CHICAGO--(BUSINESS WIRE)--Fitch Ratings expects to assign the following ratings and Rating Outlooks to Real Estate Asset Liquidity Trust's (REAL-T) commercial mortgage pass-through certificates series 2015-1:
--$163,134,000 class A-1 'AAAsf'; Outlook Stable;
--$126,493,000 class A-2 'AAAsf'; Outlook Stable;
--$7,953,000 class B 'AAsf'; Outlook Stable;
--$10,045,000 class C 'Asf'; Outlook Stable;
--$9,626,000 class D 'BBBsf'; Outlook Stable;
--$4,185,000 class E 'BBB-sf'; Outlook Stable;
--$3,767,000 class F 'BBsf'; Outlook Stable;
--$3,348,000 class G 'Bsf'; Outlook Stable.
All currencies are in Canadian dollars (CAD).
Fitch does not expect to rate the $334,829,948 (notional balance) interest-only class X or the non-offered $6,278,948 class H certificate.
The certificates represent the beneficial ownership in the trust, primary assets of which are 46 loans secured by 46 commercial properties located in Canada having an aggregate principal balance of approximately $334.8 million as of the cutoff date. The loans were originated or acquired by Royal Bank of Canada, IMC Limited Partnership, First National Financial LP, and Trez Commercial Mortgage Limited Partnership.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 86.7% of the properties by balance, cash flow analysis of 100%, and asset summary reviews on 100% of the pool.
The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.19x, a Fitch stressed loan-to-value (LTV) of 104.5%, and a Fitch debt yield of 9.16%. Fitch's aggregate net cash flow represents a variance of 4.3% to issuer cash flows.
KEY RATING DRIVERS
Lower Fitch Leverage: The pool has a Fitch DSCR and LTV of 1.19x and 104.5%, respectively. This represents slightly lower leverage than the 2014 average for Canadian multiborrower deals, which had a DSCR and LTV of 1.13x and 104.8%, respectively. The leverage is in line with the recent IMSCI 2015-6 transaction, which had a DSCR and LTV of 1.18x and 100.7%, respectively.
Significant Amortization: The pool has a weighted average amortization term of 25.7 years, which represents faster amortization than U.S. conduit loans. There are no partial or full interest-only loans. The pool's maturity balance represents a paydown of 28.9% of the closing balance, which represents significantly more paydown than the 2014 averages for Canadian and U.S. multiborrower deals of 16.6% and 12.0%, respectively.
Canadian Loan Attributes and Historical Performance: The ratings reflect strong historical Canadian commercial real estate loan performance, including a low delinquency rate and low historical losses of less than 0.1%, as well as positive loan attributes, such as short amortization schedules, recourse to the borrower and additional guarantors. For more information on prior Canadian CMBS securitizations, see Fitch Research on "Canadian CMBS Default and Loss Study," dated October 2013, available on Fitch's website at www.fitchratings.com.
Loans with Recourse: Of the pool, 82.6% of the loans feature full or partial recourse to the borrowers and/or sponsors, which is in line with recent transactions although higher than the recent IMSCI 2015-6 transaction. In Fitch's analysis, the probability of default is reduced for loans with recourse.
Fitch performed two model-based break-even analyses to determine the level of cash flow and value deterioration the pool could withstand prior to $1 of loss being experienced by the 'BBB-sf' and 'AAAsf' rated classes. Fitch found that the REAL-T 2015-1 pool could withstand a 43.1% decline in value (based on appraised values at issuance) and an approximately 15.5% decrease to the most recent actual cash flow prior to experiencing a $1 of loss to the 'BBB-sf' rated class. Additionally, Fitch found that the pool could withstand a 48.7% decline in value and an approximately 23.9% decrease in the most recent actual cash flow prior to experiencing $1 of loss to any 'AAAsf' rated class.
Key Rating Drivers and Rating Sensitivities are further described in the accompanying transaction report.
The master and special servicer is First National Financial LP, rated 'CMS3' and 'CLLSS3', respectively, by Fitch.
The presale report is available at 'www.fitchratings.com' or by clicking on the link.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions' (June 2014);
--'Global Structured Finance Rating Criteria' (March 2015);
--'Counterparty Criteria for Structured Finance Transactions and Covered Bonds' (May 2014);
--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (December 2014);
--'Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions' (March 2015).
Applicable Criteria and Related Research: REAL-T 2015-1