CHICAGO--(BUSINESS WIRE)--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.
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)
Global Structured Finance Rating Criteria
Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions
Counterparty Criteria for Structured Finance and Covered Bonds
Rating Criteria for U.S. Commercial Mortgage Servicers