NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks to Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) 2015-C23 commercial mortgage pass-through certificates:
--$45,800,000 class A-1 'AAAsf'; Outlook Stable;
--$122,100,000 class A-2 'AAAsf'; Outlook Stable;
--$67,600,000 class A-SB 'AAAsf'; Outlook Stable;
--$230,000,000 class A-3 'AAAsf'; Outlook Stable;
--$285,394,000 class A-4 'AAAsf'; Outlook Stable;
--$750,894,000b class X-A 'AAAsf'; Outlook Stable;
--$75,089,000c class A-S 'AAAsf'; Outlook Stable;
--$75,089,000ab class X-B 'AAAsf'; Outlook Stable;
--$60,340,000c class B 'AA-sf'; Outlook Stable;
--$182,360,000c class PST 'A-sf'; Outlook Stable;
--$46,931,000c class C 'A-sf'; Outlook Stable;
--$56,317,000a class D 'BBB-sf'; Outlook Stable;
--$24,136,000a class E 'BB-sf'; Outlook Stable;
--$10,727,000a class F 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) Class A-S, B and C certificates may be exchanged for class PST certificates, and class PST certificates may be exchanged for class A-S, B, and C certificates.
Fitch did not rate the $16,091,000 class G, the $32,181,368 class H, the $32,181,368 interest-only class X-H or the $26,818,000 interest-only class X-FG.
When Fitch issued its expected ratings on June 1, 2015, interest-only class X-B referenced both class A-S and class B and had a notional balance of $135,429,000. Prior to closing, the notional balance of class X-B was changed to reference only the $75,089,000 class A-S. The final rating of class X-B was changed to 'AAAsf' from an expected rating of 'AA-sf' as a result of the change described above.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 75 loans secured by 151 commercial properties having an aggregate principal balance of approximately $1.073 billion as of the cutoff date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC, Bank of America, National Association, Starwood Mortgage Capital LLC, and CIBC, Inc.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 69.5% of the properties by balance, cash flow analysis of 79.3%, and asset summary reviews on 79.3% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The transaction has higher leverage than other recent Fitch-rated fixed-rate multiborrower transactions. The pool's Fitch DSCR of 1.14x is lower than both the YTD 2015 average of 1.18x and the 2014 average of 1.19x, and the pool's Fitch LTV of 113.1% is higher than both the YTD 2015 average of 110.4% and the 2014 average of 106.2%.
Pool Concentration: The largest 10 loans in the transaction account for 46.0% of the pool by balance. This is lower than the YTD 2015 average of 47.8% and lower than the 2014 average of 50.5%. The pool's below-average concentration resulted in a loan concentration index (LCI) of 298, which was lower than the YTD 2015 and 2014 averages of 357 and 387, respectively. However, three of the ten largest loans (12.9% of the pool) are secured by properties located in New York.
Collateral Quality: Three properties (13.6% of the pool), all of which serve as collateral for top 10 loans (Fairfax Corner, Georgian Terrace and Hilton Garden Inn W 54th Street), were assigned property quality grades of 'A-'. The majority of the pool (57.4%) was assigned a property quality grade in the 'B' range.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 15.2% 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 MSBAM 2015-C23 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 'BBB-sf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on pages 10 - 11.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
Additional information is available at www.fitchratings.com.
Applicable Criteria
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158
Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions (pub. 20 Mar 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=862818
Criteria for Analyzing Multiborrower U.S. and Canadian Commercial Mortgage Transactions (pub. 28 May 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=865499
Global Structured Finance Rating Criteria (pub. 31 Mar 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria (pub. 10 Dec 2014)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=812608
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=986620
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=986620
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31
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