NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks to Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage Trust 2016-C28 commercial mortgage pass-through certificates:
--$25,700,000 class A-1 'AAAsf'; Outlook Stable;
--$43,800,000 class A-2 'AAAsf'; Outlook Stable;
--$59,300,000 class A-SB 'AAAsf'; Outlook Stable;
--$215,000,000 class A-3 'AAAsf'; Outlook Stable;
--$325,154,000 class A-4 'AAAsf'; Outlook Stable;
--$668,954,000b class X-A 'AAAsf'; Outlook Stable;
--$97,954,000b class X-B 'AA-sf'; Outlook Stable;
--$47,782,000 class A-S 'AAAsf'; Outlook Stable;
--$50,172,000 class B 'AA-sf'; Outlook Stable;
--$46,588,000 class C 'A-sf'; Outlook Stable;
--$52,560,000ab class X-D 'BBB-sf'; Outlook Stable;
--$52,560,000a class D 'BBB-sf'; Outlook Stable;
--$14,335,000ac class E1 'BBsf'; Outlook Stable;
--$14,335,000ac class E2 'BB-sf'; Outlook Stable;
--$28,670,000ac class E 'BB-sf'; Outlook Stable;
--$9,556,000ac class F 'B-sf'; Outlook Stable;
--$38,226,000ac class EF 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) The class E-1 and E-2 certificates may be exchanged for a related amount of class E certificates, and the class E certificates may be exchanged for a rateable portion of class E-1 and E-2 certificates. Additionally, a holder of class E-1, E-2, Class F-1 and F-2 certificates may exchange such classes of certificates (on an aggregate basis) for a related amount of class EF certificates, and a holder of class EF certificates may exchange that class EF for a rateable portion of each class of the class E-1, E-2, F-1 and F-2 certificates.
Fitch does not rate the $4,778,000 class F-1, $4,778,000 class F-2, $11,348,500 class G-1, $11,348,500 class G-2, $14,334,677 class H-1, $14,334,677 class H-2, $22,697,000 exchangeable class G, $28,669,354 exchangeable class H, or the $60,923,000 exchangeable class EFG certificates.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 42 loans secured by 161 commercial properties having an aggregate principal balance of approximately $955.6 million 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 75.9% of the properties by balance, cash flow analysis of 89.5%, and asset summary reviews on 89.5% of the pool.
KEY RATING DRIVERS
Credit Opinion Loans: Two loans, Penn Square Mall (9.4% of the pool) and GLP Industrial Portfolio Pool A (7.3% of the pool), have investment-grade credit opinions of 'A' on a stand-alone basis. Excluding these loans, Fitch's implied conduit subordination at the junior 'AAAsf' tranche is approximately 29.4% and at 'BBB-sf', approximately 11.1%.
High Fitch Conduit Leverage: Although this transaction has a Fitch DSCR and LTV of 1.17x and 105.3%, respectively, excluding the credit-assessed loans Penn Square Mall (9.4% of the pool) and GLP Industrial Portfolio Pool A (7.3% of the pool), the Fitch DSCR and LTV are 1.09x and 115.1%. The 2015 average Fitch DSCR and LTV were 1.18x and 109.3%.
For this transaction, Fitch's net cash flow (NCF) was 10.1% 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 in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to MSBAM 2016-C28 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 'Asf' 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 'BBB+sf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on pages 12 - 13.
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).
Additional information is available at www.fitchratings.com.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions (pub. 27 Aug 2015)
Criteria for Analyzing Multiborrower U.S. and Canadian Commercial Mortgage Transactions (pub. 01 Dec 2015)
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
Rating Criteria for Structured Finance Servicers (pub. 23 Apr 2015)
Rating Criteria for U.S. Commercial Mortgage Servicers (pub. 14 Feb 2014)
U.S. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S. Re-REMIC Criteria (pub. 13 Nov 2015)
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28 - Appendix
Dodd-Frank Rating Information Disclosure Form
ABS Due Diligence Form 15E 1