DBRS Finalizes Provisional Ratings on Institutional Mortgage Securities Canada Inc., Series 2015-6

DBRS Limited (DBRS) has today finalized the provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2015-6 issued by Institutional Mortgage Securities Canada Inc., Series 2015-6.

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
-- Class X at AAA (sf)

Class X is notional. DBRS ratings on interest-only (IO) certificates address the likelihood of receiving interest based on the notional amount outstanding. DBRS considers the IO certificates’ position within the transaction payment waterfall when determining the appropriate rating.

The collateral for the transaction consists of 47 fixed-rate loans secured by 64 properties. Two individual loans and one cross-collateralized portfolio of ten individual loans, representing 16.6% of the pool balance, are shadow-rated investment grade by DBRS. South Hill Shopping Centre (6.6% of the pool balance) is shadow-rated BBB (low), U-Haul SAC 3 Portfolio of ten individual loans (5.8% of the pool balance) is shadow-rated BBB and Markham Town Square (4.3% of the pool balance) is shadow-rated AAA.

All 47 loans in the transaction amortize for the entire term; 11 loans (10.1% of the pool balance) are fully amortizing. The majority of the pool (67.8%) by loan balance amortizes on a 25-year or less amortization schedule (56.0% have between 20 years and 25 years of remaining amortization), and 32.2% of the pool by loan balance will amortize on schedules that are longer than 25 years. Eighteen loans (51.7% of the pool by loan balance) offer meaningful recourse to the respective sponsor; all else being equal, recourse loans typically have lower probabilities of default and were modeled as such.

The conduit pool was analyzed to determine the ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off loan balances were measured against the DBRS Stabilized Net Cash Flow and their respective actual constants, DBRS did not identify any loans as having a debt service coverage ratio (DSCR) below 1.15 times (x), indicating less likelihood of mid-term default. However, 32.4% of the pool by loan balance have DBRS Refinance DSCRs below 1.00x, based on the trust A-note balance. The DBRS weighted-average (WA) Term DSCR and Going-In Debt Yield are 1.42x and 8.7%, respectively, excluding shadow-rated loans. The DBRS WA Exit Debt Yield is 11.0% excluding shadow-rated loans.

DBRS sampled 39 loans, representing 90.2% of the pool by loan balance, and site inspections were performed on 43 properties, representing 70.1% of the pool by loan allocated balance. Of the sampled loans, three loans were considered to be of Above Average property quality, and one portfolio loan was given a Below Average property quality rating.

The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance.

Notes:
All figures are in Canadian dollars unless otherwise noted.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

The applicable methodology is CMBS Rating Methodology (January 2012), which can be found on our website under Methodologies.