Wells Fargo is marketing another commercial mortgage securitization that relies on a few, high-quality loans to boost the overall credit metrics.
The $814.4 million WFCM 2015-NXC3 has a loan-to-value ratio of 100.2%, according to Kroll Bond Rating Agency; that’s lower than the average LTV of 103.1% for the last 21 CMBS conduits the agency has rated.
But this figure is boosted by 13 loans represent 10.6% of the pool that have credit characteristics commensurate with ‘AAA’ rated obligations, when analyzed on a stand-alone basis, according to Kroll’s presale report.
The largest loan (6th largest overall, at 4.3% of the portfolio) loan is secured by 11 Madison Avenue, a .3 million square foot, Class A office building located in the Midtown South area of New York City’s borough of Manhattan. The loan has a 51.3% in-trust LTV. The same property also secures subordinate notes that are held outside of the trust.
The Parking Spot LAX (15th largest in the pool at 2.0) is secured by a 2,081-space public self-park garage located adjacent to the Los Angeles International Airport. It has an in-trust LTV of 32.7%.
The remaining 11 high quality loans (4.4% of the overall portfolio) are all secured by cooperative apartment buildings. Eight (2.9%) of the assets are situated within New York City’s five boroughs, and the remainder are located in Long Island (0.9%) and Westchester (0.5%), New York. The loans have in-trust KLTVs ranging from 4.0% to 46.9%.
Kroll has warned that the inclusion of investment grade loans in CMBS conduits skews the impact of weaker loans in the pool. For example, without these loans, the LTV for WFCM 2015-NXC3 rises to 107.5%, which Kroll said “is somewhat higher than the same figure for the last 12 securitizations with investment grade loan exposures.”
In total, the conduit pools 56 commercial mortgage loans that are secured on 59 properties. The loans have a weighted average life of 8.5 years and pay a coupon rate of 4.51%.
Over half of the loans pay only interest, and no principal, for either part (25 loans or 46.1% of the pool) or all (25 loans or 46.1% of the loans) of their terms. Most of the loans (81.8% of the pool) refinance existing debt.
The loans were contributed by four sellers: Natixis Real Estate Capital LLC (17 loans, 47.6%), Wells Fargo Bank, National Association (19 loans, 35.0%), Silverpeak Real Estate Finance (nine loans, 13.0%) and National Cooperative Bank, National Association (11 loans, 4.4%).
Kroll has assigned preliminary ‘AAA’ ratings to the super senior bonds with 30% credit support. Kroll has also rated the senior bonds, which offer less support at 23.12%, ‘AAA’.
At the subordinate level the trust will offer notes rated from ‘AA-’ to ‘B-’.