NEW YORK--(BUSINESS WIRE)--Fitch Ratings has issued a presale report on Wells Fargo Commercial Mortgage Trust 2015-NXS4 Commercial Mortgage Pass-Through Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as follows:
--$23,517,000 class A-1 'AAAsf'; Outlook Stable;
--$66,792,000 class A-2A 'AAAsf'; Outlook Stable;
--$66,792,000 class A-2B 'AAAsf'; Outlook Stable;
--$100,000,000 class A-3 'AAAsf'; Outlook Stable;
--$238,283,000 class A-4 'AAAsf'; Outlook Stable;
--$46,743,000 class A-SB 'AAAsf'; Outlook Stable;
--$238,283,000a class A-4FL 'AAAsf'; Outlook Stable;
--$0a class A-4FX 'AAAsf'; Outlook Stable;
--$40,659,000 class A-S 'AAAsf'; Outlook Stable;
--$582,786,000b class X-A 'AAAsf'; Outlook Stable;
--$44,532,000b class X-B 'AA-sf'; Outlook Stable;
--$44,532,000 class B 'AA-sf'; Outlook Stable;
--$37,756,000 class C 'A-sf'; Outlook Stable;
--$44,532,000b class X-D 'BBB-sf'; Outlook Stable;
--$25,170,000 class D 'BBBsf'; Outlook Stable;
--$19,361,000ab class X-F 'BB-sf'; Outlook Stable;
--$8,713,000ab class X-G 'B-sf'; Outlook Stable;
--$19,362,000a class E 'BBB-sf'; Outlook Stable;
--$19,361,000a class F 'BB-sf'; Outlook Stable;
--$8,713,000a class G 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
The expected ratings are based on information provided by the issuer as of Nov. 4, 2015. Fitch does not expect to rate the interest-only $36,787,698a class X-H certificates and the $36,787,698a class H certificates.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 62 loans secured by 73 commercial properties having an aggregate principal balance of approximately $774.5 million as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Natixis Real Estate Capital LLC and Silverpeak Real Estate Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 72.9% of the properties by balance, cash flow analysis of 74.1%, and asset summary reviews on 77.9% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The transaction has higher leverage than other recent Fitch-rated transactions. The pool's Fitch debt service coverage ratio (DSCR) of 1.15x is below both the year to date (YTD) 2015 and 2014 averages of 1.19x and 1.19x, respectively. The pool's Fitch loan to value (LTV) of 111.6% is above both the YTD 2015 average of 109.6% and the 2014 average of 106.2%.
Below-Average Amortization: The pool is scheduled to amortize by 9.8% of the initial pool balance prior to maturity, less than the YTD 2015 and 2014 averages of 12.3% and 12%, respectively. Nine loans (31.4%) are full-term interest only, 24 loans (37.5%) are partial interest only and one loan (0.2%) is fully amortizing. The remaining 28 loans (30.9%) are amortizing balloon loans with terms of five to 10 years.
Single-Tenant Properties: The pool consists of 13 (21.9%) single-tenanted properties, including collateral for the two largest loans; One Court Square and Keurig Green Mountain. One Court Square (9%) is located in Long Island City and is 100% occupied by Citibank, N.A. (parent rating of 'A'); Keurig Green Mountain (6.5%) is a newly built property in suburban Boston and is 100% occupied by Keurig Green Mountain, Inc.
For this transaction, Fitch's net cash flow (NCF) was 18.4% 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-NXS4 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 page 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 62 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.
Wells Fargo Commercial Mortgage Trust 2015-NXS4
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
Criteria for Analyzing Multiborrower U.S. and Canadian Commercial Mortgage Transactions (pub. 28 May 2015)
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
Rating Criteria for Structured Finance Servicers (pub. 23 Apr 2015)
Rating Criteria for U.S. Commercial Mortgage Servicers (pub. 14 Feb 2014)
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria (pub. 10 Dec 2014)
Wells Fargo Commercial Mortgage Trust 2015-NXS4 Appendix
Dodd-Frank Rating Information Disclosure Form
ABS Due Diligence Form 15E 1