NEW YORK--(BUSINESS WIRE)--Fitch Ratings has issued a presale report on the Wells Fargo Commercial Mortgage Trust 2016-C33 Commercial Mortgage Pass-Through Certificates. Fitch expects to rate the transaction and assign Rating Outlooks as follows:
--$30,449,000 class A-1 'AAAsf'; Outlook Stable;
--$84,502,000 class A-2 'AAAsf'; Outlook Stable;
--$150,000,000 class A-3 'AAAsf'; Outlook Stable;
--$191,116,000 class A-4 'AAAsf'; Outlook Stable;
--$42,486,000 class A-SB 'AAAsf'; Outlook Stable;
--$53,416,000 class A-S 'AAAsf'; Outlook Stable;
--$551,969,000b class X-A 'AAAsf'; Outlook Stable;
--$70,332,000b class X-B 'A-sf'; Outlook Stable;
--$38,282,000 class B 'AA-sf'; Outlook Stable;
--$32,050,000 class C 'A-sf'; Outlook Stable;
--$35,611,000ab class X-D 'BBB-sf'; Outlook Stable;
--$16,915,000ab class X-E 'BB-sf'; Outlook Stable;
--$7,122,000ab class X-F 'B-sf'; Outlook Stable;
--$35,611,000a class D 'BBB-sf'; Outlook Stable;
--$16,915,000a class E 'BB-sf'; Outlook Stable;
--$7,122,000a class F '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 March 10, 2016. Fitch does not expect to rate the $30,270,087ab class X-G certificates and the $30,270,087a class G certificates.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 79 loans secured by 104 commercial properties having an aggregate principal balance of approximately $712.2 million as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Ladder Capital Finance LLC, Rialto Mortgage Finance, LLC, C-III Commercial Mortgage LLC, Natixis Real Estate Capital LLC and National Cooperative Bank, N.A.
Fitch reviewed a comprehensive sample of the transaction's collateral including site inspections on 68.1% of the properties by balance, cash flow analysis of 78.9%, and asset summary reviews on 78.9% of the pool.
KEY RATING DRIVERS
Leverage in Line with Recent Transactions: The pool's Fitch DSCR and LTV are 1.48x and 101.1%, respectively. However, excluding co-op and credit opinion collateral, the pool's Fitch DSCR and LTV are 1.15x and 108.5%, respectively. This is in line with other recent Fitch-rated transactions. The 2015 and YTD 2016 average Fitch LTVs were 109.3% and 108.3%, respectively. The 2015 and YTD 2016 average Fitch DSCRs were 1.18x and 1.15x, respectively.
Co-Op Collateral: The pool contains 14 loans (5.5% of the pool) secured by multifamily co-ops, 12 of which are within the New York City metro area with one each in Washington DC and Atlanta, GA. The weighted average Fitch DSCR and LTV of the co-op collateral in this transaction as rentals are 6.74x and 26.1%, respectively
Property Type Concentration: The pool's largest concentration by property type is office (32.4%), which is greater than the 2015 average of 23.5%. The pool also has an above average concentration of self-storage properties which comprise 14% of the pool, higher than the 2015 average of 4%. Loans secured by hotel properties comprise only 13% of the pool, which is below the 2015 average of 17%. Office properties have an average likelihood of default in Fitch's multiborrower model, self-storage properties have a below average likelihood of default, while hotels properties demonstrate more volatility and have higher default probabilities.
For this transaction, Fitch's net cash flow (NCF) was 17.5% below the most recent year's net operating income (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 in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to WFCM 2016-C33 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 junior 'AAAsf' certificates to 'AA-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior '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 79 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 2016-C33 (US CMBS)
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions (pub. 27 Aug 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. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S. Re-REMIC Criteria (pub. 13 Nov 2015)
Wells Fargo Commercial Mortgage Trust 2016-C33 - Appendix
Dodd-Frank Rating Information Disclosure Form
ABS Due Diligence Form 15E 1