Morningstar DBRS Confirms Credit Ratings on All Classes of Wells Fargo Commercial Mortgage Trust 2015-C30

DBRS Limited (Morningstar DBRS) confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-C30 issued by Wells Fargo Commercial Mortgage Trust 2015-C30 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 X-B at A (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 F at B (high) (sf)
-- Class X-FG at B (sf)
-- Class G at B (low) (sf)

All trends are Stable.

The credit rating confirmations reflect the stable performance of the transaction, which remains in line with Morningstar DBRS' expectations. Overall, the pool continues to exhibit healthy credit metrics, as evidenced by the weighted-average (WA) debt service coverage ratio (DSCR) of 1.62 times (x), based on the most recent financial reporting available. In addition, the transaction continues to benefit from increased credit support to the bonds as a result of scheduled amortization, loan repayments, and defeasance, further supporting the credit rating confirmations and Stable trends assigned with this review.

As of the June 2024 remittance, 94 of the original 101 loans remain in the pool, with a trust balance of $629.8 million, representing collateral reduction of 14.9% since issuance. To date, the trust has incurred $2.7 million of losses, which have been contained to the nonrated Class H certificate. Sixteen loans, representing 19.1% of the pool balance, are on the servicer's watchlist; however, only eight of those loans, representing 6.0% of the pool balance, are being monitored for performance-related reasons. Only two loans, representing 2.4% of the pool balance, are in special servicing, and 22 loans, representing 31.2% of the pool balance, are fully defeased. With this review, Morningstar DBRS considered a liquidation scenario for one specially serviced loan, Bristol Retail Portfolio (Prospectus ID#24; 1.1% of the pool), details of which are described below.

The transaction is generally well distributed by property type, with loans representing 21.8%, 14.0%, and 10.9% of the pool collateralized by retail, multifamily, and office properties, respectively. The majority of loans secured by office properties in this transaction continue to exhibit healthy credit metrics, reflecting a weighted-average debt yield of approximately 15.0% based on the most recent financials available.

The largest loan in special servicing, Sheraton Crescent Phoenix (Prospectus ID#16; 1.3% of the current pool), is secured by the borrower's fee-simple interest in a 342-key, full-service hotel property in Phoenix. The loan transferred to special servicing in March 2020 for imminent monetary default, and as of the June 2024 reporting, was last paid in April 2021. The borrower and special servicer were unable to reach an agreement on a loan modification, and the special servicer is attempting to complete a receiver sale to dispose of the asset. The most recent appraisal, dated April 2024, valued the property at $16.9 million, lower than the December 2022 value of $23.0 million, but a significant improvement from the March 2022 appraised value of $12.5 million. Based on this updated April 2024 value and the trust's projected exposure at disposition of approximately $11.4 million, Morningstar DBRS does not expect a loss at resolution. However, given the sustained decline in cash flow, extended period of time in special servicing, and value fluctuations in the appraisals obtained by the special servicer to date, Morningstar DBRS analysed this loan with a stressed scenario, resulting in an expected loss that was approximately 2.5x the pool average.

The second-largest loan in special servicing, Bristol Retail Portfolio (Prospectus ID#24; 1.1% of the current pool), is secured by the borrower's fee-simple interests in a portfolio of unanchored retail properties in Bristol, a town that straddles the border between Virginia and Tennessee. At issuance, the portfolio included nine properties, with a combined 84,984 square feet of net rentable area. Cash flows across the portfolio began to decline in 2017, as a result of increased competition and softening demand within the submarket. The loan ultimately transferred to special servicing in February 2019, and the portfolio became real estate owned (REO) in October 2020. According to the most recent servicer commentary, a number of properties within the portfolio have reportedly been sold; however, details of those dispositions have yet to be received. The special servicer continues to work toward a lease-up strategy to increase occupancy and stabilize operations for the properties that have not sold. Per the most recent appraisal, dated May 2024, five properties remain within the portfolio, with a consolidated value of $5.4 million. Based on a haircut to the most recent appraisal value, Morningstar DBRS expects that a loss severity approaching 50.0% will be realized at disposition.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS  
There were no Environmental, Social, or Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (January 23, 2024) at https://dbrs.morningstar.com/research/427030.

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

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

The principal methodology is North American CMBS Surveillance Methodology (March 1, 2024), https://dbrs.morningstar.com/research/428798

Other methodologies referenced in this transaction are listed at the end of this press release.

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 [email protected].

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

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

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- North American CMBS Multi-Borrower Rating Methodology (March 1, 2024)/North American CMBS Insight Model v 1.2.0.0, https://dbrs.morningstar.com/research/428797

-- Rating North American CMBS Interest-Only Certificates (June 28, 2024), https://dbrs.morningstar.com/research/435294
-- Morningstar DBRS North American Commercial Real Estate Property Analysis Criteria (June 28, 2024), https://dbrs.morningstar.com/research/435293

-- North American Commercial Mortgage Servicer Rankings (August 23, 2023), https://dbrs.morningstar.com/research/419592

-- Legal Criteria for U.S. Structured Finance (April 15, 2024), https://dbrs.morningstar.com/research/431205

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/417279, (July 17, 2023)

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