DBRS Finalizes Provisional Ratings to COMM 2015-CCRE23 Mortgage Trust

DBRS, Inc. (DBRS) has today finalized its provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2015-CCRE23 (the Certificates), issued by COMM 2015-CCRE23 Mortgage Trust. The trends are Stable.

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-C at AAA (sf)
-- Class X-D at AAA (sf)
-- Class A-M at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)
-- Class CM-A at AAA (sf)
-- Class CM-X-CP at AAA (sf)
-- Class CM-X-EXT at AAA (sf)
-- Class CM-B at A (low) (sf)

Classes E, F, X-B, X-C, X-D, CM-A, CM-X-CP, CM-X-EXT and CM-B have been privately placed.

The Class X-A, X-B, X-C, X-D, CM-X-CP and CM-X-EXT balances are 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.

Class CM-A is a non-pooled rake bond backed by the $33.5 million Courtyard by Marriott Portfolio A-1 note and Classes CM-X-CP, CM-X-EXT and CM-B are non-pooled rake bonds backed by the $355.0 million Courtyard by Marriott Portfolio B note.

The collateral consists of 83 fixed-rate loans secured by 220 commercial and multifamily properties, with a transaction balance of $1,369,706,187. The pool exhibits a DBRS weighted-average (WA) term debt service coverage ratio (DSCR) and debt yield of 1.66 times (x) and 8.5%, respectively, based on the whole loan balances. The DBRS sample included 34 loans, representing 69.4% of the pool. Of the sampled loans, six loans comprising 22.2% of the pool were given Above Average property quality ratings, indicating a higher likelihood of attracting and retaining new or existing tenants/guests and resulting in a more stable performance. In total, properties representing 29.2% of the pool are located in urban markets with increased liquidity, a concentration that is significantly greater than other recent transactions rated by DBRS. Only eight loans (1.4% of the pool) are secured by properties leased to single tenants. These loans have historically experienced higher loss severities in the Event of Default. Overall, the pool is relatively diverse based on loan size, with a concentration profile equivalent to that of a pool of 31 equal-sized loans. Increased pool diversity helps to insulate the higher-rated classes from event risk.

The second-largest loan in the pool, secured by the $100.0 million A-2A note of the Courtyard by Marriott Portfolio (7.3% of the pool), was shadow-rated AAA by DBRS given the portfolio’s granular composition of 65 hotels, strong flag, long-term ownership and low leverage indicated by the DBRS Exit Debt Yield of 25.0% on the A-note amount. The $670.0 million whole loan consists of senior A-note debt of $315.0 million and controlling subordinate B-note debt of $355.0 million.

The transaction has a high concentration of full-term and partial-IO loans, representing 71.0% of the total pool. As a result, the pool will only amortize down by 10.9% during the life of the transaction, less than other recent securitizations rated by DBRS. Additionally, 42 loans, representing 59.5% of the pool, have Refinance (Refi) DSCRs below 1.00x. Seventeen of these loans, representing 39.1% of the pool, have DBRS Refi DSCRs of less than 0.90x; however, the DBRS Refi DSCRs are based on a WA stressed refinance constant of 9.8%, which implies an interest rate of 9.2%, amortizing on a 30-year schedule.

This represents a significant stress of 5.0% over the WA contractual interest rate of the loans in the pool. Additionally, 38.0% of the loans with low DBRS Refi DSCRs are located in urban markets.

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 U.S. dollars unless otherwise noted.

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

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 applicable methodology is North American CMBS Rating Methodology, which can be found on our website under Methodologies.