Fitch Assigns Final Ratings to COMM 2015-CCRE26 Commercial Mortgage Trust Pass-Through Ctfs
--$36,162,000 class A-1 'AAAsf'; Outlook Stable;
--$44,578,000 class A-2 'AAAsf'; Outlook Stable;
--$76,831,000 class A-SB 'AAAsf'; Outlook Stable;
--$225,000,000 class A-3 'AAAsf'; Outlook Stable;
--$381,056,000 class A-4 'AAAsf'; Outlook Stable;
--$811,353,000b class X-A 'AAAsf'; Outlook Stable;
--$47,726,000 class A-M 'AAAsf'; Outlook Stable;
--$72,272,000 class B 'AA-sf'; Outlook Stable;
--$54,545,000 class C 'A-sf'; Outlook Stable;
--$61,363,000a class D 'BBB-sf'; Outlook Stable;
--$126,817,000ab class X-B 'A-sf'; Outlook Stable;
--$61,363,000ab class X-C 'BBB-sf'; Outlook Stable;
--$15,000,000a class E 'BB+sf'; Outlook Stable;
--$13,636,000a class F 'BB-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
Fitch does not rate the $28,636,000ab interest-only class X-D, $28,636,000ab interest-only class X-E, $34,090,914ab interest-only class X-F, $28,636,000a class G or the $34,090,914a class H.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 60 loans secured by 98 commercial properties having an aggregate principal balance of approximately $1.09 billion as of the cut-off date. The loans were contributed to the trust by German American Capital Corporation, Cantor Commercial Real Estate lending, L.P. and Jefferies LoanCore LLC.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 77% of the properties by balance and asset summary reviews and cash flow analysis of 81.6% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The pool demonstrates high leverage statistics with a Fitch debt service coverage ratio (DSCR_ and loan-to-value (LTV) of 1.10x and 111.5%, respectively. Excluding the credit-opinion 11 Madison Avenue loan (6.4% of pool), the Fitch DSCR and LTV are 1.08x and 115.0%. These leverage statistics are higher than other recent Fitch-rated transactions. The 2014 and YTD 2015 average Fitch DSCRs were 1.19x and 1.21x, respectively, while the 2014 and YTD 2015 average Fitch LTVs were 106.2% and 108.9%.
Investment-Grade Credit-Opinion Loan: One loan, 11 Madison Avenue (6.4% of the pool), has an investment-grade credit opinion of 'A-' on a stand-alone basis. 11 Madison Avenue is a 2.3 million square foot (sf) office building located in Midtown Manhattan. The property is 97.8% leased with a combined 80.7% of the net rentable (NRA) leased to Credit Suisse (rated 'A'/Stable Outlook by Fitch) and Sony (rated 'BB-'/Stable Outlook). Excluding the 11 Madison Avenue loan, Fitch's implied conduit subordination at the junior 'AAAsf' tranche is approximately 27.4% and at 'BBB-sf' is approximately 9%.
Collateral Quality: As a percentage of Fitch-inspected properties, 45.6% of the pool received a property quality grade of 'B+' or higher. Two properties (12.7% of the pool) received property quality grades of 'A-.' Only two inspected properties (0.9%) received a property quality grade below 'B-'.
For this transaction, Fitch's net cash flow (NCF) was 14% below the most recent year's net operating income (NOI; for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. The following rating sensitivities describe how the ratings would react to further NCF declines below Fitch's NCF. The implied rating sensitivities are only indicative of some of the potential outcomes and do not consider other risk factors to which the transaction is exposed. Stressing additional risk factors may result in different outcomes. Furthermore, the implied ratings, after the further NCF stresses are applied, are more akin to what the ratings would be at deal issuance had those further stressed NCFs been in place at that time.
Fitch evaluated the sensitivity of the ratings assigned to COMM 2015-CCRE26 certificates and found that the transaction displays 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 senior '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 senior 'AAAsf' certificates to 'BBBsf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on page 10.
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-15E and focused on a comparison and re-computation of certain characteristics with respect to each of the 60 mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on our 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 (RAC).