios. Given these scenarios, the Rating Outlook for the investment grade classes was deemed to be Stable.
As of the June 2012 distribution date, the pool's certificate balance has paid down 31.6% to $576 million from $842 million at issuance. There are 504 of the original 664 loans remaining in the transaction. There are currently 30 specially serviced loans (5.7%) in the deal. The average loan size for the transaction is $1.1 million. To date, the transaction has incurred $18.4 million in losses, representing 2.2% of the original transaction.
The largest contributor to Fitch expected loss (0.3%) is secured by a 47,000 square foot retail property located in San Dimas, CA. The property is 100% vacant due to the single tenant vacating at lease end in April 2011. No updates were available on leasing activity.
The second largest contributor to Fitch expected loss (0.89%) is secured by a 169,751 square foot (sf) industrial warehouse property located in Woodland, CA. The asset is currently real-estate owned (REO). The special servicer is currently marketing the asset for sale.
The third largest contributor to Fitch expected loss (0.8%) is secured by a mixed-use property located in Lynbrook, NY. The loan is specially serviced and currently 90 days delinquent. The special servicer is moving to have the loan dismissed from bankruptcy and the bankruptcy hearing is scheduled for July 20, 2012.
Fitch downgrades, and assigns or revises Recovery Ratings on the following classes as indicated:
--$25.3 million class C to 'CCCsf'from 'B-'; RE 100%;
--$16.8 million class D to 'CCsf' from 'B-'; RE 100%;
--$6.3 million class E to 'Csf' from 'B-'; RE 100%;
--$7.4 million class F to 'Csf' from 'CCC'; RE 10%;
--$13.7 million class G to 'Csf' from 'CCC' RE 0%;
--$4.2 million class H to 'Csf' from 'CC' RE 0%.
Fitch affirms and revises Outlooks on the following classes as indicated:
--$69.7 million class A1 at 'BBB-sf'; Outlook Stable;
--$405.7 million class A-1A at 'BBB-sf'; Outlook Stable;
--$17.9 million class B at 'BBsf'; Outlook to Negative from Stable;
--$5.3 million class J at 'Csf'; RE 0%;
--$2.1 million class K at 'Csf'; RE 0%.
Classes L and M remain at 'Dsf'; RE 0% due to principal losses incurred.
Class N is not rated by Fitch. Fitch had previously withdrawn the rating of the interest-only class X.
For additional information on the withdrawal of the rating on the interest-only class, see 'Fitch Revises Practice for Rating IO & Pre-Payment Related Structured Finance Securities', dated June 23, 2010.
Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (June 6, 2012);
--'Surveillance Methodology for U.S. Fixed-Rate CMBS Transactions' (Dec. 21, 2011).
Applicable Criteria and Related Research:
Surveillance Methodology for U.S. Fixed-Rate CMBS Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=662869
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923
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