NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2015-C31 commercial mortgage pass-through certificates:
--$38,222,000 class A-1 'AAAsf'; Outlook Stable;
--$20,290,000 class A-2 'AAAsf'; Outlook Stable;
--$200,000,000 class A-3 'AAAsf'; Outlook Stable;
--$366,122,000 class A-4 'AAAsf'; Outlook Stable;
--$67,302,000 class A-SB 'AAAsf'; Outlook Stable;
--$49,425,000c class A-S 'AAAsf'; Outlook Stable;
--$741,361,000b class X-A 'AAAsf'; Outlook Stable;
--$60,544,000b class X-B 'AA-sf'; Outlook Stable;
--$56,838,000b class X-D 'BBB-sf'; Outlook Stable;
--$60,544,000c class B 'AA-sf'; Outlook Stable;
--$46,953,000c class C 'A-sf'; Outlook Stable;
--$156,922,000c class PEX 'A-sf'; Outlook Stable;
--$56,838,000 class D 'BBB-sf'; Outlook Stable;
--$24,712,000a class E 'BB-sf'; Outlook Stable;
--$11,120,000a 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 expected ratings on Oct. 20, 2015, the $366,122,000 class A-4FL and $0 class A-FX 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 Fitch has withdrawn its ratings on the class A-4FL and A-4FX certificates.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 $46,953,380 class G.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 102 loans secured by 118 commercial properties having an aggregate principal balance of approximately $988.5 million as of the cut-off date. The loans were contributed to the trust by Liberty Island Group I LLC, Rialto Mortgage Finance, LLC, Wells Fargo Bank, N.A., C-III Commercial Mortgage LLC, Societe Generale and Basis Real Estate Capital II, LLC.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 60.7% of the properties by balance, cash flow analysis of 72.2%, and asset summary reviews on 73.5% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The pool demonstrates high leverage statistics with a Fitch DSCR and LTV of 1.12x and 112.9%, respectively. Excluding the credit-assessed 11 Madison Avenue (3.1% of pool), the Fitch DSCR and LTV are 1.11x and 114.6%, respectively.
Pool Diversity: The top 10 loans represent 37.4% of the pool by balance. This is well below the year-to-date 2015 average of 48.5% and the 2014 average of 50.5%. The pool LCI was 229, which is below both the year-to-date 2015 and 2014 averages of 354 and 387, respectively. There was no significant sponsor concentration, with an SCI score of 237. The year-to-date 2015 and 2014 SCI averages were 391 and 419, respectively.
Credit Opinion Loan: One loan, 11 Madison Avenue (3.1% of the pool), has an investment-grade credit opinion of 'A-' on a stand-alone basis. Excluding the 11 Madison Avenue loan, Fitch's implied conduit subordination at the junior 'AAAsf' tranche is approximately 25.8% and 'BBB-sf' is approximately 8.6%
For this transaction, Fitch's NCF was 13.7% below the most recent year's NOI (for properties for which a full year 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 sensitivities of the ratings assigned to WFCM 2015-C31 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 102 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.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14
Counterparty Criteria for Structured Finance and Covered Bonds:
Derivative Addendum (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)
Dodd-Frank Rating Information Disclosure Form