Class A at
Class B at A (sf)
Class C at A (low) (sf)
Class D at BBB (sf)
Class E at BB (sf)
Class F at B (low) (sf)
Class X-A at
Class X-B at A (high) (sf)
The trends for Classes A, B, X-A, and X-B are Negative because the underlying collateral continues to face performance challenges associated with the Coronavirus Disease (COVID-19) global pandemic.
DBRS Morningstar has also placed Classes C, D, E, and F Under Review with Negative Implications, given the negative impact of the coronavirus on the underlying collateral.
These certificates are currently also rated by DBRS Morningstar's affiliated rating agency,
On
To assign ratings to 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 hospitality 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 market value declines (MVDs) consistent with the projections in its 'Global Macroeconomic Scenarios: September Update' published on
LOAN/PROPERTY OVERVIEW
Since construction in 1961, the
The hotel was renovated and updated almost continuously from 2008 to 2016. Over that time period, Hilton spent
The sponsor for the transaction is
The
This year has seen a drastic change to the
DBRS Morningstar reanalyzed the net cash flow (NCF) derived at issuance for the subject rating action to confirm its consistency with the 'DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria.' 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 4.50% to account for cash flow volatility, property quality, and market fundamentals.
CORONAVIRUS IMPACT ANALYSIS
DBRS Morningstar overlaid various scenarios incorporating MVDs 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 subjecting the most recent appraised collateral value to generalized CRE asset value decline projections with an assumption of approximately 45% under the moderate scenario. In cases where the rated debt exceeded the scenario value, DBRS Morningstar assumed that a principal writedown had occurred to account for the difference. Because of the reverse-sequential allocation of losses in commercial mortgage-backed security (CMBS) transactions, DBRS Morningstar's analysis considered the most subordinate certificate first and, if a complete principal writedown of the certificate had occurred during the scenario, DBRS Morningstar repeated the analysis for the second-most subordinate certificate and so on until the rated debt no longer exceeded the scenario value.
Under the moderate scenario, the cumulative rated debt through Class F exceeded the scenario value and DBRS Morningstar presumed that the coronavirus had affected the class.
The DBRS Morningstar ratings assigned to Classes C and D vary by three of more notches from the results implied by the LTV sizing benchmarks when MVDs are assumed under the Coronavirus Impact Analysis. These classes are Under Review with Negative Implications as DBRS Morningstar continues to monitor the evolving economic impact of the coronavirus-induced stress on the transaction.
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 and X-B are 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 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, Smith Travel Research Reports, 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. +1 212 806-3277
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
24-Sep-20 Commercial Mortgage Pass-Through Certificates, Series 2016-HHV, Class A New RatingAAA (sf) Neg US
24-Sep-20 Commercial Mortgage Pass-Through Certificates, Series 2016-HHV, Class X-A New RatingAAA (sf) Neg US
24-Sep-20 Commercial Mortgage Pass-Through Certificates, Series 2016-HHV, Class X-B New Rating A (high) (sf) Neg US
24-Sep-20 Commercial Mortgage Pass-Through Certificates, Series 2016-HHV, ClassB Ne w Rating A (sf) Neg US
24-Sep-20 Commercial Mortgage Pass-Through Certificates, Series 2016-HHV, Class C UR-Neg. A (low) (sf) -- US
24-Sep-20 Commercial Mortgage Pass-Through Certificates, Series 2016-HHV, ClassC Ne w Rating A (low) (sf) -- US
24-Sep-20 Commercial Mortgage Pass-Through Certificates, Series 2016-HHV, Class D UR-Neg. BBB (sf) -- US
24-Sep-20 Commercial Mortgage Pass-Through Certificates, Series 2016-HHV, ClassD Ne w Rating BBB (sf) -- US
24-Sep-20 Commercial Mortgage Pass-Through Certificates, Series 2016-HHV, Class E UR-Neg. BB (sf) -- US
24-Sep-20 Commercial Mortgage Pass-Through Certificates, Series 2016-HHV, ClassE Ne w Rating BB (sf) -- US
24-Sep-20 Commercial Mortgage Pass-Through Certificates, Series 2016-HHV, Class F UR-Neg. B (low) (sf) -- US
24-Sep-20 Commercial Mortgage Pass-Through Certificates, Series 2016-HHV, ClassF Ne w Rating B (low) (sf) -- US
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