Fitch Assigns Final Ratings to MSBAM 2015-C21 Commercial Mortgage Trust Pass-Through Certificates
--\$33,400,000 class A-1 'AAAsf'; Outlook Stable;
--\$25,000,000 class A-2 'AAAsf'; Outlook Stable;
--\$72,200,000 class A-SB 'AAAsf'; Outlook Stable;
--\$205,000,000 class A-3 'AAAsf'; Outlook Stable;
--\$274,274,000 class A-4 'AAAsf'; Outlook Stable;
--\$674,129,000a class X-A 'AAAsf'; Outlook Stable;
--\$64,255,000b class A-S 'AAAsf'; Outlook Stable;
--\$39,206,000b class B 'AAsf'; Outlook Stable;
--\$156,825,000b class PST 'A-sf'; Outlook Stable;
--\$53,364,000b class C 'A-sf'; Outlook Stable;
--\$39,206,000ac class X-B 'AAsf'; Outlook Stable;
--\$19,604,000ac class X-E 'BB-sf'; Outlook Stable;
--\$41,384,000c class D 'BBB-sf'; Outlook Stable;
--\$19,604,000c class E 'BB-sf'; Outlook Stable;
--\$8,712,000c class F 'B-sf'; Outlook Stable;
--\$11,700,000cd class 555A 'BBB-'; Outlook Stable.
(a) Notional amount and interest-only.
(b) Class A-S, B and C certificates may be exchanged for class PST certificates, and class PST certificates may be exchanged for class A-S, B, and C certificates.
(c) Privately placed and pursuant to Rule 144A.
(d) The 555A and 555B certificates represent the beneficial interests in the 555 11th NW Street nonpooled senior B Note.
Since Fitch published its expected ratings on Feb. 9, 2015, the notional balance of the interest-only class X-B, which had an expected rating of 'BBB-sf', has been reduced from \$133,954,000 to \$39,206,000. Fitch's final rating for the interest-only class X-B is 'AAsf'.
Fitch does not rate the \$20,692,000 class X-FG, the \$22,870,589 class X-H, the \$11,980,000 class G, the \$22,870,589 class H, or the \$18,300,000 class 555B certificates.
The classes above reflect the final ratings and deal structure. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 64 loans secured by 99 commercial properties having an aggregate principal balance of approximately \$871 million, as of the cutoff date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC, Bank of America, National Association, Starwood Mortgage Capital LLC, and CIBC, Inc.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 77.8% of the properties by balance, cash flow analysis of 77%, and asset summary reviews on 87.1% of the pool.
KEY RATING DRIVERS
Fitch Leverage Lower than Recent Deals: The transaction has lower leverage than other recent Fitch-rated fixed-rate multiborrower transactions. The pool's Fitch debt service coverage ratio (DSCR) and loan-to-value (LTV) of 1.24x and 103.6%, respectively, are better than the 2014 averages of 1.19x and 106.2%.
Above-Average Amortization: The pool is scheduled to amortize by 13.5% of the initial pool balance prior to maturity, which is greater than the 2014 average of 12%. Seven loans (28.4%) are full-term interest-only, 31 loans (41.8%) are partial interest-only and one loan (3.5%) is fully amortizing. The remaining 25 loans (26.3%) are amortizing balloon loans with loan terms of five to 10 years.
Investment Grade Credit Opinion Loan Represents 6.9% of the Pool: The second largest loan in the pool, 555 11th Street NW (6.9%), received a credit opinion of 'A-sf' on a stand-alone basis. The loan is secured by an office building located in Washington D.C's east-end submarket. The property is 58.1% leased to the law firm Latham & Watkins, LLP through January 2031.
For this transaction, Fitch's net cash flow (NCF) was 12.1% below the most recent net operating income (NOI; for properties for which a recent NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans, and could result in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to MSBAM 2015-C21 certificates and found that the transaction displays slightly above-average sensitivity to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on pages 10 - 11.
The master servicer is KeyBank National Association rated 'CMS1' by Fitch. The special servicer is LNR Partners, LLC rated 'CSS1-' by Fitch.