NEW YORK--(BUSINESS WIRE)--(This release amends the version published on Feb. 23, 2016 and updates the selected criteria to include Rating Criteria for Structured Finance Servicers (April 2015))
Fitch Ratings has assigned the following ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2015-P2 commercial mortgage pass-through certificates:
--$28,655,000 class A-1 'AAAsf'; Outlook Stable;
--$70,000,000 class A-2A 'AAAsf'; Outlook Stable;
--$82,513,000 class A-2B 'AAAsf'; Outlook Stable;
--$209,000,000 class A-3 'AAAsf'; Outlook Stable;
--$253,790,000 class A-4 'AAAsf'; Outlook Stable;
--$57,582,000 class A-SB 'AAAsf'; Outlook Stable;
--$47,605,000 class A-S 'AAAsf'; Outlook Stable;
--$749,145,000b class X-A 'AAAsf'; Outlook Stable;
--$61,385,000b class X-B 'AA-sf'; Outlook Stable;
--$61,385,000 class B 'AA-sf'; Outlook Stable;
--$50,110,000 class C 'A-sf'; Outlook Stable;
--$56,373,000ab class X-D 'BBB-sf'; Outlook Stable;
--$56,373,000a class D 'BBB-sf'; Outlook Stable;
--$22,550,000a class E 'BBsf'; Outlook Stable;
--$11,275,000a class F 'Bsf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
Since Fitch issued its presale report on Dec. 2, 2015, the balance of the class A-3 certificates has increased from $170,000,000 to $209,000,000 and the balance of the class A-4 certificates has decreased from $292,790,000 to $253,790,000. Fitch does not rate the $51,363,025 class 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 71 loans secured by 115 commercial properties having an aggregate principal balance of approximately $1 billion as of the cutoff date. The loans were contributed to the trust by Principal Commercial Capital, Ladder Capital Finance LLC, Citigroup Global Markets Realty Corp., Wells Fargo Bank, National Association, and Societe Generale.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 69.5% of the properties by balance, cash flow analysis of 81.1%, and asset summary reviews on 81.1% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The transaction has higher leverage than other recent Fitch-rated fixed-rate multiborrower transactions. The pool's Fitch debt service coverage ratio (DSCR) of 1.14x is below both the year-to-date 2015 and 2014 averages of 1.18x and 1.19x, respectively. The pool's Fitch loan-to-value (LTV) of 111.2% is above both the year-to-date 2015 average of 109.4% and the 2014 average of 106.2%.
Below-Average Amortization: The pool is scheduled to pay down by only 9.1% of the initial pool balance prior to maturity. This is below both the year-to-date 2015 and 2014 averages of 12.1% and 12%, respectively. There are 19 full-term interest-only loans (28.4%), 27 loans (48%) are partial interest only, and 25 loans (23.6%) are balloon loans.
Property Type Diversity: The pool's largest property type is retail and has the largest exposure at 25.7% of initial pool balance, followed by multifamily at 19.1%. No one property type has exposure greater than 30%. Industrial property type exposure is higher than recent CMBS transactions at 11%. Additionally, the pool has below-average exposure for office at 7.6%, compared to year-to-date 2015 and 2014 averages of 23.3% and 22.8%, respectively. However, hotel is higher than average at 17%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 15.6% 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-P2 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 71 mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on our 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 -- Effective 12/1/2015 to 3/3/2016 (pub. 01 Dec 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=874795
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. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S. Re-REMIC Criteria (pub. 13 Nov 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=873395
Related Research
Wells Fargo Commercial Mortgage Trust 2015-P2 -- Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=874785
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1001836
ABS Due Diligence Form 15E 1
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1001836
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31
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