DBRS Morningstar Changes Trends on Two Classes, Confirms Ratings on All Classes of Wells Fargo Commercial Mortgage Trust 2015-C30

DBRS, Inc. (DBRS Morningstar) confirmed the 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)

DBRS Morningstar also changed the trends on Classes X-E and E to Stable from Negative. Classes F, X-FG, and G continue to carry Negative trends. All other trends are Stable.

DBRS Morningstar changed the trends to Stable on the two classes noted above as a result of the improved outlook for the resolution of two specially serviced loans being generally driven by higher appraised values for both collateral properties compared with DBRS Morningstar’s projections at the last review. The Negative trends that persist reflect ongoing performance issues with select loans, particularly those secured by hotel and retail properties, some of which continue to exhibit performance issues associated with the ongoing effects of the Coronavirus Disease (COVID-19) pandemic. In total, 27 of the remaining loans in this transaction are secured by hotel and retail properties, representing a combined total of 34.8% of the current pool balance.

At issuance, the transaction consisted of 101 loans secured by 111 commercial and multifamily properties with an aggregate trust balance of $740.3 million. As of the October 2021 remittance, 95 loans remain in the pool with a current pool balance of $670.9 million, representing a collateral reduction of 9.4% from issuance. To date, six loans, which accounted for 1.9% of the pool balance at issuance, have repaid in full. The pool benefits from nine fully defeased loans, representing 15.5% of the current pool balance, including the largest loan in the pool, Somerset Park Apartments (Prospectus ID #1; 11.0% of the current pool balance).

As of the October 2021 reporting, three loans were in special servicing (representing 3.3% of the current pool balance), including two retail assets that have become real estate owned (REO). In addition, 23 loans (representing 31.2% of the current pool) were being monitored on the servicer’s watchlist, including five loans in the top 15. However, seven of the loans on the watchlist, representing 6.7% of the current pool balance, are secured by cooperative housing properties being monitored for technical reasons.

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 room full-service hotel property in Phoenix. At issuance, room revenue was generated primarily from business travelers (40%) and meeting and group demand (35%), with the remainder coming from leisure guests (25%). The loan transferred to special servicing in March 2020 at the borrower’s request because of the borrower’s imminent monetary default as a result of the coronavirus pandemic. The loan was last paid in August 2021. The servicer provided the STR report for the trailing 12 months (T-12) ended December 31, 2020, which reported occupancy rate, average daily rate (ADR), and revenue per available room (RevPAR) of 40.4%, $110.56, and $44.68, respectively. In comparison, the issuance figures reported as of the T-12 ended March 31, 2015, for occupancy rate, ADR, and RevPAR were 53.3%, $117.18, and $60.52, respectively. The most recent appraisal reported by the servicer, dated June 2021, valued the property at $12.2 million, down 31% from the appraised value of $17.6 million at issuance but increased over the October 2020 appraisal value of $11.0 million. The workout negotiations between the borrower and the special servicer are ongoing, however, the latest appraisal suggests a relatively small loss would be realized in a liquidation scenario.

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 nine unanchored retail properties with a combined 84,984 square feet in Bristol, a town that straddles the border between Virginia and Tennessee. Portfolio cash flows began to fall in 2017 and the decline was exacerbated by the pandemic. The loan transferred to special servicing in February 2019 and the portfolio became REO in October 2020. As of the October 2021 reporting period, DBRS Morningstar estimates the loan has accumulated about $448,869 of outstanding servicer advances and appraisal subordinate entitlement reductions (ASERs) bringing the loan's total exposure closer to $7.79 million. The most recent appraisal reported by the servicer, dated June 2021, valued the portfolio at $7.5 million, down 33% from the appraised value of $11.2 million at issuance and slightly below the estimated total exposure. The servicer engaged a new property manager that is working to stabilize operations, with an expected REO sale in December 2022. Based on a haircut to the most recent appraisal, DBRS Morningstar projects a loss severity in excess of 30.0% will be realized at liquidation.

Another small REO loan is Eisenhower Crossing (Prospectus ID #33; 0.9% of the pool), which is secured by the borrower’s fee-simple interest in a small anchored retail property in Macon, Georgia. The loan has been in special servicing since early 2019 and has been REO since May 2020. As of the October 2021 reporting period, DBRS Morningstar estimates the loan has accumulated about $965,842 of outstanding servicer advances and ASERs, bringing the loan's total exposure closer to $6.8 million. The most recent appraisal reported by the servicer, dated May 2021, valued the property at $4.1 million, down 51% from the appraised value of $8.4 million at issuance and below the estimated total exposure. Based on a haircut to the May 2021 appraisal, DBRS Morningstar estimates a loss severity approaching 70.0% will be realized upon liquidation.

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.

Classes X-A, X-B, X-E, X-FG, and PEX 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#16 – Sheraton Crescent Phoenix (1.3% of the pool)
-- Prospectus ID#24 – Bristol Retail Portfolio (1.1% of the pool)
-- Prospectus ID#33 – Eisenhower Crossing (0.9% 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 the 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.

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.

Generally, the conditions that lead to the assignment of a Negative or Positive trend are generally resolved within a 12-month period. DBRS Morningstar’s outlooks and ratings are monitored.

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

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