Approximately $808 Million of Structured Securities Affected
New York, July 08, 2016 -- Moody's Investors Service (Moody's) has affirmed the ratings of seven
classes in COMM 2015-CCRE26 Mortgage Trust, Commercial Mortgage
Pass-Through Certificates, Series 2015-CCRE26 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Oct
12, 2015 Definitive Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Oct
12, 2015 Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Oct
12, 2015 Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Oct
12, 2015 Definitive Rating Assigned Aaa (sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Oct
12, 2015 Definitive Rating Assigned Aaa (sf)
Cl. A-M, Affirmed Aa2 (sf); previously on Oct
12, 2015 Definitive Rating Assigned Aa2 (sf)
Cl. X-A, Affirmed Aa1 (sf); previously on Oct
12, 2015 Definitive Rating Assigned Aa1 (sf)
RATINGS RATIONALE
The ratings on the six P&I classes A-1 through A-M were
affirmed because the transaction's key metrics, including
Moody's loan-to-value (LTV) ratio, Moody's stressed
debt service coverage ratio (DSCR) and the transaction's Herfindahl
Index (Herf), are within acceptable ranges.
The rating on the IO class, Class X-A, was affirmed
based on the credit performance (or the weighted average rating factor
or WARF) of its referenced classes.
Moody's rating action reflects a base expected loss of 6.3%
of the current balance. Moody's provides a current list of
base expected losses for conduit and fusion CMBS transactions on moodys.com
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. Performance
that falls outside the given range can indicate that the collateral's
credit quality is stronger or weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a significant
amount of loan paydowns or amortization, an increase in the pool's
share of defeasance or an improvement in pool performance.
Factors that could lead to a downgrade of the ratings include a decline
in the performance of the pool, loan concentration, an increase
in realized and expected losses from specially serviced and troubled loans
or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Approach to Rating
US and Canadian Conduit/Fusion CMBS" published in December 2014.
Please see the Ratings Methodologies page on www.moodys.com
for a copy of this methodology.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model,
which it uses for both conduit and fusion transactions. Credit
enhancement levels for conduit loans are driven by property type,
Moody's actual and stressed DSCR, and Moody's property
quality grade (which reflects the capitalization rate Moody's uses
to estimate Moody's value). Moody's fuses the conduit
results with the results of its analysis of investment grade structured
credit assessed loans and any conduit loan that represents 10%
or greater of the current pool balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity.
Loan concentration has an important bearing on potential rating volatility,
including the risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf score is 40. The pool has a Herf of 26,
the same as at securitization.
DEAL PERFORMANCE
As of the June 10, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 0.3% to $1.087
billion from $1.090 billion at securitization. The
Certificates are collateralized by 60 mortgage loans ranging in size from
less than 1% to 10.6% of the pool, with the
top ten loans (excluding defeasance) representing 51% of the pool.
The pool contains one loan, representing 6.4% of the
pool, that has an investment grade structured credit assessment.
There are currently no watchlisted or specially serviced loans in the
pool.
Moody's received full or partial year 2015 operating results for 63%
of the pool. Moody's weighted average conduit LTV is 125.4%
compared to 125.7% at securitization. Moody's
conduit component excludes loans with structured credit assessments,
defeased and CTL loans and specially serviced and troubled loans.
Moody's net cash flow (NCF) reflects a weighted average haircut
of 11% to the most recently available net operating income (NOI).
Moody's value reflects a weighted average capitalization rate of
9.7%.
Moody's actual and stressed conduit DSCRs are 1.35X and 0.86X,
respectively, the same as at securitization. Moody's actual
DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt
service. Moody's stressed DSCR is based on Moody's NCF and a 9.25%
stressed rate applied to the loan balance.
The loan with a structured credit assessment is the 11 Madison Avenue
Loan ($70.0 million -- 6.4% of the pool),
which represents the senior non-controlling Note A-1-C1
of a $1.075 billion whole loan. The total mortgage
loan is comprised of 19 promissory notes: 16 senior notes with an
aggregate principal balance of $764.33 million and three
junior notes with an aggregate principal balance of $310.7
million. The asset is also encumbered by $325.0 million
of mezzanine debt. The loan is secured by a 29-story,
2.3 million square foot Class A office tower directly east of Madison
Square Park in New York City. Major tenants include Credit Suisse
and Sony. The loan sponsor is SL Green Realty Corporation.
The property was 98% leased as of December 2015. Moody's
structured credit assessment and stressed DSCR are aa3 (sca.pd)
and 1.43X, respectively.
The top three performing conduit loans represent 21.6% of
the pool balance. The largest loan is the Prudential Plaza Loan
($115.0 million -- 10.6% of the pool),
which represents a pari passu interest in a $415.0 million
whole loan. The loan is secured by two Class A office towers,
One Prudential Plaza and Two Prudential Plaza, which are situated
in the East Loop submarket of Chicago, Illinois. Major tenants
include McGraw Hill Financial; CBS Radio Holdings Corp. of
Orlando; and Leydig, Voit & Mayer, Ltd. The
property was approximately 70% leased as of March 2016.
Moody's LTV and stressed DSCR are 140% and 0.71X,
respectively, the same as at securitization.
The second largest loan is the Ashley Park Loan ($68.2 million
-- 6.3% of the pool), which is secured by a 554,400
SF lifestyle center comprised of 18 buildings with storefronts located
along a pedestrian walkway, as well as by a 30,400 SF second
story office space in Newnan, Georgia. Apollo US Real Estate
Fund II, LP is the sponsor. The property is anchored by Dillard's,
Best Buy, Dick's Sporting Goods, and a 14-screen
Regal Cinema and is shadow anchored by a Belk department store.
The property was 92% leased as of March 2016. Moody's LTV
and stressed DSCR are 146% and 0.74X, respectively,
the same as at securitization.
The third largest loan is the Surf City Beach Cottages Loan ($52.0
million -- 4.8% of the pool), which is secured
by a 256-pad manufactured housing community in Huntington Beach,
California. The property is located less than 150 yards from the
beach and 0.5 miles from the Main Street and Huntington Beach Pier.
The property was 92% leased as of March 2016. Moody's LTV
and stressed DSCR are 120% and 0.75X, respectively,
the same as at securitization.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's did not use any stress scenario simulations in its analysis.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the credit rating action on the support provider and in relation to
each particular credit rating action for securities that derive their
credit ratings from the support provider's credit rating.
For provisional ratings, this announcement provides certain regulatory
disclosures in relation to the provisional rating assigned, and
in relation to a definitive rating that may be assigned subsequent to
the final issuance of the debt, in each case where the transaction
structure and terms have not changed prior to the assignment of the definitive
rating in a manner that would have affected the rating. For further
information please see the ratings tab on the issuer/entity page for the
respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Stephanie Sun
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Keith Banhazl
Associate Managing Director
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Affirms Seven Classes of COMM 2015-CCRE26
