Fitch Assigns Final Ratings to MSBAM 2015-C26 Commercial Mortgage Trust Pass-Through Ctfs

NEW YORK--()--Fitch Ratings has assigned the following ratings and Rating Outlooks to Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage Trust 2015-C26 commercial mortgage pass-through certificates:

--$36,700,000 class A-1 'AAAsf'; Outlook Stable;

--$14,800,000 class A-2 'AAAsf'; Outlook Stable;

--$59,800,000 class A-SB 'AAAsf'; Outlook Stable;

--$100,000,000 class A-3 'AAAsf'; Outlook Stable;

--$215,000,000 class A-4 'AAAsf'; Outlook Stable;

--$307,418,000 class A-5 'AAAsf'; Outlook Stable;

--$733,718,000b class X-A 'AAAsf'; Outlook Stable;

--$77,302,000 class A-S 'AAAsf'; Outlook Stable;

--$48,478,000 class B 'AA-sf'; Outlook Stable;

--$44,547,000 class C 'A-sf'; Outlook Stable;

--$125,780,000ab class X-B 'AA-sf'; Outlook Stable;

--$60,270,000ab class X-D 'BBB-sf'; Outlook Stable;

--$60,270,000a class D 'BBB-sf'; Outlook Stable;

--$26,204,000a class E 'BB-sf'; Outlook Stable;

--$10,482,000a class F 'B-sf'; Outlook Stable.

(a) Privately placed and pursuant to Rule 144A.

(b) Notional amount and interest-only.

Fitch does not rate the $15,722,000 class G or the $31,445,903 class H.

The certificates represent the beneficial ownership interest in the trust, primary assets of which are 69 loans secured by 102 commercial properties having an aggregate principal balance of approximately $1.0 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 71.7% of the properties by balance, cash flow analysis of 78.0%, and asset summary reviews on 78.0% of the pool.

KEY RATING DRIVERS

High Fitch Leverage: The pool demonstrates high leverage statistics with a Fitch DSCR and LTV of 1.12x and 110.5%, respectively. Excluding the credit-assessed 11 Madison Avenue loan (8.7% of pool), the Fitch DSCR and LTV are 1.09x and 115.3%, respectively. The 2015 year-to-date (YTD) average Fitch DSCR and LTV are 1.19x and 109.4%, respectively.

Credit Opinion Loan: One loan, 11 Madison Avenue (8.7% 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 24.7% and 'BBB-sf' is approximately 8.8%.

Limited Hotel Exposure: Only 7.0% of the pool by balance consists of hotel properties, which is below the YTD 2015 average of 16.5% and the 2014 average of 14.2%; hotels have the highest probability of default in Fitch's multi-borrower CMBS model.

RATING SENSITIVITIES

For this transaction, net cash-flow (NCF) was 14.1% 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 could result in potential rating actions on the certificates.

Fitch evaluated the sensitivity of the ratings assigned to MSBAM 2015-C26 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, the result could be a downgrade of the senior 'AAAsf' certificates to 'A-sf'. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, the result could be a downgrade of the senior 'AAAsf' certificates to 'BBB-sf'. 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 & 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.

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. 27 Aug 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=870009

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. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Rating Criteria for Structured Finance Servicers (pub. 23 Apr 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864375

Rating Criteria for U.S. Commercial Mortgage Servicers (pub. 14 Feb 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=735382

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

Related Research

Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26 -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=872880

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=993937

ABS Due Diligence Form 15E 1

https://www.fitchratings.com/creditdesk/press_releases/content/ridf15E_frame.cfm?pr_id=993937&flm_nm=15e_993937_1.pdf

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=993937

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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Contacts

Fitch Ratings
Primary Analyst
Abigail Kagan, +1-212-908-0516
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Robert Ritter, +1-212-908-0328
Analyst
or
Committee Chairperson
Robert Vrchota, +1-312-368-3336
Managing Director
or
Media Relations
Sandro Scenga, New York, +1-212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
Abigail Kagan, +1-212-908-0516
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Robert Ritter, +1-212-908-0328
Analyst
or
Committee Chairperson
Robert Vrchota, +1-312-368-3336
Managing Director
or
Media Relations
Sandro Scenga, New York, +1-212-908-0278
sandro.scenga@fitchratings.com