DBRS Morningstar Upgrades One Rating, Confirms Remaining Ratings of IMSCI 2015-6

DBRS Limited (DBRS Morningstar) upgraded the following rating on the Commercial Mortgage Pass-Through Certificates, Series 2015-6 issued by Institutional Mortgage Securities Canada Inc., Series 2015-6:

-- Class B to AA (high) (sf) from AA (sf)

DBRS Morningstar also confirmed the ratings on the following classes:

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

All trends are Stable.

These rating actions reflect the increased credit support resulting from significant collateral reduction and overall healthy performance of the transaction since issuance.

At issuance, the transaction consisted of 47 fixed-rate loans secured by 47 commercial and multifamily properties at an original trust balance of $325.4 million. As of the February 2020 remittance, 42 loans remain in the pool at the current balance of $237.6 million, representing a collateral reduction of 27.0% since issuance. DBRS Morningstar expects collateral reduction to continue at a healthy pace for the life of the deal because all remaining loans in the pool amortize for the entire loan term.

As of the February 2020 remittance, three loans (6.3% of the pool) are on the servicer’s watchlist, including the sixth-largest loan Comfort Inn & Suites – Airdrie (4.6% of the pool). DBRS Morningstar increased the probability of default to reflect the increased risks applicable to these loans. Many of the loans are secured by retail properties (24 loans; 48.1% of the pool); however, in general, those loans benefit from low leverage and strong amortization, with weighted-average (WA) issuance and balloon loan-to-value figures of 61.9% and 49.5%, respectively. The largest five retail loans (32.4% of the pool) reported a WA debt service coverage ratio of 1.66 times, based on the most recent financials.

At issuance, DBRS Morningstar assigned an investment grade shadow rating to three loans: South Hill Shopping Center (7.8% of the pool), Markham Town Square (5.1% of the pool) and U-Haul SAC 3 Portfolio (6.8% of the pool). With this review, DBRS Morningstar confirms that the performance of these loans remains consistent with investment-grade loan characteristics.

Class X is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall.

All ratings are subject to surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed or discontinued by DBRS Morningstar.

DBRS Morningstar provides updated analysis and in-depth commentary in the DBRS Viewpoint platform for this transaction.

For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrsmorningstar.com. The platform includes loan-level data for most outstanding commercial mortgage-backed security transactions (including non-DBRS Morningstar-rated), as well as loan-level and transaction-level commentary for most DBRS Morningstar-rated and -monitored transactions.

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

The principal methodology is the North American CMBS Surveillance Methodology, which can be found on www.dbrs.com under Methodologies & Criteria. For a list of the structured-finance-related methodologies that may be used during the rating process, please see the DBRS Morningstar Global Structured Finance Related Methodologies document, which can be found on www.dbrs.com in the Commentary tab under Regulatory Affairs. Please note that not every related methodology listed under a principal structured finance asset class methodology may be used to rate or monitor an individual structured finance or debt obligation.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

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 under Related Documents or by contacting us at info@dbrs.com.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process. Please note a sensitivity analysis is not performed for CMBS bonds rated CCC or lower. The DBRS Morningstar long-term rating scale definition indicates that ratings of CCC or lower are assigned when the bond is highly likely to default or default is imminent, thereby prevailing over a sensitivity analysis.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

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