Fitch Assigns Final Ratings to COMM 2016-CCRE28 Mortgage Trust Pass-Through Ctfs
OREANDA-NEWS. Fitch Ratings has assigned the following ratings and Rating Outlooks to Deutsche Bank Securities, Inc.'s COMM 2016-CCRE28 Mortgage Trust commercial mortgage pass-through certificates.
--$21,720,000 class A-1 'AAAsf'; Outlook Stable;
--$82,786,000 class A-2 'AAAsf'; Outlook Stable;
--$47,975,000 class A-SB 'AAAsf'; Outlook Stable;
--$230,000,000 class A-3 'AAAsf'; Outlook Stable;
--$281,279,000 class A-4 'AAAsf'; Outlook Stable;
--$55,000,000 class A-HR 'AAAsf'; Outlook Stable;
--$703,549,000b class XP-A 'AAAsf'; Outlook Stable;
--$703,549,000b class X-A 'AAAsf'; Outlook Stable;
--$55,000,000b class X-HR 'AAAsf'; Outlook Stable;
--$39,789,000 class A-M 'AAAsf'; Outlook Stable;
--$73,160,000 class B 'AA-sf'; Outlook Stable;
--$50,056,000 class C 'A-sf'; Outlook Stable;
--$33,371,000 class D 'BBBsf'; Outlook Stable;
--$123,216,000ab class X-B 'A-sf'; Outlook Stable;
--$59,041,000ab class X-C 'BBB-sf'; Outlook Stable;
--$26,954,000ab class X-D 'BB-sf'; Outlook Stable;
--$25,670,000a class E 'BBB-sf'; Outlook Stable;
--$26,954,000a class F 'BB-sf'; Outlook Stable;
--$11,551,000a class G 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
Fitch does not rate the $29,520,000ab interest-only class X-E, $29,521,412ab interest-only class X-F, $17,969,000a class H or the $29,521,412 class J.
Since Fitch issued its expected ratings on Jan. 14, 2016, the balance of class A-3 has increased from $205,000,000 to $230,000,000, the balance of class A-4 has decreased from $306,279,000 to $281,279,000, and class XS-A is now referred to as class X-A. 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 49 loans secured by 119 commercial properties having an aggregate principal balance of approximately $1.027 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., Jeffries LoanCore LLC, and Ladder Capital Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 78% of the properties by balance and asset summary reviews and cash flow analysis of 87.4% of the pool.
KEY RATING DRIVERS
Fitch Leverage Higher than Recent Deals: Fitch Stressed DSCR on the trust-specific debt is 1.10x, which is worse than the 2014 and 2015 averages for other Fitch-rated U.S. multiborrower deals of 1.19x and 1.18x, respectively. Fitch stressed LTV on the trust-specific debt is 113.8%, which is higher than the 2014 and 2015 averages for Fitch-rated deals of 106.2% and 109.3%, respectively.
High Proportion of Interest-Only Loans: Of the loans in the pool, 40.5% are full interest-only, including seven of the top 10. This is higher than the average for other Fitch-rated U.S. multiborrower deals of 20.1% in 2014 and 23.3% in 2015. Of the loans in the pool, 43.8% are partial interest-only, which is in line with the average for other Fitch-rated U.S. multiborrower deals of 42.8% in 2014 and 43.1% in 2015. Likewise, the pool is scheduled to pay down by 7.7%, which is less than average when compared to other Fitch-rated U.S. multiborrower deals of 12% in 2014 and 11.7% in 2015.
Strong Collateral Quality: Five loans totaling 25.2% of the pool balance are secured by properties receiving a property quality grade of 'A-' or better, including four the top 10 loans (Promenade Gateway, 32 Avenue of the Americas, Netflix HQ 2, and FedEx Brooklyn).
For this transaction, Fitch's net cash flow (NCF) was 16.7% 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 COMM 2016-CCRE28 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 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 page 11.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from Ernst and Young 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 49 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.