Fitch Affirms WFCM 2015-NXS4

CHICAGO--(BUSINESS WIRE)-- Fitch Ratings has affirmed 18 classes of Wells Fargo Commercial Mortgage Trust Pass-Through Certificates series 2015-NXS4 (WFCM 2015-NXS4). A detailed list of rating actions follows at the end of this press release.

KEY RATING DRIVERS

The affirmations are based on the stable performance of the underlying collateral and no material changes to the pools metrics since issuance. As of the October 2016 distribution date, the pool's aggregate principal balance has been reduced by 0.41% to $771.3 million from $774.5 million at issuance. The pool has experienced no realized losses to date, and there are currently no delinquent or specially serviced loans; and no loans are defeased. The Fitch debt service coverage ratio (DSCR) and loan to value (LTV) for the pool at issuance were 1.22x and 107.4%, respectively.

Stable Performance With No Material Changes: All loans in the pool are current as of the October 2016 remittance with property level performance in line with issuance expectations. There are no material changes to pool metrics.

High Fitch Leverage at Issuance: The transaction has higher leverage than other Fitch-rated transactions of the same vintage. The pool's Fitch debt service coverage ratio (DSCR) of 1.15x is below both the 2015 and 2014 vintage averages of 1.18x and 1.19x, respectively. The pool's Fitch loan to value (LTV) of 111.6% is above both the 2015 vintage average of 109.3% and the 2014 vintage average of 106.2%.

Below-Average Amortization: The pool is scheduled to amortize by 9.8% of the initial pool balance prior to maturity, less than the 2015 and 2014 vintage averages of 11.7% and 12%, respectively. Nine loans (31.4%) are full-term interest only, 24 loans (37.5%) are partial interest only and one loan (0.2%) is fully amortizing. The remaining 28 loans (30.9%) are amortizing balloon loans with terms of five to 10 years.

Single-Tenant Properties: The pool consists of 13 (21.9%) single-tenanted properties, including collateral for the two largest loans; One Court Square and Keurig Green Mountain. One Court Square (9%) is located in Long Island City and is 100% occupied by Citibank, N.A. (parent rating of 'A'); Keurig Green Mountain (6.5%) is a newly built property in suburban Boston and is 100% occupied by Keurig Green Mountain, Inc.

Hotel Concentration: Loans collateralized by hotel properties comprise 18.9% of the pool, including the pool's third largest loan, Renaissance Phoenix Downtown (6.3% of the pool). The pool's hotel concentration is greater than the 2015 and 2014 vintage averages of 17% and 14.2%, respectively. Hotel properties demonstrate more volatility than other property types and, therefore, have higher default probabilities.

Pari Passu Loans: Four loans comprising 22.4% of the pool are part of a pari passu loan combination and have companion notes in other transactions: One Park Square (9.0%), Keurig Green Mountain (6.5%), CityPlace I (4.4%) and Yosemite Resorts (2.4%).

RATING SENSITIVITIES

The Rating Outlooks remain Stable for all classes due to stable performance of the pool since issuance. Fitch does not foresee positive or negative ratings migration until a material economic or asset level event changes the transaction's portfolio-level metrics.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10

Fitch was provided with third-party due diligence information from Deloitte & Touche LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to each of the 62 mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on the analysis. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link contained on the bottom of the related rating action commentary.

Fitch has affirmed the following ratings:

--$20,354,196 class A-1 at 'AAAsf'; Outlook Stable;

--$66,792,000 class A-2A at 'AAAsf'; Outlook Stable;

--$66,792,000 class A-2B at 'AAAsf'; Outlook Stable;

--$100,000,000 class A-3 at 'AAAsf'; Outlook Stable;

--$238,283,000 class A-4 at 'AAAsf'; Outlook Stable;

--$46,743,000 class A-SB at 'AAAsf'; Outlook Stable;

--$40,659,000 class A-S at 'AAAsf'; Outlook Stable;

--$579,623,196b class X-A at 'AAAsf'; Outlook Stable;

--$44,532,000b class X-B at 'AA-sf'; Outlook Stable;

--$44,532,000 class B at 'AA-sf'; Outlook Stable;

--$37,756,000 class C at 'A-sf'; Outlook Stable;

--$44,532,000b class X-D at 'BBB-sf'; Outlook Stable;

--$25,170,000 class D at 'BBBsf'; Outlook Stable;

--$19,361,000ab class X-F at 'BB-sf'; Outlook Stable;

--$8,713,000ab class X-G at 'B-sf'; Outlook Stable;

--$19,362,000a class E at 'BBB-sf'; Outlook Stable;

--$19,361,000a class F at 'BB-sf'; Outlook Stable;

--$8,713,000a class G at 'B-sf'; Outlook Stable.

(a) Privately placed and pursuant to Rule 144A.

(b) Notional amount and interest-only.

Fitch does not rate the class X-H and class H certificates.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016)

https://www.fitchratings.com/site/re/886006

Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (pub. 16 Jun 2016)

https://www.fitchratings.com/site/re/882401

Global Structured Finance Rating Criteria (pub. 27 Jun 2016)

https://www.fitchratings.com/site/re/883130

U.S. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S. Re-REMIC Criteria (pub. 13 Nov 2015)

https://www.fitchratings.com/site/re/873395

Related Research

Wells Fargo Commercial Mortgage Trust 2015-NXS4 -- Appendix

https://www.fitchratings.com/site/re/873658

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1013881

ABS Due Diligence Form 15E 1

https://www.fitchratings.com/creditdesk/press_releases/content/ridf15E_frame.cfm?pr_id=1013881&flm_nm=15e_1013881_1.pdf

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1013881

Endorsement Policy

https://www.fitchratings.com/regulatory

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Source: Fitch Ratings

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