DBRS Confirms Ratings of WFRBS Commercial Mortgage Trust 2014-C21

DBRS Limited (DBRS) confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2014-C21 issued by WFRBS Commercial Mortgage Trust 2014-C21 as follows:

-- 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-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-SBFL at AAA (sf)
-- Class A-SBFX at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class PEX at A (low) (sf)
-- Class X-B at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class X-C at BB (high) (sf)
-- Class E at BB (sf)
-- Class X-D at B (high) (sf)
-- Class F at B (sf)

All trends are Stable.

In addition, due to investor request, DBRS has provided a European Union (EU) endorsement for Class D. The transaction was last reviewed in August 2018, when all classes were confirmed with Stable trends. This review confirms that as of the October 2018 remittance, there have been no material changes to this transaction since the previous review, thereby supporting the confirmations.

The rating confirmations reflect the overall stable performance of the transaction since issuance. The collateral consists of 120 fixed-rate loans secured by 140 commercial properties. As of the July 2018 remittance, there has been a total collateral reduction of 5.3% as a result of scheduled loan amortization and one loan paid in full. The remaining loans in the pool have a current trust balance of $1,351 million. Based on the most recent year-end (YE) reporting available, the portfolio exhibited a weighted-average (WA) debt service coverage ratio (DSCR) and in-place debt yield of 1.71x and 10.2%, respectively, compared with 1.81x and 10.2%, respectively, at issuance. The top 15 loans reported a WA DSCR and debt yield of 1.75x and 9.8%, respectively, reflective of a WA cash flow improvement of 6.8% since issuance, based on the YE2017 cash flow figures. It is noteworthy that there are two regional malls located in secondary markets within the top 15 loans, collectively representing 4.9% of the pool in Montgomery Mall (Prospectus ID #9, 3.2% of the pool) and Oak Court Mall (Prospectus ID #15, 1.7% of the pool). Cash flows are generally healthy for both loans, but there are some concerns with the Oak Court Mall occupancy trends. For further detail, please see the loan commentary for both on the DBRS Viewpoint site, for which information has been provided below.

Six loans, comprising 7.9% of the pool, are scheduled to mature in June and July of 2019, including the Sheraton Austin loan (Prospectus ID #3, 4.7% of the pool). In general, the refinance profile for these loans is healthy, with a WA DSCR and debt yield of 2.52x and 11.4%, respectively. One exception is the Fitch Apartments loan (Prospectus ID #52, 0.5% of the pool), which is currently in special servicing and further discussed below.

As of the October 2018 remittance, there are 23 loans, representing 25.3% of the pool balance, on the servicer’s watchlist. Eighteen of these loans, representing 19.2% of the pool balance, were also on the servicer’s watchlist at the time of the August 2018 review. Additionally, one loan, representing 0.5% of the pool balance, is in special servicing. The watchlisted loans are being monitored for a variety of reasons, and while the high watchlist concentration is notable, in general, DBRS believes the outlook is healthy for the largest loans being monitored, including four of the top 15 loans in the pool, which cumulatively represent 17.0% of the pool. In the event the risk for these loans is significantly increased from issuance, DBRS applied a stressed cash flow scenario in the analysis to reflect those developments.

The specially serviced loan, Fitch Apartments, was also in special servicing at the time of the August 2018 review. The loan is being marketed for sale by the receiver and the special servicer expects the loan to be resolved by YE2018. DBRS assumed a loss severity in excess of 35.0% for this loan, based on the most recent appraised value and the time expected to resolve. In addition, Best Western Premier Hotel (Prospectus ID #19, 1.3% of the pool), was in special servicing at the time of the August 2018 review, which was anticipated to return to the master servicer. The loan was returned to the master servicer with the August 2018 remittance and was subsequently removed from the servicer’s watchlist with the October 2018 remittance, as performance has rebounded following the completion of the renovation work and the conversion of the property to the Hotel Indigo flag.

Classes X-A, X-B, X-C and X-D are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche, adjusted upward by one notch if senior in the waterfall.

All ratings will be subject to ongoing surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed or discontinued by DBRS.

For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrs.com. The platform includes issuer and servicer data for the entire CMBS universe, as well as deal and loan-level commentary for all DBRS rated transactions.

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

The principal methodology is North American CMBS Surveillance, which can be found on dbrs.com under Methodologies. For a list of the Structured Finance related methodologies that may be used during the rating process, please see the DBRS Global Structured Finance Related Methodologies document on www.dbrs.com. Please note that not every related methodology listed under a principal Structured Finance asset class methodology may be used to rate or monitor an individual structured finance or debt obligation.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at info@dbrs.com.

The rating on Class D is endorsed by DBRS Ratings Limited for use in the European Union.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.