Fitch Assigns Final Ratings to BBCCRE Trust 2015-GTP Commercial Mortgage Pass-Through Certificates
--\\$330,000,000a class A notes 'AAAsf'; Outlook Stable;
--\\$330,000,000ab class X-A notes 'AAAsf'; Outlook Stable;
--\\$103,000,000ab class X-B notes 'A-sf'; Outlook Stable;
--\\$62,000,000a class B notes 'AA-sf'; Outlook Stable;
--\\$41,000,000a class C notes 'A-sf'; Outlook Stable.
The following classes are not rated by Fitch:
--\\$98,500,000a class D;
--\\$91,400,000a class E;
--\\$37,100,000a class F.
a Privately placed pursuant to Rule 144A.
b Notional amount and interest-only.
The certificates represent the beneficial ownership in the trust, the primary asset of which is one loan having an aggregate principal balance of \\$660 million as of the cut-off date. The trust is primarily secured by the first priority mortgages on each borrower's fee simple and leasehold interests in 39 office and two industrial properties totalling 2.6 million sf. The portfolio properties are 100% occupied by 16 United States Federal Government agencies via General Services Administration leases.
The loan is sponsored by NGP V Fund, one of the nation's largest real estate investment programs focused on the acquisition and management of assets leased to U.S. governmental entities. The loan was jointly originated by Cantor Commercial Real Estate Lending, LP and Barclays Bank plc.
KEY RATING DRIVERS
High Fitch Leverage: The \\$660 million mortgage loan has a Fitch DSCR and LTV of 0.92x and 96.8%, respectively, and debt of \\$256 psf. The sponsor has a reported cost basis in the portfolio of \\$846.8 million, representing a loan-to-cost ratio of 77.9%. No additional future debt is permitted.
Rollover: The portfolio has significant initial (hard) lease term rollover of 95.4% (by sf) prior to the loan maturity in 2025. The rollover is staggered throughout the loan term, with no more than 22.9% of total rent across nine leases expiring in any year (2023). Each of the properties was either built-to-suit or retrofit-to-suit designed specifically to agency and GSA requirements. Due to the mission critical nature of many government facilities, locational restrictions, and various procurement factors, renewal probability in the government sector has historically been high.
Tenant Credit Quality: The portfolio is 100% occupied by 16 United States Federal Government ('AAA'/Outlook Stable) agencies via General Services Administration (GSA) leases. The leases are not subject to annual appropriations. Only three agency tenants, the FBI (22.5%), CIS (18%) and DEA (11.7%) represent over 7.7% of total portfolio rent.
Asset Quality: The weighted average year of construction for the portfolio is 2007, and to date, the GSA/tenant's total investment in improvements across the portfolio is \\$157.7 million (\\$61 psf). Fitch assigned property quality grades of 'B+' or better to 16 properties (81% of the pool balance for Fitch sampled loans).
Fitch found that the property could withstand a 67.6% decline in value and an approximate 59.4% decline in Fitch's net cash flow prior to experiencing \\$1 of loss to the 'AAAsf' rated class A.
Fitch performed several stress scenarios in which the Fitch net cash flow (NCF) was stressed. Fitch determined that a 44.5% reduction in Fitch's NCF would cause the notes to break even at
a 1.0x DSCR, based on the actual debt service.
Fitch evaluated the sensitivity of the ratings for class A and found that a 7% decline in Fitch NCF would result in a one-category downgrade, while a 34% decline would result in a downgrade to below investment grade.
The Rating Sensitivity section in the presale report includes a detailed explanation of additional stresses and sensitivities. Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report. The presale report is available to all investors on Fitch's web site 'www.fitchratings.com'.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from KPMG LLP. The third-party due diligence information was provided on Form ABS Due Diligence Form-15E and focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan and related mortgaged properties in the data file. Fitch considered this information in its analysis, and the findings did not have an impact on the agency's analysis.