CHICAGO--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2015-LC22 commercial mortgage pass-through certificates.
--$46,185,000 class A-1 'AAAsf'; Outlook Stable;
--$23,443,000 class A-2 'AAAsf'; Outlook Stable;
--$220,000,000 class A-3 'AAAsf'; Outlook Stable;
--$302,267,000 class A-4 'AAAsf'; Outlook Stable;
--$82,712,000 class A-SB 'AAAsf'; Outlook Stable;
--$69,870,000c class A-S 'AAAsf'; Outlook Stable;
--$744,477,000b class X-A 'AAAsf'; Outlook Stable;
--$56,619,000c class B 'AA-sf'; Outlook Stable;
--$42,162,000c class C 'A-sf'; Outlook Stable;
--$168,651,000c class PEX 'A-sf'; Outlook Stable;
--$44,573,000 class D 'BBB-sf'; Outlook Stable;
--$22,888,000ab class X-E 'BB-sf'; Outlook Stable;
--$9,637,000ab class X-F 'B-sf'; Outlook Stable;
--$22,888,000a class E 'BB-sf'; Outlook Stable;
--$9,637,000a 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 issued its presale on Sept. 9, 2015, the balance of the class A-3 certificates has increased from $175,000,000 to $220,000,000 and the balance of the class A-4 certificates has decreased from $347,267,000 to $302,267,000. Additionally, the $56,619,000 class X-B certificates, the $347,267,000 class A-4FL and $0 class A-4FX certificates have been removed from the capital structure by the issuer. Fitch has withdrawn its ratings on the class A-4FL and A-4FX certificates. Fitch does not rate the $43,368,520 class G and $43,368,520 interest-only class X-G certificates.
The classes above reflect the final ratings and deal structure. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 100 loans secured by 106 commercial properties having an aggregate principal balance of approximately $963.7 million as of the cut-off date. The loans were contributed to the trust by Ladder Capital Finance LLC, Rialto Mortgage Finance, LLC, Wells Fargo Bank, N.A., and National Cooperative Bank, N.A.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 67.1% of the properties by balance, cash flow analysis of 69.1%, and asset summary reviews on 69.1% of the pool.
KEY RATING DRIVERS
Leverage in line with Recent Transactions: The pool's Fitch DSCR and LTV are 1.41x and 103.9%, respectively. However, excluding co-op collateral, the pool's Fitch DSCR and LTV are 1.14x and 107.0%, respectively. This is in line with other recent Fitch-rated transactions. The 2014 and YTD 2015 average Fitch LTVs were 106.2% and 109.2%, respectively. The 2014 and YTD 2015 average Fitch DSCRs were 1.19x and 1.20x, respectively.
Multifamily Concentration and Co-Op Collateral: Multifamily properties, including co-ops, comprise 29.2% of the pool, which is greater than the 2014 and YTD 2015 average multifamily concentration of 15.8% and 15.4%, respectively. Multifamily has a below average probability of default in Fitch's analysis. Additionally, the pool contains 10 loans (4.2% of the pool) secured by multifamily co-ops 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 7.37x and 33.1%, respectively.
Esoteric Property Types: Two loans in the top 20 largest in the pool are secured by non-traditional property types. San Diego Park 'N Fly (2.3% of the pool) is secured by the interests in an airport parking garage and surface lot located in close proximity to the San Diego International Airport. Jellystone Park (1.5% of the pool) is secured by a campground and waterpark located in Burleson, TX.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 12.1% 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-LC22 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 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 100 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 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 LC-22 -- Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=870904
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=991511
ABS Due Diligence Form 15E 1
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=991511
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31
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