Fitch Upgrades Wachovia 2003-C3
KEY RATING DRIVERS
The upgrade is due to better than expected recoveries on a specially serviced asset, in addition class J is now fully covered by defeased collateral. Credit enhancement has improved since last review due to payoffs from the underlying pool. The pool is concentrated with only five loans remaining. The largest loan (77% of the pool) became real estate owned (REO) in March 2014. Fitch modeled losses of 40% of the remaining pool; expected losses on the original pool balance total 4.9%, including losses already incurred. The pool has experienced \$41 million (4.4% of the original pool balance) in realized losses to date. Fitch has designated two loans (78%) as Fitch Loans of Concern, which includes the one specially serviced asset.
As of the March 2015 distribution date, the pool's aggregate principal balance has been reduced by 98.6% to \$13.2 million from \$937.3 million at issuance. Per the servicer reporting, two loans (11.2%) are defeased. Interest shortfalls are currently affecting classes K through P.
The REO asset is an 189,000 square foot (sf) office property (77%) located in Scranton, PA. The loan transferred to the special servicer in February 2013 due to cash flow issues and delinquent payments. Servicer reported occupancy at the property was 67% as of September 2014. The servicer continues to market the vacant space.
RATING SENSITIVITIES
The rating on the class J notes is expected to be stable and the class is expected to repay in full within the next one to two payment periods. The rating on the class K notes may be subject to further downgrades as losses are realized, or upgraded if recovery prospects improve.
Fitch has upgraded the following class:
--\$99,662 class J notes to 'Asf' from 'Bsf'; Outlook Stable.
Fitch has affirmed the following classes as indicated:
--\$9.4 million class K notes at 'CCsf'; RE 80%;
--\$4.5 million class L notes at 'Dsf'; RE 0%;
--Class M notes at 'Dsf'; RE 0%;
--Class N notes at 'Dsf'; RE 0%;
--Class O notes at 'Dsf'; RE 0%.
Classes A-1, A-2, B, C, D, E, F, G, H, and IO-II have repaid in full. Fitch does not rate class P. The class IO-I notes were previously withdrawn.
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