NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Outlooks to Wells Fargo Commercial Mortgage Trust (WFCM) 2015-SG1 commercial mortgage pass-through certificates:
--$30,306,000 class A-1 'AAAsf'; Outlook Stable;
--$17,909,000 class A-2 'AAAsf'; Outlook Stable;
--$6,600,000 class A-3 'AAAsf'; Outlook Stable;
--$391,844,000 class A-4 'AAAsf'; Outlook Stable;
--$54,770,000 class A-SB 'AAAsf'; Outlook Stable;
--$41,189,000c class A-S 'AAAsf'; Outlook Stable;
--$542,618,000b class X-A 'AAAsf'; Outlook Stable;
--$44,771,000c class B 'AA-sf'; Outlook Stable;
--$33,130,000c class C 'A-sf'; Outlook Stable;
--$119,090,000c class PEX 'A-sf'; Outlook Stable;
--$38,503,000 class D 'BBB-sf'; Outlook Stable;
--$17,908,000ab class X-E 'BB-sf'; Outlook Stable;
--$8,059,000ab class X-F 'B-sf'; Outlook Stable;
--$391,844,000a class A-4FL 'AAAsf'; Outlook Stable;
--$0 class A-4FXa 'AAAsf'; Outlook Stable
--$17,908,000a class E 'BB-sf'; Outlook Stable
--$8,059,000a 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 Aug. 10, 2015, the issuer removed the $391,844,000 class A-4FL and the $0 class A-4FX from the capital structure. As such, Fitch withdrew its expected ratings of 'AAAsf' for each class. The issuer also withdrew the $77,901,000 interest-only class X-B since Fitch published its expected ratings, but Fitch did not expect to rate class X-B.
Fitch does not rate the $31,339,406 interest-only class X-G or the $31,339,406 class G certificates.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 72 loans secured by 77 commercial properties having an aggregate principal balance of approximately $716 million as of the cut-off date. The loans were contributed to the trust by Societe Generale, Liberty Island Group I LLC, Basis Real Estate Capital II, LLC, Natixis Real Estate Capital II, LCC, and Wells Fargo Bank, N.A.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 61% of the properties by balance, cash flow analysis of 71.7%, and asset summary reviews on 71.7% of the pool.
KEY RATING DRIVERS
Leverage in Line with Recent Averages: The pool's Fitch debt service coverage ratio (DSCR) and loan to value (LTV) are 1.18x and 108.9%, respectively. The leverage metrics for this transaction are in line with other recent Fitch-rated, fixed-rate multiborrower transactions. The year-to-date (YTD) 2015 average Fitch DSCR and LTV were 1.21x and 109.2%, respectively. The 2014 average Fitch DSCR and LTV were 1.19x and 106.2%, respectively.
Pool Diversity: The top 10 loans comprise 40.4% of the pool, which represents better diversity than 2014 and YTD 2015 averages of 50.5% and 47.4%, respectively. Additionally, the loan concentration index (LCI) for the pool is 291, which is better than the YTD 2015 average of 338.
High Hotel Exposure: Approximately 23.3% of the pool by balance, including three of the top 10 loans (9.3%), consists of hotel properties. This represents a higher hotel exposure than the YTD 2015 average of 16.2% and the 2014 average of 14.2%; hotels have the highest probability of default in Fitch's multiborrower model.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 11% 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-SG1 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 'A-sf' could occur. 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 occur. The presale report includes a detailed explanation of additional stresses and sensitivities on pages 10 - 11.
The master servicer is Wells Fargo Bank, N.A. rated 'CMS1-' by Fitch. The special servicer is Rialto Capital Advisors, LLC rated 'CSS2' by Fitch.
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 72 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.
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 Large Loans in U.S. Commercial Mortgage Transactions (pub. 27 Aug 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=870009
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 Structured Finance Servicers (pub. 23 Apr 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864375
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
Related Research
Wells Fargo Commercial Mortgage Trust 2015-SG1 - Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=869618
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=990081
ABS Due Diligence Form 15E 1
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=990081
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31
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