DBRS Assigns Provisional Ratings to WFRBS Commercial Mortgage Trust 2014-LC14

DBRS has today assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2014-LC14 (the Certificates), to be issued by WFRBS Commercial Mortgage Trust 2014-LC14. The trends are Stable.

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-C at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class PEX at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class F at B (sf)

Classes X-C, D, E, F and G will be privately placed pursuant to Rule 144A.

The Class X balances are notional. DBRS ratings on interest-only certificates address the likelihood of receiving interest based on the notional amount outstanding. DBRS considers the interest-only certificates’ position within the transaction payment waterfall when determining the appropriate rating.

Up to the full certificate balance of the Class A-S, Class B and Class C certificates may be exchanged for Class PEX certificates. Class PEX certificates may be exchanged for up to the full certificate balance of the Class A-S, Class B and Class C certificates.

The collateral consists of 71 fixed-rate loans secured by 144 commercial and multifamily properties. The transaction has a balance of $1,255,596,034. The pool exhibits a DBRS weighted-average term debt service coverage ratio (DSCR) and debt yield of 1.54 times (x) and 9.6%, respectively, based on the senior trust balances. The DBRS sample included 30 loans, representing 72.2% of the pool. Two loans, representing 17.5% of the pool, were shadow-rated investment-grade by DBRS. Properties representing 28.5% of the pool are located in urban markets with increased liquidity, greater than in recent conduit transactions. Additionally, the pool is relatively diverse based on loan size, with a concentration profile equivalent to that of a pool of 27 equal-sized loans.

DBRS identified nine loans, representing 15.8% of the pool, with sponsorship that have had bankruptcies, foreclosures or reported very limited net worth and liquidity. In order to account for this, DBRS increased the POD for loans with identified sponsorship concerns. Additionally, at 33.0%, the pool has a high concentration of loans with DBRS Refi DSCRs below 1.00x, based on the trust balance. However, these DSCRs are based on a weighted-average stressed refinance constant of 9.8%, which implies an interest rate of 9.1%, amortizing on a 30-year schedule. This represents a significant stress of nearly 4.1% over the weighted-average contractual interest rate of the loans in the pool.

The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance.

Notes:
All figures are in U.S. dollars unless otherwise noted.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

The applicable methodology is CMBS Rating Methodology, which can be found on our website under Methodologies.