Class A-1 at
Class A-2 at
Class X at
Class B at AA (high) (sf)
The trends on Classes A-1, A-2, X, and B are Negative because the underlying collateral continues to face performance challenges associated with the Coronavirus Disease (COVID-19) global pandemic. The ratings have been removed from Under Review with Negative Implications, where they were placed on
The following ratings on Classes C, D, and E remain Under Review with Negative Implications, given the negative impact of the Coronavirus Disease (COVID-19) on the underlying collateral.
Class C at AA (sf)
Class D at A (sf)
Class E at BBB (sf)
The ratings on these classes do not carry trends.
On
During its review of the ratings for this transaction, DBRS Morningstar considered both the impact of the updated NA SASB Methodology and its scenarios attributable to the ongoing coronavirus pandemic on the ratings.
Because of the coronavirus' significant impact on retail performance, DBRS Morningstar first considered the application of the updated NA SASB Methodology in conjunction with the 'North American CMBS Surveillance Methodology' to arrive at a baseline result, which incorporated qualitative assumptions, capitalization rates, and loan-to-value (LTV) ratio sizing benchmark quality/volatility adjustments and excluded any potential changes in current or future expected asset performance resulting from the coronavirus.
DBRS Morningstar then overlaid scenarios incorporating additional reductions in net cash flow (NCF) to account for exposure to bankrupt or closed tenants. This resulted in stressed collateral value declines consistent with the projections in its 'Global Macroeconomic Scenarios: September Update' published on
LOAN/PROPERTY OVERVIEW
The transaction is backed by a
Of the subject's 1.1 million square feet (sf) of space, 692,693 sf serves as collateral for the subject loan. The mall represents the largest enclosed shopping center between
Prior to the pandemic, cash flows have generally been increasing from issuance, except in YE2019 when the NCF declined 1.7% to
The onset of the pandemic in
DBRS Morningstar derived the NCF using the latest reported servicer NCF with an adjustment, considering ongoing collateral performance including tenant movement and sales performance in addition to the current retail landscape. The resulting NCF figure was
The cap rate DBRS Morningstar applied is at the middle end of the range of DBRS
DBRS Morningstar made positive qualitative adjustments to the final LTV sizing benchmarks used for this rating analysis, totaling 0.50% to account for cash flow volatility, property quality, and market fundamentals.
CORONAVIRUS IMPACT ANALYSIS
DBRS Morningstar overlaid various scenarios incorporating higher NCF declines, resulting in stressed collateral value declines consistent with the projections in the 'Global Macroeconomic Scenarios: September Update' (https://www.dbrsmorningstar.com/research/366542) to estimate the impact of coronavirus-related changes in asset performance on a tranche-by-tranche basis for the subject transaction. The scenarios included deducting cash flow for bankrupt retailers and increased vacancy expected at the asset to arrive at a coronavirus DBRS Morningstar Value under the moderate scenario, a 15.0% reduction from the pre-coronavirus DBRS Morningstar Value. Because of the more permanent value impairment resulting from the lost tenancy revenue stream, DBRS Morningstar's analysis considered this value for this review.
Under the moderate scenario, the cumulative rated debt was insulated from loss.
After applying the Coronavirus Impact Analysis, DBRS Morningstar had variances that were generally higher than those results implied by the LTV sizing benchmarks for Classes C, D, and E. The variation is warranted due to going concerns with the impact of the coronavirus pandemic on the collateral assets and, as a result, DBRS Morningstar maintained these classes Under Review with Negative Implications.
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.
Class X is an IO certificate that references 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 CMBS 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
The principal methodologies are the North American Single-Asset/Single-Borrower Ratings Methodology (
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.
For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.
For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.
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.
Generally, the conditions that lead to the assignment of a Negative or Positive trend are generally resolved within a 12-month period. DBRS Morningstar's outlooks and ratings are monitored.
DBRS Morningstar's North American CMBS analytical team will continue to monitor the transaction to evaluate the increased risk factors related to the coronavirus pandemic. As information (e.g., updated property-level financials, rent rolls, new valuations for specially serviced loans, and workout and/or modification specifics, if applicable) becomes available, DBRS Morningstar will address the Under Review with Negative Implications rating actions over the near to moderate term. DBRS Morningstar typically endeavors to resolve an Under Review rating action within 90 days, but the circumstances surrounding these rating actions (i.e., the unknown length of the pandemic-related downturn) may result in a prolonged resolution period.
For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.
Tel. +1 312 696-6293
Ratings
Date Issued Debt Rated Action Rating Trend Issued
i
US =
CA = Canada Issued, NRSRO
EU = EU Issued, NRSRO
E = EU endorsed
Unsolicited Participating With Access
Unsolicited Participating Without Access
Unsolicited Non-Participating
22-Oct-20 Commercial Mortgage Pass-Through Certificates, Series 2015-VFM, Class A-1 ConfirmedAAA (sf) Neg US
22-Oct-20 Commercial Mortgage Pass-Through Certificates, Series 2015-VFM, Class A-2 ConfirmedAAA (sf) Neg US
22-Oct-20 Commercial Mortgage Pass-Through Certificates, Series 2015-VFM, Class X ConfirmedAAA (sf) Neg US
22-Oct-20 Commercial Mortgage Pass-Through Certificates, Series 2015-VFM, Class B Confirmed AA (high) (sf) Neg US
22-Oct-20 Commercial Mortgage Pass-Through Certificates, Series 2015-VFM, Class C UR-Neg. AA (sf) -- US
22-Oct-20 Commercial Mortgage Pass-Through Certificates, Series 2015-VFM, Class D UR-Neg. A (sf) -- US
22-Oct-20 Commercial Mortgage Pass-Through Certificates, Series 2015-VFM, Class E UR-Neg. BBB (sf) -- US
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