NEW YORK--(BUSINESS WIRE)--Fitch Ratings has issued a presale report on Wells Fargo Commercial Mortgage Trust 2015-C26 Commercial Mortgage Pass-Through Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as follows:
--$69,600,000 class A-1 'AAAsf'; Outlook Stable;
--$37,759,000 class A-2 'AAAsf'; Outlook Stable;
--$225,000,000 class A-3 'AAAsf'; Outlook Stable;
--$252,840,000 class A-4 'AAAsf'; Outlook Stable;
--$88,249,000 class A-SB 'AAAsf'; Outlook Stable;
--$76,966,000ab class A-S 'AAAsf'; Outlook Stable;
--$750,414,000a class X-A 'AAAsf'; Outlook Stable;
--$42,090,000b class B 'AA-sf'; Outlook Stable;
--$49,306,000b class C 'A-sf'; Outlook Stable;
--$168,362,000b class PEX 'A-sf'; Outlook Stable;
--$19,242,000ac class X-C 'BBsf'; Outlook Stable;
--$9,620,000ac class X-D 'Bsf'; Outlook Stable;
--$46,901,000c class D 'BBB-sf'; Outlook Stable;
--$19,242,000c class E 'BBsf'; Outlook Stable;
--$9,620,000c class F 'Bsf'; Outlook Stable.
(a) Notional amount and interest-only.
(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.
(c) Privately placed and pursuant to Rule 144A.
The expected ratings are based on information provided by the issuer as of January 28, 2015. Fitch does not expect to rate the $138,297,000a class X-B, the $44,496,709ac class X-E certificates, or the $44,496,709c class G certificates.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 102 loans secured by 116 commercial properties having an aggregate principal balance of approximately $962 million, as of the cutoff date. The loans were contributed to the trust by Wells Fargo Bank, N.A., Liberty Island Group I LLC, Rialto Mortgage Finance, LLC, C-III Commercial Mortgage, LLC, Silverpeak Real Estate Finance LLC, Walker & Dunlop Commercial Property Funding I WF, LLC, Basis Real Estate Capital II, LLC and National Cooperative Bank, N.A., FSB.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 64.3% of the properties by balance, cash flow analysis of 79.6%, and asset summary reviews on 79.6% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The pool's Fitch DSCR and LTV are 1.35x and 105.9%, respectively. However, excluding the 15 co-op properties (4.6% of the pool), the pool's Fitch DSCR and LTV are 1.16x and 109.5%, respectively. This represents higher leverage than other recent Fitch-rated fixed-rate multiborrower transactions, excluding the 15 loans collateralized by co-op properties. The 2014 average fusion Fitch DSCR was 1.19x, and the average fusion Fitch LTV was 106.2%.
Diverse Pool: The 10 largest loans represent 34.2% of the total pool balance, lower than average. In 2014 the top 10 loans averaged 50.1%. The LCI for the pool is 198 and the SCI is 221 -- both are lower than recent comparable transactions.
Above Average Amortization: Based on the scheduled balance at maturity, the pool will pay down 15.9%. Only 1.0% of the pool is full-term interest-only. However, 54.6% is partial-term interest-only. The remainder of the pool (56 loans, 44.4%) consists of amortizing balloon loans. Fitch-rated transactions in 2014 had an average full-term interest-only percentage of 20.1% and a partial interest-only percentage of 42.8%.
For this transaction, Fitch's net cash flow (NCF) was 17.85% 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 WFCM 2015-C26 certificates and found that the transaction displays slightly above 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 10 - 11.
The master servicer will be Wells Fargo Bank, N.A, rated 'CMS1-' by Fitch. The special servicer will be Midland Loan Services, a Division of PNC Bank, National Association, rated 'CSS1' by Fitch.
Additional Information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions' (June 18, 2014);
--'Global Structured Finance Rating Criteria' (Aug. 20, 2014);
--'Rating Criteria for U.S. Commercial Mortgage Servicers' (Feb. 14, 2014);
--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (Dec. 10, 2014);
--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 14, 2014).
Applicable Criteria and Related Research: WFCM 2015-C26 Mortgage Trust
Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions
Global Structured Finance Rating Criteria - Effective from 20 May 2014 to 4 August 2014
Rating Criteria for U.S. Commercial Mortgage Servicers
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria
Counterparty Criteria for Structured Finance and Covered Bonds