CHICAGO--(BUSINESS WIRE)--Fitch Ratings has assigned the following Ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2015-C30 commercial mortgage pass-through certificates:
--$38,940,000 class A-1 'AAAsf'; Outlook Stable;
--$4,385,000 class A-2 'AAAsf'; Outlook Stable;
--$150,000,000 class A-3 'AAAsf'; Outlook Stable;
--$263,131,000 class A-4 'AAAsf'; Outlook Stable;
--$61,764,000 class A-SB 'AAAsf'; Outlook Stable;
--$51,822,000c class A-S 'AAAsf'; Outlook Stable;
--$570,042,000b class X-A 'AAAsf'; Outlook Stable;
--$43,493,000c class B 'AA-sf'; Outlook Stable;
--$31,464,000c class C 'A-sf'; Outlook Stable;
--$126,779,000c class PEX 'A-sf'; Outlook Stable;
--$39,792,000a class D 'BBB-sf'; Outlook Stable;
--$16,657,000a class E 'BB-sf'; Outlook Stable;
--$16,657,000ab class X-E 'BB-sf'; Outlook Stable;
--$8,328,000a class F 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) 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.
Since Fitch published its expected ratings on July 20, 2015,
the issuer removed the $263,131,000 class A-4FL and the $0 class A-4FX. As such, Fitch withdrew its expected ratings of 'AAAsf' for each class.
Fitch does not rate the $8,329,000a class G, $22,209,909a class H, $74,957,000b interest-only class X-B, $16,657,000ab interest-only class X-FG, or the $22,209,909ab interest-only class X-H certificates.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 101 loans secured by 118 commercial properties having an aggregate principal balance of approximately $740 million as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Rialto Mortgage Finance, LLC, C-III Commercial Mortgage, LLC, Basis Real Estate Capital II, LLC, and National Cooperative Bank, N.A.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 76.8% of the properties by balance, cash flow analysis of 70.5%, and asset summary reviews on 73.8% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The pool's Fitch DSCR and LTV are 1.44x and 104.9%, respectively. However, excluding co-op collateral, the pool's Fitch DSCR and LTV are 1.12x and 110.1%, respectively. This is slightly higher than other recent Fitch-rated transactions. The 2014 and YTD 2015 average Fitch LTVs were 106.2% and 109.3%, respectively. The 2014 and YTD 2015 average Fitch DSCRs were 1.19x and 1.21x, respectively.
Multifamily Concentration and Co-Op Collateral: Multifamily properties comprise 34.6% of the pool, which is greater than the 2014 and YTD 2015 average multifamily concentration of 15.8% and 16.0%, respectively. Multifamily has a below average probability of default in Fitch's multiborrower CMBS model. Additionally, the pool contains 18 loans (6.4% of the pool) secured by multifamily co-ops. All of the multifamily co-ops are located in New York, within the New York City metro area. The weighted average Fitch DSCR and LTV of the co-op collateral in this transaction as rentals are 5.97x and 30.3%, respectively.
Secondary Markets: Eight of the pool's top ten loans are secured by properties located in secondary or tertiary markets. Locations such as Troy MI, Spokane, WA, Little Rock, AR, Columbus, OH, West Sacramento, CA, and Slidell, LA are all represented by top 10 loans.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 17.6% 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 WFCM 2015-C30 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 senior '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 senior 'AAAsf' certificates to 'BBB-sf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on pages 10 - 11.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from Deloitte & Touche LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to each of the 101 mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on the analysis. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link contained on the bottom of the related rating action commentary (RAC).
Additional information is available at www.fitchratings.com.
Applicable Criteria
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158
Criteria for Analyzing Multiborrower U.S. and Canadian Commercial Mortgage Transactions (pub. 28 May 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=865499
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952
Rating Criteria for U.S. Commercial Mortgage Servicers (pub. 14 Feb 2014)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=735382
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria (pub. 10 Dec 2014)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=812608
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=989386
ABS Due Diligence Form 15E 1
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=989386
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31
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