DBRS Assigns Provisional Ratings to Benchmark 2019-B9 Mortgage Trust

DBRS, Inc. (DBRS) assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2019-B9 to be issued by Benchmark 2019-B9 Mortgage Trust:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class X-B at A (high) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (low) (sf)
-- Class X-D at BBB (sf)
-- Class F at BB (sf)
-- Class X-F at BB (high) (sf)
-- Class G at B (high) (sf)
-- Class X-G at BB (low) (sf)
-- Class H at B (low) (sf)
-- Class X-H at B (sf)

All trends are Stable. The Class X-A, X-B, X-D, X-F, X-G and X-H balances are notional.

The collateral consists of 50 fixed-rate loans, secured by 88 commercial and multifamily properties. The transaction is of
a sequential-pay pass-through structure. The conduit pool was analyzed to determine the provisional ratings, reflecting
the long-term probability of loan default within the term and its liquidity at maturity. Trust assets contributed from one
loan, Aventura Mall, representing 1.7% of the pool, is shadow-rated investment grade by DBRS. Proceeds for the shadow-rated loan is floored at its respective rating within the pool. When 1.7% of the pool has no proceeds assigned below the rating floor, the resulting pool subordination is diluted or reduced below that rated floor. When the cut-off loan balances were measured against the DBRS Stabilized net cash flow and their respective actual constants, seven loans, representing 8.1% of the total pool, had a DBRS Term debt service coverage ratio (DSCR) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance risk given the current low interest-rate environment, DBRS applied its refinance constants to the balloon amounts. This resulted in 30 loans, representing 73.9% of the pool, having whole-loan refinance DSCRs below 1.00x, and 21 loans, representing 60.1% of the pool, having whole-loan refinance DSCRs below 0.90x. Aventura Mall, one of the pool’s loans with a DBRS Refi DSCR below 0.90x, which represents 1.7% of the transaction balance, is shadow-rated investment grade by DBRS and has a large piece of subordinate mortgage debt outside the trust.

Eight loans, representing 23.6% of the pool, are located in urban and super-dense urban gateway markets with increased
liquidity that benefit from consistent investor demand, even in times of stress. Urban markets represented in the deal include New York, Chicago, Brooklyn, San Diego and Berkeley. Furthermore, there is limited rural and tertiary concentration with only seven loans, representing 8.0% of the pool, located in tertiary markets and no loans located in rural markets. One loan (Aventura Mall, representing 1.7% of the pool) exhibits credit characteristics consistent with investment-grade shadow ratings. Aventura Mall exhibits credit characteristics consistent with a BBB (high) shadow rating. Five loans, representing 15.9% of the DBRS sample, have favorable property quality. AC Marriott Downtown Tucson received Above Average property quality, and the remaining four loans, representing 13.1% of the sample in aggregate, received Average (+) property quality. Additionally, no loans received Below Average or Poor property quality grades. Higher-quality properties are more likely to retain existing tenants/guests and more easily attract new tenants/guests, resulting in more stable performance. Term default risk is moderate, as indicated by the weighted-average (WA) DBRS Term DSCR of 1.47x. In addition, 15 loans, representing 38.3% of the pool, have a DBRS Term DSCR above 1.50x. No loans in the pool are secured by student or military housing properties, which often exhibit higher cash flow volatility than a traditional multifamily property.

The pool is highly concentrated by property type, as office concentration is 42.8%. While the transaction is concentrated by property type, 25.3% of the office concentration is located in Urban or Super Dense Urban Markets. Additionally, the WA DBRS Term DSCR of the office properties is moderate at 1.56x. The pool is assessed with a concentration penalty, which is partly a result of property-type concentration that increases pool-wide probability of default (POD). Nineteen loans, representing 53.3% of the pool, including nine of the largest 15 loans, are structured with full-term interest-only (IO) payments. An additional 18 loans, comprising 33.4% of the pool, have partial IO periods ranging from 12 months to 60 months. As a result, the transaction’s scheduled amortization by maturity is only 6.1%, which is generally below other recent conduit securitizations. The DBRS Term DSCR is calculated using the amortizing debt service obligation, and the DBRS Refi DSCR is calculated considering the balloon balance and lack of amortization when determining refinance risk. DBRS determines POD based on the lower of term or refinance DSCRs; therefore, loans that lack amortization are treated more punitively.

Classes X-A, X-B, X-D, X-F, X-G and X-H 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 will be subject to ongoing surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed or discontinued by DBRS.

For more information on this transaction and supporting data, please log into www.viewpoint.dbrs.com.

Notes:
All figures are in U.S dollars unless otherwise noted.

With regard to due diligence services, DBRS was provided with the Form ABS Due Diligence-15E (Form-15E), which contains the description of the information that the third party reviewed in conducting the due diligence services and a summary of the findings and conclusions. While DBRS did not require due diligence, services outlined in Form-15E, DBRS did use the Data File outlined in the Independent Accountant’s Report in its analysis to determine the ratings.

The principal methodology is North American CMBS Multi-borrower Rating Methodology, which can be found on 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 Global Structured Finance Related Methodologies document on www.dbrs.com. 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.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS 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.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrs.com.

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