NEW YORK--(BUSINESS WIRE)--Fitch Ratings has issued a presale report on Deutsche Bank Securities, Inc.'s COMM Mortgage Trust 2015-CCRE27 commercial mortgage pass-through certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as follows:
--$38,731,000 class A-1 'AAAsf'; Outlook Stable;
--$72,542,000 class A-2 'AAAsf'; Outlook Stable;
--$62,544,000 class A-SB 'AAAsf'; Outlook Stable;
--$215,000,000 class A-3 'AAAsf'; Outlook Stable;
--$263,315,000 class A-4 'AAAsf'; Outlook Stable;
--$705,700,000b class X-A 'AAAsf'; Outlook Stable;
--$53,568,000 class A-M 'AAAsf'; Outlook Stable;
--$54,732,000 class B 'AA-sf'; Outlook Stable;
--$43,088,000 class C 'A-sf'; Outlook Stable;
--$51,238,000a class D 'BBB-sf'; Outlook Stable;
--$97,820,000ab class X-B 'A-sf'; Outlook Stable;
--$51,238,000ab class X-C 'BBB-sf'; Outlook Stable;
--$24,455,000a class E 'BB-sf'; Outlook Stable;
--$9,317,000a 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. 13, 2015. Fitch does not expect to rate the $33,772,000ab interest-only class X-D, $13,974,000ab interest-only class X-E, $29,113,392ab interest-only class X-F, $13,974,000a class G or the $29,113,392 class H.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 65 loans secured by 96 commercial properties having an aggregate principal balance of approximately $931.6 million 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., Key Bank National Association and The Bank of New York Mellon.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 66.2% of the properties by balance and asset summary reviews and cash flow analysis of 78.0% 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 1.13x and 110.9%, respectively. Excluding the credit-assessed 11 Madison Avenue (7.5% of pool), the Fitch DSCR and LTV are 1.10x and 114.9%, respectively. The 2015 year-to-date average Fitch DSCR and LTV are 1.19x and 109.4%, respectively.
Credit Opinion Loan: One loan, 11 Madison Avenue (7.5% 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 26.2% and 'BBB-sf' is approximately 8.9%.
Collateral Quality: The quality of the assets is generally considered to be above average compared to other conduit transactions. Three loans in the top 10, 11 Madison, NMS Portfolio, and The Drake were assigned Fitch property grades in the 'A' range. As a percentage of Fitch-inspected properties, 41.2% of the pool received a property quality grade of 'B+' or higher. Five properties, 9.9% of the pool, received property quality grades of 'A' range. Eleven inspected properties 12.0% received a property quality grade of 'B-.'
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 15.3% 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 2015-CCRE27 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 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 65 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.
Additional information is available at www.fitchratings.com
COMM 2015-CCRE27 Commercial Mortgage Trust
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=871683
Applicable Criteria
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952
Related Research
COMM 2015-CCRE27 R&W Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=871684
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=992211
ABS Due Diligence Form 15E 1
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=992211
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31
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