Fitch to Rate MSBAM 2015-C26 Commercial Mortgage Trust Pass-Through Ctfs; Presale Issued
OREANDA-NEWS. Fitch Ratings has issued a presale report on Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage Trust 2015-C26 commercial mortgage pass-through certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as follows:
--$36,700,000 class A-1 'AAAsf'; Outlook Stable;
--$14,800,000 class A-2 'AAAsf'; Outlook Stable;
--$59,800,000 class A-SB 'AAAsf'; Outlook Stable;
--$100,000,000 class A-3 'AAAsf'; Outlook Stable;
--$215,000,000 class A-4 'AAAsf'; Outlook Stable;
--$307,418,000 class A-5 'AAAsf'; Outlook Stable;
--$733,718,000b class X-A 'AAAsf'; Outlook Stable;
--$77,302,000 class A-S 'AAAsf'; Outlook Stable;
--$48,478,000 class B 'AA-sf'; Outlook Stable;
--$44,547,000 class C 'A-sf'; Outlook Stable;
--$125,780,000ab class X-B 'AA-sf'; Outlook Stable;
--$60,270,000ab class X-D 'BBB-sf'; Outlook Stable;
--$60,270,000a class D 'BBB-sf'; Outlook Stable;
--$26,204,000a class E 'BB-sf'; Outlook Stable;
--$10,482,000a class F 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
The expected ratings are based on information provided by the issuer as of Oct. 19, 2015. Fitch does not expect to rate the $15,722,000 class G or the $31,445,903 class H.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 69 loans secured by 102 commercial properties having an aggregate principal balance of approximately $1.0 billion as of the cut-off date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC, Bank of America, National Association, CIBC, Inc., and Starwood Mortgage Funding III LLC.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 71.7% of the properties by balance, cash flow analysis of 78.0%, and asset summary reviews on 78.0% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The pool demonstrates high leverage statistics with a Fitch DSCR and LTV of 1.12x and 110.5%, respectively. Excluding the credit-assessed 11 Madison Avenue loan (8.7% of pool), the Fitch DSCR and LTV are 1.09x and 115.3%, respectively. The 2015 year-to-date (YTD) average Fitch DSCR and LTV are 1.19x and 109.4%, respectively.
Credit Opinion Loan: One loan, 11 Madison Avenue (8.7% of the pool), has an investment-grade credit opinion of 'A-' on a stand-alone basis. Excluding the 11 Madison Avenue loan, Fitch's implied conduit subordination at the junior 'AAAsf' tranche is approximately 24.7% and 'BBB-sf' is approximately 8.8%.
Limited Hotel Exposure: Only 7.0% of the pool by balance consists of hotel properties, which is below the YTD 2015 average of 16.5% and the 2014 average of 14.2%; hotels have the highest probability of default in Fitch's multi-borrower CMBS model.
For this transaction, net cash-flow (NCF) was 14.1% 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). 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-C26 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, the result could be a downgrade of the senior 'AAAsf' certificates to 'A-sf'. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, the result could be a downgrade of the senior 'AAAsf' certificates to 'BBB-sf'. The presale report includes a detailed explanation of additional stresses and sensitivities on pages 11 - 12.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from Deloitte & Touche 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 mortgage loan. 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).