DBRS Morningstar Confirms All Classes of Wells Fargo Commercial Mortgage Trust 2015-C28

DBRS Limited (DBRS Morningstar) confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-C28 issued by Wells Fargo Commercial Mortgage Trust 2015-C28 as follows:

-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S 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 D at BBB (low) (sf)
-- Class X-E at BB (sf)
-- Class E at BB (low) (sf)
-- Class X-F at B (sf)
-- Class F at B (low) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of the transaction, which has generally remained in line with DBRS Morningstar’s expectations since issuance. As of the February 2020 remittance, there has been a collateral reduction of 9.1% since issuance with 91 of the original 99 loans remaining in the pool. One loan, representing 0.4% of the pool, is fully defeased.

Loans representing 99.2% of the pool reported YE2018 financials with a weighted-average (WA) debt service coverage ratio (DSCR) and debt yield of 1.87 times (x) and 10.5%, respectively. The 15 largest loans in the pool represent 60.1% of the transaction balance and all reported YE2018 financials with a WA DSCR and WA debt yield of 1.93x and 10.3%, respectively, representing a WA cash flow improvement of 31.4% over the DBRS Morningstar net cash flow figures derived at issuance.

As of the February 2020 remittance, 15 loans, representing 10.6% of the pool (including two in the top 15), are on the servicer’s watchlist and four loans, representing 2.9% of the pool, are in special servicing.

The 3 Beaver Valley Road loan (Prospectus ID#6, 4.2% of the pool) is secured by a Class A office property in Wilmington, Delaware. At issuance, the property was occupied by two tenants. The smaller of the two tenants, Solenis LLC (19.9% of the net rentable area (NRA)), vacated the subject in January 2020 and paid a $1.9 million termination fee as part of the move. Additionally, the property’s largest tenant, Farmers Insurance (80.1% of NRA, lease expires December 2024), has been downsizing and has given notice of plans to exercise a contraction option that would reduce its footprint by 53,000 square feet (20.1% of NRA) as of January 2022. Leasing flyers located online by DBRS Morningstar as of early March 2020 showed that space as available for sublease. Given the significant upcoming decline in occupancy, DBRS Morningstar has placed this loan on the DBRS Morningstar Hotlist and significantly increased the loan’s probability of default in the analysis for this review.

Washington Square (Prospectus ID#22, 1.2% of the pool) is secured by a Class A student-housing property located in Schenectady, New York. The loan transferred to special servicing as of the February 2020 remittance after the loan failed to repay at maturity. The property services Schenectady County Community College, which has seen significant enrollment declines over the past three years coinciding with the property’s performance struggles. As of the YE2018 financials, the loan reported a 0.35x DSCR and an occupancy rate of 52%. For the purposes of this review, DBRS Morningstar analyzed this loan with a probability of default of 100%.

For additional information on these loans, please see the loan commentary on the DBRS Morningstar Viewpoint platform, for which information is provided below.

Classes X-A, X-E, and X-F 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 are subject to surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by DBRS Morningstar.

DBRS Morningstar provides updated analysis and in-depth commentary in the DBRS Viewpoint platform for the following loans in the transaction:

-- Prospectus ID#6 – 3 Beaver Valley Road (4.2% of the pool) (DBRS Morningstar Hotlist)
-- Prospectus ID#22 – Washington Square (1.2% of the pool)

For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrsmorningstar.com. The platform includes issuer and servicer data for most outstanding CMBS transactions (including non-DBRS Morningstar-rated), as well as loan-level and transaction-level commentary for most DBRS Morningstar-rated and -monitored transactions.

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

The principal methodology is North American CMBS Surveillance Methodology, which can be found on www.dbrs.com under Methodologies & Criteria. For a list of the structured-finance-related methodologies that may be used during the rating process, please see the DBRS Morningstar Global Structured Finance Related Methodologies document, which can be found on www.dbrs.com in the Commentary tab under Regulatory Affairs. 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.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

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 rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar 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. Please note a sensitivity analysis is not performed for CMBS bonds rated CCC or lower. The DBRS Morningstar long-term rating scale definition indicates that ratings of CCC or lower are assigned when the bond is highly likely to default or default is imminent, thereby prevailing over a sensitivity analysis.

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

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