DBRS Assigns Provisional Ratings to WFRBS Commercial Mortgage Trust 2014-C21

DBRS has today assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C21 (the Certificates), to be issued by WFRBS Commercial Mortgage Trust 2014-C21. 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 X-D 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, X-D, D, E and F will be privately placed pursuant to Rule 144A.

The Class X-A, Class X-B, Class X-C and Class X-D 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 122 fixed-rate loans secured by 146 commercial and multifamily properties, representing a total transaction balance of $1,425,796,349. The pool consists of relatively moderate financing, with a DBRS weighted-average refinance debt service coverage ratio of 1.17 times, based on a weighted-average stressed refinance constant of 9.85%. The DBRS sample included 40 loans, representing 66.2% of the pool. DBRS considers the pool to be diverse based on loan size, with a relatively low top ten concentration of 42.2% and a concentration profile equivalent to a pool of 41 equal-sized loans. Increased pool diversity helps to insulate the higher-rated classes from event risk. The pool has a relatively low concentration of loans secured by retail properties, at only 20.3%. The retail sector has generally underperformed since the recent economic recession due to declining consumer spending power, store closures, chain bankruptcies and the rapidly growing popularity of e-commerce.

A relatively high percentage of loans within the pool (17.0%) have sponsorship concerns associated with a prior discounted payoff (DPO), loan default, voluntary bankruptcy filing, limited liquidity, a historical negative credit event or minimal experience with the respective property type. This concentration is higher than the comparative level of other recently rated DBRS conduit transactions, and DBRS increased the probability of default (POD) for loans with identified sponsorship concerns. Additionally, the combined partial IO and full-term IO concentration is 54.2%, resulting in a relatively low level of amortization during the loan term of -12.8%. There are ten loans that are IO for the full term, representing 14.2% of the pool, including the transaction’s largest loan.

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.