NEW YORK--(BUSINESS WIRE)--Fitch Ratings has issued a presale report on Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage Trust 2015-C25 commercial mortgage pass-through certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as follows:
--$34,000,000 class A-1 'AAAsf'; Outlook Stable;
--$28,700,000 class A-2 'AAAsf'; Outlook Stable;
--$93,700,000 class A-SB 'AAAsf'; Outlook Stable;
--$115,000,000 class A-3 'AAAsf'; Outlook Stable;
--$230,000,000 class A-4 'AAAsf'; Outlook Stable;
--$324,193,000 class A-5 'AAAsf'; Outlook Stable;
--$825,593,000b class X-A 'AAAsf'; Outlook Stable;
--$135,633,000b class X-B 'AA-sf'; Outlook Stable;
--$63,394,000b class X-D 'BBB-sf'; Outlook Stable;
--$45,702,000 class A-S 'AAAsf'; Outlook Stable;
--$89,931,000 class B 'AA-sf'; Outlook Stable;
--$56,022,000 class C 'A-sf'; Outlook Stable;
--$63,394,0000 class D 'BBB-sf'; Outlook Stable;
--$29,485,0000a class E 'BB-sf'; Outlook Stable;
--$13,269,0000a 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 Sept. 25, 2015. Fitch does not expect to rate the $56,022,010 class G.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 56 loans secured by 102 commercial properties having an aggregate principal balance of approximately $1.18 billion 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 73.2% of the properties by balance, cash flow analysis of 79.7%, and asset summary reviews on 79.7% of the pool.
KEY RATING DRIVERS
Higher Than Average Fitch Leverage: The pool has a Fitch stressed debt service coverage ratio (DSCR) of 1.09x and a stressed loan-to-value (LTV) of 113.4%. This represents higher leverage than other recent Fitch-rated fixed-rate multiborrower transactions. The 2014 and YTD 2015 Fitch DSCR and LTV averages are 1.19x and 106.2% and 1.21x and 108.9%, respectively.
Above-Average Pool Concentration: The top 10 loans comprise 53.5% of the pool, which is worse than recent averages of 50.5% and 48.2% for 2014 and YTD 2015, respectively. Additionally, the loan concentration index (LCI) and sponsor concentration index (SCI) are 406 and 441, respectively, both of which are greater than recent respective averages of 387 and 419 for YTD 2015.
High-Quality Collateral: Three properties (The Roosevelt New Orleans Waldorf Astoria, The Villas at Dorsey Ridge and The Chapman Apartments) making up 18% of the pool on which site inspections were performed were assigned property quality grades of 'A-'. The majority of the inspected pool (73.3%) was assigned a property quality grade of 'B+' or 'B'. Only 8.8% of the inspected pool was assigned property quality grades of 'B-' or 'C+', indicating below-average property quality.
For this transaction, net charge-offs (NCF) were 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). The following rating sensitivities describe how the ratings would react to further NCF declines below Fitch's NCF. The implied rating sensitivities are only indicative of some of the potential outcomes and do not consider other risk factors to which the transaction is exposed. Stressing additional risk factors may result in different outcomes. Furthermore, the implied ratings, after the further NCF stresses are applied, are more akin to what the ratings would be at deal issuance had those further stressed NCFs been in place at that time.
Fitch evaluated the sensitivity of the ratings assigned to MSBAM 2015-C25 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 'AA-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 pages 11 - 12.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from Deloitte. 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.
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
Criteria for Analyzing Multiborrower U.S. and Canadian Commercial Mortgage Transactions (pub. 28 May 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. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria (pub. 10 Dec 2014)
Dodd-Frank Rating Information Disclosure Form
ABS Due Diligence Form 15E 1