NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks to WFRBS Commercial Mortgage Trust 2014-C23 Pass-Through Certificates:
--$43,360,000 Class A-1 'AAAsf'; Outlook Stable;
--$33,162,000 Class A-2 'AAAsf'; Outlook Stable;
--$8,500,000 Class A-3 'AAAsf'; Outlook Stable;
--$245,000,000 Class A-4 'AAAsf'; Outlook Stable;
--$257,750,000 Class A-5 'AAAsf'; Outlook Stable;
--$70,822,000 Class A-SB 'AAAsf'; Outlook Stable;
--$56,451,000b Class A-S 'AAAsf'; Outlook Stable;
--$44,691,000b Class B 'AA-sf'; Outlook Stable;
--$35,281,000b Class C 'A-sf'; Outlook Stable;
--$136,423,000b Class PEX 'A-sf'; Outlook Stable;
--$715,045,000* Class X-A 'AAAsf'; Outlook Stable;
--$11,761,000*a Class X-C 'BBsf'; Outlook Stable;
--$17,641,000*a Class X-D 'Bsf'; Outlook Stable;
--$76,444,000a Class D 'BBB-sf'; Outlook Stable;
--$11,761,000a Class E 'BBsf'; Outlook Stable;
--$17,641,000a Class F 'Bsf'; 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.
Fitch does not rate the $156,416,000 interest-only class X-B, the $39,986,629 interest-only class X-E, the $39,033,711 interest-only class X-Y, or the $39,986,629 class G.
The certificates represent the beneficial ownership in the trust, primary assets of which are 92 loans secured by 111 commercial properties having an aggregate principal balance of approximately $940.8 million 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, NCB, FSB, C-III Commercial Mortgage LLC and Basis Real Estate Capital II, LLC.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 73.8% of the properties by balance, cash flow analysis of 78.3%, and asset summary reviews on 78.3% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The pool's Fitch DSCR and LTV are 1.31x and 109.2%, respectively, compared with the first half 2014 averages of 1.19x and 105.6%, respectively. However, excluding the 20 co-op properties (4.8% of the pool), the pool's Fitch DSCR and LTV are 1.10x and 113.3%, respectively. This represents higher leverage than other recent Fitch-rated fixed-rate deals, excluding the 19 loans collateralized by cooperative housing (co-op) properties.
Pool Concentration: The 10 largest loans represent 53.2% of the total pool balance and the top 3 loans represent 28.3% of the total pool balance. The LCI for the pool is 431 and the SCI is 444 - both are higher than recent comparable transactions.
Limited Amortization: Approximately 16.1% of the pool is full-term interest-only and 57.8% is partial term interest-only. The remainder of the pool (43 loans, 26.1%) consists of amortizing balloon loans with loan terms of five to 10 years. Based on the scheduled balance at maturity, the pool will pay down 12.8%.
California Concentration: 37.7% of the pool is located in California, including five of the top 10 loans. Further, 13.7% of the pool is secured by retail properties in California, including three of the top 10 loans. The California properties are located in distinct markets throughout 10 counties situated in both northern and southern California, including: Los Angeles, Riverside, Contra Costa, Ventura, Kern, Merced, Marin, Sonoma, Imperial, and Santa Cruz.
For this transaction, Fitch's net cash flow (NCF) was 3% below the most recent NOI (for properties that a recent NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and could result in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to WFRBS 2014-C23 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 88 - 89.
The master servicers are Wells Fargo Bank, National Association and NCB, FSB, rated 'CMS1-' and 'CMS2-', respectively, by Fitch. The special servicers are CWCapital Asset Management, 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' (June 2014);
--'Global Structured Finance Rating Criteria' (May 2014);
--'Rating Criteria for U.S. Commercial Mortgage Servicers' (February 2014);
--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (December 2013).
Applicable Criteria and Related Research:
Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions
Global Structured Finance Rating Criteria
Rating Criteria for U.S. Commercial Mortgage Servicers
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria