DBRS Morningstar Withdraws Ratings on 14 CMBS Interest-Only Classes

DBRS, Inc. (DBRS Morningstar) discontinued and withdrew its ratings on 14 interest-only (IO) classes across 14 transactions as follows:

-- COMM 2014-LC15, Class X-C
-- WFRBS Commercial Mortgage Trust 2014-C20, Class X-B
-- WFRBS Commercial Mortgage Trust 2014-C21, Class X-D
-- Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18, Class X-C
-- COMM 2014-LC17 Mortgage Trust, Class X-D
-- COMM 2014-CCRE20 Commercial Mortgage Trust, Class X-E
-- Citigroup Commercial Mortgage Trust 2015-GC27, Class X-F
-- Wells Fargo Commercial Mortgage Trust 2015-C27, Class X-E
-- Wells Fargo Commercial Mortgage Trust 2015-NXS2, Class X-F
-- COMM 2015-PC1 Mortgage Trust, Class X-E
-- JPMBB Commercial Mortgage Securities Trust 2015-C30, Class X-F
-- DBJPM 2016-C1 Mortgage Trust, Class X-E
-- COMM 2015-CCRE24 Mortgage Trust, Class X-E
-- JPMBB Commercial Mortgage Securities Trust 2015-C29, Class X-D

The withdrawals are reflective of current market conditions resulting, in part, from the Coronavirus Disease (COVID-19) pandemic. All underlying bonds referenced by the notional IO bonds listed above are rated CCC by DBRS Morningstar. In light of the ongoing challenges brought about by the pandemic, it is likely that these underlying bonds will incur losses during the life of the deal. DBRS Morningstar, in most cases, rates the associated IO class one notch higher than the lowest rated underlying reference class; however, in light of the likelihood of losses on the bonds listed above, the notching benefit is negated and DBRS Morningstar is opting to withdraw the ratings.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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

The DBRS Viewpoint platform provides additional information on this transaction and underlying loans including DBRS Morningstar metrics, commentary, servicer-reported cash flows, and other performance-related data.

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.

DBRS Morningstar notes that this press release was amended on January 21, 2022, to include UK and EU endorsement notes for Commercial Mortgage Pass-Through Certificates, Series 2014-C21, Class X-D of WFRBS Commercial Mortgage Trust 2014-C21.

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

The principal methodology is North American CMBS Surveillance Methodology (March 26, 2021), which can be found on dbrsmorningstar.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 dbrsmorningstar.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.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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.

This rating on Commercial Mortgage Pass-Through Certificates, Series 2014-C21, Class X-D (Class X-D) of WFRBS Commercial Mortgage Trust 2014-C21 (WFRBS 2014-C21) is endorsed by DBRS Ratings Limited for use in the United Kingdom, and by DBRS Ratings GmbH for use in the European Union, respectively. The following additional regulatory disclosures apply to endorsed ratings:

The last rating action on the WFRBS 2014-C21 transaction took place on February 25, 2021, when six classes, including the endorsed Class X-D, were downgraded.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

Lead Analyst: William Tierney, Assistant Vice President, North American CMBS
Rating Committee Chair: Rich Carlson, Senior Vice President, North American CMBS
Initial Rating Date: Initial Rating Date: WFRBS 2014-C21 – July 14, 2014

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277

-- North American CMBS Surveillance Methodology (March 26, 2021): https://www.dbrsmorningstar.com/research/375979