DBRS Finalizes Provisional Ratings on WFRBS Commercial Mortgage Trust 2014-C20

DBRS has today finalized the provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C20 (the Certificates), issued by WFRBS Commercial Mortgage Trust 2014-C20. 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 A-SFL at AAA (sf)
-- Class A-SFX 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 D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)

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

The Class X-A, Class X-B and Class X-C 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.

Holders of the Class A-SFL certificates may exchange all or a portion of their certificates for a like principal amount of Class A-SFX certificates having the same pass-through rate as the Class A-SFX regular interest. The initial class certificate balance of Class A-SFX certificates is zero and will increase to the extent a holder of the Class A-SFL certificates elects to exchange all or a portion of the Class A-SFL certificate balance for an equal certificate balance of the Class A-SFX certificates.Classes A-SFL and A-SFX replace the unissued Class PEX.

The collateral consists of 98 fixed-rate loans secured by 142 commercial and multifamily properties. The transaction has a balance of $1,251,672,501. The pool consists of relatively moderate financing, with a DBRS weighted-average refinance debt service coverage ratio of 1.16 times, based on a weighted-average stressed refinance constant of 9.84%. The DBRS sample included 42 loans, representing 74.1% of the pool. Of the sampled loans, properties securing three loans (two in the top five) were considered to have Above Average property quality, while six loans (4.7% of the pool) were considered to have Below Average or Poor property quality. Additionally, three loans in the top ten, representing 18.0% of the pool, were considered to have strong sponsorship. DBRS considers the pool to be diverse based on loan size, with a concentration profile equivalent to a pool of 31 equal-sized loans. Two loans, representing 6.7% of the pool, were shadow-rated investment grade by DBRS.

Nineteen hotel properties secure 18.7% of the allocated loan balance of the pool, two of which are in the top ten. Hotel properties have higher cash flow volatility than traditional property types, as their income, which is derived from daily contracts rather than multi-year leases, and their expenses, which are often mostly fixed, are quite high as a percentage of revenue. These two factors cause revenue to fall swiftly during a downturn and cash flow to fall even faster, because of the high operating leverage.

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.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link to the right under Other Research or by contacting us at info@dbrs.com.

The full report providing additional analytical detail is available by clicking on the link below or by contacting us at info@dbrs.com.