DBRS Assigns Provisional Ratings to Wells Fargo Commercial Mortgage Trust 2015-C27

DBRS, Inc. (DBRS) has today assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C27 (the Certificates), to be issued by Wells Fargo Commercial Mortgage Trust 2015-C27. 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-E at AAA (sf)
-- Class X-F at AAA (sf)
-- Class X-G at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (low) (sf)
-- Class PEX at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)

Classes D, E, F, X-E, X-F and X-G will be privately placed.

Classes X-A, X-B, X-E, X-F and X-G balances are notional. DBRS ratings on interest-only (IO) certificates address the likelihood of receiving interest based on the notional amount outstanding. DBRS considers the IO 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 95 fixed-rate loans secured by 124 commercial and multifamily properties, comprising a total transaction balance of $1,047,828,035. The DBRS sample included 31 of the 95 loans in the pool, representing 60.5% of the pool by loan balance. The DBRS average sample NCF adjustment for the pool was -8.8%. Overall, the pool is diverse based on loan size, with a concentration profile equivalent to that of a pool of 45 equal-sized loans. There are only five loans, representing 6.4% of the pool, leased to single tenants (or predominantly to single tenants). Loans secured by properties occupied by single tenants have been found to have higher losses in the event of default. Diversity is further enhanced by nine loans, representing 16.1% of the pool, that are secured by multiple properties (38 properties in total). Increased pool diversity helps to insulate the higher-rated classes from event risk. That said, the transaction has a high concentration of non-traditional property types, including 15 loans, representing 21.6% of the pool, secured by hotels and 19 loans, representing 14.7% of the pool, secured by self-storage assets.

The transaction has a high concentration of loans suffering from elevated refinance risk. Thirty-eight loans, representing 46.1% of the pool, have DBRS refinance debt service coverage ratios (Refi DSCRs) less than 1.00x. Four of these loans, representing 6.7% of the pool, have DBRS Refi DSCRs less than 0.90x. To assess refinance risk given the current low interest rate environment, DBRS applied its refinance constants to the balloon amounts, resulting in 46.1% of the pool having refinance DSCRs below 1.00x. The DBRS Refi DSCR for these loans are based on a weighted-average (WA) stressed refinance constant of 9.9%, which implies an interest rate of 9.3%, amortizing on a 30-year schedule. This represents a significant stress of 5.0% over the WA interest rate of the loans in the pool. DBRS models POD based on the more constraining of the DBRS Term DSCR and the DBRS Refi DSCR.

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.