Class A-1 at
Class A-2 at
Class A-3 at
Class A-4 at
Class A-5 at
Class A-S at
Class A-SB at
Class X-A at
Class B at AA (high) (sf)
Class X-B at AA (sf)
Class C at AA (low) (sf)
Class X-D at A (low) (sf)
Class D at BBB (high) (sf)
Class E at BB (high) (sf)
Class F at BB (low) (sf)
Class G at B (low) (sf)
All trends are Stable.
Class G was removed from Under Review with Negative Implications where it was placed on
As of the
Eight of the loans on the watchlist (4.4% of the pool) are secured by co-op properties, while the other nine (17.4% of the pool) are secured by non-co-op properties, including six loans backed by five limited-service hotels (14.2% of the pool), two by retail properties (1.8% of the pool), and one by a multifamily property (1.4% of the pool). Three of the loans backed by hospitality properties have been flagged for COVID-19 relief requests, with those borrowers typically seeking temporary payment relief. Although the need for relief, as well as the pandemic-related stress on hospitality properties across the country that is undoubtedly affecting the collateral hotels in this pool, is generally indicative of increased risks from issuance, the mitigating factors in the historically strong performance of the underlying hotels and the lack of delinquency were noted as stabilizing factors for this review. DBRS Morningstar will continue to monitor those loans for developments.
At issuance, four loans, representing 18.6% of the current pool balance, were shadow-rated investment grade. These loans include Del Amo Fashion Center (Prospectus ID #1; 7.5% of the pool);
Although the overall performance of the pool has remained stable from issuance, DBRS Morningstar continues to monitor the performance of the underlying collateral, much of which has been affected by the pandemic. DBRS Morningstar notes that the pool has a moderate concentration of hospitality properties, representing 14.4% of the pool. Hospitality properties have been the most severely affected by the initial impact of the coronavirus pandemic. The pool is also concentrated in loans secured by retail properties, which represent 34.2% of the current pool balance. Much like hospitality properties, retail properties have been among the most significantly affected by the pandemic and those loans are being monitored closely as well.
The largest loan in the pool, Del Amo Fashion Center (Prospectus ID#1; 7.5% of the pool), is secured by the borrower's fee interest in 1.8 million square feet (sf) of a 2.5 million-sf super-regional mall located outside
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.
Classes X-A, X-B, and X-D are interest-only (IO) certificates that reference 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 the following loans in the transaction:
Prospectus ID#1-Del Amo Fashion Center (7.5% of the pool)
For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrsmorningstar.com. The platform includes issuer and servicer 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 methodology is North American CMBS Surveillance 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 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@dbrsmorningstar.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.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.
Tel. +1 416 593-5577
Ratings
Date Issued Debt Rated Action Rating Trend Attributes
i
US = Lead Analyst based in USA
CA = Lead Analyst based in
EU = Lead Analyst based in EU
E = EU endorsed
U =
Unsolicited Participating With Access
Unsolicited Participating Without Access
Unsolicited Non-participating
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