NEW YORK--(BUSINESS WIRE)--Fitch Ratings has issued a presale report on WFRBS Commercial Mortgage Trust 2014-C19 Pass-Through Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as follows:
--$75,637,000 class A-1 'AAAsf'; Outlook Stable;
--$36,949,000 class A-2 'AAAsf'; Outlook Stable;
--$98,933,000 class A-3 'AAAsf'; Outlook Stable;
--$210,000,000 class A-4 'AAAsf'; Outlook Stable;
--$249,163,000 class A-5 'AAAsf'; Outlook Stable;
--$101,859,000 class A-SB 'AAAsf'; Outlook Stable;
--$73,116,000b class A-S 'AAAsf'; Outlook Stable;
--$845,657,000* class X-A 'AAAsf'; Outlook Stable;
--$75,875,000b class B 'AA-sf'; Outlook Stable;
--$40,006,000b class C 'A-sf'; Outlook Stable;
--$188,997,000b class PEX 'A-sf'; Outlook Stable;
--$175,202,000* class X-B 'BBB-sf'; Outlook Stable;
--$59,321,000a class D 'BBB-sf'; Outlook Stable;
--$27,590,000a class E 'BB-sf'; Outlook Stable;
--$11,037,000a class F 'B-sf'; Outlook Stable.
* Notional amount and interest-only.
a Privately placed pursuant to Rule 144A.
b Class A-S, B and C certificates may be exchanged for class PEX certificates; and class PEX certificates may be exchanged for class A-S, B and C certificates.
The expected ratings are based on information provided by the issuer as of March 3, 2014. Fitch does not expect to rate the $44,145,379 class G.
The certificates represent the beneficial ownership in the trust, primary assets of which are 99 loans secured by 133 commercial properties having an aggregate principal balance of approximately $1.104 billion as of the cutoff date. The loans were contributed to the trust by Wells Fargo Bank, National Association; The Royal Bank of Scotland; Liberty Island Group I LLC; Basis Real Estate Capital II LLC; C-III Commercial Mortgage LLC.; and NCB, FSB.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 76.4% of the properties by balance, cash flow analysis of 82.7%, and asset summary reviews on 85.4% of the pool.
KEY RATING DRIVERS
Fitch Leverage: This transaction has leverage metrics that are slightly higher than recent Fitch-rated fixed-rate deals. The pool's Fitch debt service coverage ratio (DSCR) and loan to value (LTV) are 1.27x and 103.8%, respectively, compared with the 2013 averages of 1.29x and 101.6%, respectively. Excluding the eight loans collateralized by cooperative housing (co-op) properties, which comprise 3.3% of the pool, the Fitch DSCR and LTV are 1.17x and 106.4%, respectively.
Lower Loan Concentration: The pool is less concentrated by loan size and sponsor, as compared to other recent Fitch-rated fixed-rate deals. The top 10 loans represent 38.9% of the pool, which is less than the 2013 average concentration of 54.5%. Comprising 99 loans and 133 properties, the pool is more diverse on an aggregate loan and property basis when compared to the 2013 averages of 70 loans and 106 properties. The pool has a loan concentration index (LCI) and sponsor concentration index (SCI) of 252 and 297, respectively, which represents one of the least concentrated transactions in 2013 and 2014 to date.
More Amortization: Of the pool, four loans (3.8%) are full interest-only and 17 loans (28.2%) are partial interest-only. The remaining pool (78 loans, 68.0%) consists of amortizing balloon loans with loan terms of five to 10 years. As a result, the pool is scheduled to amortize by 16.8%.
For this transaction, Fitch's net cash flow (NCF) was 20.2% below the most recent net operating income (NOI) (for properties for which historical NOI was provided, excluding properties that were stabilizing during the most recent reporting period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severity on defaulted loans, and could result in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to WFRBS 2014-C19 certificates and found that the transaction displays average sensitivity to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on pages 79-80.
The master servicers will be Wells Fargo Bank, National Association and NCB, FSB, rated 'CMS1-' and 'CMS2-', respectively, by Fitch. The special servicers will be LNR Partners, LLC, and NCB, FSB rated 'CSS1-' and 'CSS3+', respectively, by Fitch.
The presale report is available at 'www.fitchratings.com'.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions (August 2013);
--Global Structured Finance Rating Criteria (May 2013);
--Criteria for Special-Purpose Vehicles in Structured Finance Transactions (May 2012);
-- Rating Criteria for U.S. Commercial Mortgage Servicers (February 2014);
--U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria (December 2013);
--Counterparty Criteria for Structured Finance and Covered Bonds (May 2013).
Applicable Criteria and Related Research: WFRBS Commercial Mortgage Trust 2014-C19 (US CMBS)
Rating Criteria for U.S. Commercial Mortgage Servicers
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria
Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions
Global Structured Finance Rating Criteria
Criteria for Special-Purpose Vehicles in Structured Finance Transactions - Effective 13 June 2011 to 30 May 2012
Counterparty Criteria for Structured Finance and Covered Bonds