Fitch to Rate WFCG Commercial Mortgage Trust 2015-BXRP; Presale Issued

CHICAGO--()--Fitch Ratings has issued a presale report on WFCG Commercial Mortgage Trust series 2015-BXRP

Fitch expects to rate the transaction and assign Rating Outlooks as follows:

--$410,050,000 class A 'AAAsf'; Outlook Stable;

--$87,950,000 class B 'AA-sf'; Outlook Stable;

--$62,000,000 class C 'A-'sf; Outlook Stable;

--$68,000,000 class D 'BBB-sf'; Outlook Stable.

Fitch does not expect to rate classes E, F, G or the interest-only class X.

The expected ratings are based on information provided by the issuer as of March 24, 2015.

The WFCG commercial mortgage trust series 2015-BXRP represents the beneficial interest in the mortgage loan securing the fee interest in and associated rents for a portfolio of 45 retail properties totaling 6.6 million square feet, located in 20 states. Proceeds from the loan were used to acquire the portfolio from American Realty Capital Properties, Inc. for a purchase price of $1.098 billion.

KEY RATING DRIVERS

Cash Equity: As part of the acquisition of the portfolio the sponsors contributed just over $307.5 million in cash equity, representing 28.0% of the purchase price.

Geographically Diverse and Granular Pool: The loan is secured by 45 retail properties located in 20 states. No state represents more than 14.3% of the total loan balance and only four states represent more than 10% of the total allocated loan amount.

Diverse Tenant Composition: The portfolio includes approximately 342 distinct tenants with no tenants representing more than 4.1% of rents or 3.8% of square footage.

Institutional Sponsorship and Management: The loan is sponsored BRE DDR Retail Holdings III LLC, which is jointly owned by affiliates of the Blackstone Group, L.P. (rated 'A+'/'F1' by Fitch) (95%) and DDR Corp. (rated 'BBB-') (5%) and will be managed by DDR. As of Dec. 31, 2014, Blackstone had over $290.4 billion in assets under management. DDR is one of the largest owners and managers of value-oriented shopping centers in the U.S. totaling 415 centers and 118 million sf.

High Fitch Leverage: The $796.6 million whole loan has a Fitch debt service coverage ratio (DSCR) and loan to value (LTV) of 0.94x and 97.3%, respectively. The portfolio was recently acquired for a total cost of $1.098 billion, implying a loan to cost ratio of 72.5%. No additional future debt is permitted.

RATING SENSITIVITIES

Fitch performed several stress scenarios in which the Fitch NCF was stressed.

Fitch determined that an approximate 75.8% reduction in Fitch's NCF would cause the notes to break even at a 1.0x DSCR, based on the actual debt service.

Fitch found that the pool could withstand a 61.6% decline in value (based on appraised values at issuance) and an approximately 54.6% decrease to the 2014 first-quarter annualized cash flow prior to experiencing a $1 of loss to the 'AAAsf' rated class. Additionally, Fitch found that the pool could withstand a 41.2% decline in value and an approximately 30.5% decrease in the most recent actual cash flow prior to experiencing $1 of loss to any 'BBB-sf' rated class.

Fitch evaluated the sensitivity of the ratings for 'AAA' rated class A and an 11.2% decline in Fitch NCF would result in a one category downgrade, while a 34.5% decline would result in a downgrade to below investment grade.

The Rating Sensitivity section in the presale report includes a detailed explanation of additional stresses and sensitivities.

Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report. The presale report is available to all investors on Fitch's web site 'www.fitchratings.com'.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (March 2015);

--'Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions' (March 2015);

-- Counterparty Criteria for Structured Finance and Covered Bonds (May 2014);

-- Rating Criteria for U.S. Commercial Mortgage Servicers (May 2014).

Applicable Criteria and Related Research: WFCG Commercial Mortgage Trust 2015-BXRP (US CMBS)

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=814368

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268

Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=862818

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Rating Criteria for U.S. Commercial Mortgage Servicers

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=735382

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=982534

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.

Contacts

Fitch Ratings, Inc.
Primary Analyst
Lauren Cerda
Senior Director
+1-312-606-2317
Fitch Ratings, Inc.
70 West Madison Street
Chicago, IL 60602
or
Secondary and Surveillance Analyst
Daniel Anderson
Associate Director
+1-312-606-2305
or
Committee Chairperson
Robert Vrchota
Managing Director
+1-312-368-3336
or
Media Relations
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings, Inc.
Primary Analyst
Lauren Cerda
Senior Director
+1-312-606-2317
Fitch Ratings, Inc.
70 West Madison Street
Chicago, IL 60602
or
Secondary and Surveillance Analyst
Daniel Anderson
Associate Director
+1-312-606-2305
or
Committee Chairperson
Robert Vrchota
Managing Director
+1-312-368-3336
or
Media Relations
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com