DBRS Assigns Provisional Ratings to CCMOT 2015-3

DBRS Limited (DBRS) has today assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2015-3 (the Certificates) to be issued by Canadian Commercial Mortgage Origination Trust 2015-3 (CCMOT 2015-3):

-- Class A at AAA (sf)
-- Class A-J 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)

Classes A-J, B, C, D, E, F, G and X are non-offered certificates.

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 42 fixed-rate loans secured by 59 properties. All loans in the transaction have short loan terms of less than 5.5 years and are subject to amortization schedules ranging from 20 to 30 years, although one loan representing 2.1% of the pool will amortize after an initial IO period. In addition, 26 loans (50.9% of the pool by loan balance) have some form of recourse to the respective sponsor; all else equal, recourse loans typically have a lower probability of default (POD) and were modeled as such.

The conduit pool was analyzed to determine the provisional ratings, reflecting each loan’s long-term POD over the loan term and its liquidity at maturity. When the cut-off loan balances were measured against the DBRS stabilized NCF and its respective actual constants, DBRS did not identify any loans, based on the trust balances, as having a term debt service coverage ratio (DSCR) below 1.15 times (x), which is a threshold indicative of a higher likelihood of mid-term default. In addition, to assess refinance risk given the current low interest rate environment, DBRS applied its refinance constants to the balloon amounts, resulting in 42.7% of the pool having refinance DSCRs below 1.00x based on the trust balance. The DBRS weighted-average (WA) Term DSCR and Going-In Debt Yield, based on the trust balances, are 1.41x and 8.3%, respectively. The DBRS WA Refi DSCR and Exit Debt Yield, based on the trust balances, are 1.04x and 9.6%, respectively.

DBRS sampled 31 loans, representing 87.1% of the pool by loan balance, and site inspections were performed on 35 properties, representing 75.0% of the pool by loan allocated balance. Of the sampled loans, one loan was considered to be of Excellent property quality, and three loans were given an Above 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:
This rating is endorsed by DBRS Ratings Limited for use in the European Union.

The applicable methodology is North American CMBS Rating Methodology (June 2015), which can be found on our website under Methodologies.