CHICAGO--(BUSINESS WIRE)--Fitch Ratings has issued a presale report on Wells Fargo Commercial Mortgage Securities, Inc.'s WFRBS Commercial Mortgage Trust 2014-C24 Pass-Through Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as follows:
--$34,202,000 class A-1 'AAAsf'; Outlook Stable;
--$55,254,000 class A-2 'AAAsf'; Outlook Stable;
--$86,298,000 class A-3 'AAAsf'; Outlook Stable;
--$240,000,000 class A-4 'AAAsf'; Outlook Stable;
--$286,297,000 class A-5 'AAAsf'; Outlook Stable;
--$59,202,000 class A-SB 'AAAsf'; Outlook Stable;
--$99,234,000c class A-S 'AAAsf'; Outlook Stable;
--$860,487,000b class X-A 'AAAsf'; Outlook Stable;
--$44,860,000c class B 'AA-sf'; Outlook Stable;
--$32,625,000c class C 'A-sf'; Outlook Stable;
--$176,719,000c class PEX 'A-sf'; Outlook Stable;
--$21,750,000ab class X-C 'BBsf'; Outlook Stable;
--$12,235,000ab class X-D 'Bsf'; Outlook Stable;
--$72,047,000a class D 'BBB-sf'; Outlook Stable;
--$21,750,000a class E 'BBsf'; Outlook Stable;
--$12,235,000a class F 'Bsf'; Outlook Stable.
aPrivately placed and pursuant to rule 144A/Reg D/Reg S.
bNotional amount an interest only.
cClass 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 Oct. 21, 2014. Fitch does not expect to rate the $149,532,000 interest-only class X-B, $43,500,577 interest-only class X-E, or the $43,500,577 class G. Fitch also does not expect to rate the $34,400,000 class SJ-A, $34,400,000 interest-only class X-SJ, $28,400,000 class SJ-B, $30,400,000 class SJ-C, or the $53,300,000 class SJ-D, which represent the beneficial interests in the non-pooled St. Johns Town Center B note.
The certificates represent beneficial ownership in the trust, primary assets of which are 86 loans secured by 109 commercial properties having an aggregate principal balance of approximately $1.088 billion as of the cutoff date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Rialto Mortgage Finance, LLC, Liberty Island Group I, LLC, the Royal Bank of Scotland, 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 75.6% of the properties by balance as well as cash flow analysis and asset summary reviews on 77.9% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The transaction has high leverage, consistent with other recent Fitch-rated fixed-rate transactions. The pool's Fitch debt service coverage ratio (DSCR) and loan to value (LTV) are 1.20x and 105.8%, respectively, compared with the first half 2014 averages of 1.19x and 105.6%, respectively.
Very Limited Amortization: The pool is scheduled to amortize by only 9.3% of the initial pool balance prior to maturity. Approximately 29.9% of the pool is full term interest only, 46.9% of the pool is partial interest only and 23.2% of the pool consists of amortizing balloon loans. Fitch-rated transactions in the first half of 2014 had an average full-term interest-only percentage of 18.3% and partial interest-only percentage of 37.8%.
Lower Loan Concentration: Loan concentration is lower than that of other recent transactions. The largest loan represents 9.5% of the pool, and the top 10 loans represent 46.2%. The average top 10 concentrations for first-half 2014 and 2013 conduit transactions were 52.5% and 54.5%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 9.6% below the most recent net operating income (NOI; for properties for which 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-C24 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 'BBB+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 'BBB-sf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on pages 75 - 76.
The master servicer will be Wells Fargo Bank, National Association rated 'CMS1-' by Fitch. The special servicer will be Rialto Capital Advisors, LLC 'CSS2-' by Fitch.
The presale report is available at 'www.fitchratings.com' or by clicking on the link.
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' (August 2014);
--'Rating Criteria for U.S. Commercial Mortgage Servicers' (February 2014);
--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (December 2013);
--'Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions' (September 2014).
Applicable Criteria and Related Research: WFRBS Commercial Mortgage Trust 2014-C24 (US CMBS)
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=797908
Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748778
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389
Rating Criteria for U.S. Commercial Mortgage Servicers
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=735382
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=724961
Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=772328
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=904414
ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.