NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks to Deutsche Bank Securities, Inc.'s COMM 2015-DC1 commercial mortgage pass-through certificates.
--$38,300,000 class A-1 'AAAsf'; Outlook Stable;
--$172,500,000 class A-2 'AAAsf'; Outlook Stable;
--$120,000,000 class A-3 'AAAsf'; Outlook Stable;
--$68,500,000 class A-SB 'AAAsf'; Outlook Stable;
--$200,000,000 class A-4 'AAAsf'; Outlook Stable;
--$382,593,000 class A-5 'AAAsf'; Outlook Stable;
--$1,076,575,000a class X-A 'AAAsf'; Outlook Stable;
--$94,682,000b class A-M 'AAAsf'; Outlook Stable;
--$80,656,000b class B 'AA-sf'; Outlook Stable;
--$238,460,000b class PEZ 'A-sf'; Outlook Stable;
--$63,122,000b class C 'A-sf'; Outlook Stable;
--$143,778,000ac class X-B 'A-sf'; Outlook Stable;
--$71,888,000ac class X-C 'BBB-sf'; Outlook Stable;
--$29,808,000ac class X-D 'BB-sf'; Outlook Stable;
--$71,888,000c class D 'BBB-sf'; Outlook Stable;
--$29,808,000c class E 'BB-sf'; Outlook Stable.
(a) Notional amount and interest-only.
(b) Class A-M, B and C certificates may be exchanged for class PEZ certificates, and class PEZ certificates may be exchanged for class A-M, B, and C certificates.
(c) Privately placed and pursuant to Rule 144A.
Fitch does not rate the $38,574,000 class X-E, the $42,081,764 class X-F, the $14,027,000 class F, the $24,547,000 class G, the $42,081,764 class H and the $13,000,000 class HIX certificates.
Since Fitch issued its expected ratings on Feb. 17, 2015, the rating on one class (X-B) has been updated to reflect the fact that it captures excess spread from the associated classes B and C. 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 67 loans secured by 81 commercial properties having an aggregate principal balance of approximately $1.4 billion, as of the cutoff date. The loans were contributed to the trust by German American Capital Corporation, Natixis Real Estate Capital LLC, Jefferies LoanCore LLC and UBS Real Estate Securities.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 78.1% of the properties by balance, cash flow analysis of 80.4%, and asset summary reviews on 80.4% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The pool's Fitch debt service coverage ratio (DSCR) and loan to value (LTV) are 1.12x and 112.4%, respectively. This represents higher leverage than other recent Fitch-rated fixed-rate multiborrower transactions. The 2014 average Fitch DSCR was 1.19x, and the average Fitch LTV was 106.2%.
High New York Concentration: The largest state concentration is New York (30.1%), with five of the top 10 loans (27.3%) secured by properties located in New York City. The next largest state concentrations are California (9.6%), Arkansas (8.7%), Pennsylvania (8%) and Texas (5.5%). The largest loan in the pool (8.7%) is secured by a property located in Arkansas.
Limited Amortization: Eleven loans, representing 33.8% of the pool, are full-term interest-only, and 32 loans representing 41.3% of the pool are partial interest-only. The remainder of the pool consists of 24 balloon loans representing 24.8% of the pool, with loan terms of five to 10 years. Based on the scheduled balance at maturity, the pool will pay down 9.4%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 6.8% 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 COMM 2015-DC1 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 '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 '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 will be KeyBank National Association, rated 'CMS1' by Fitch and the special servicer will be Rialto Capitol Advisors, LLC, rated 'CSS2' by Fitch.
Additional Information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions' (June 18, 2014);
--'Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions' (Sept. 19, 2014);
--'Global Structured Finance Rating Criteria' (Aug. 20, 2014);
--'Rating Criteria for U.S. Commercial Mortgage Servicers' (Feb. 14, 2014);
--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (Dec. 10, 2014);
--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 14, 2014).
Applicable Criteria and Related Research:
Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748778
Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=772328
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389
Rating Criteria for U.S. Commercial Mortgage Servicers
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=735382
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=812608
Counterparty Criteria for Structured Finance and Covered Bonds
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=980737
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