DBRS Takes Rating Actions Related to North American CMBS Multi-borrower Rating and Surveillance Methodologies and CMBS Insight Model

On March 26, 2019, DBRS Inc. (DBRS) published its “North American CMBS Multi-borrower Rating Methodology” and “North American CMBS Surveillance Methodology” and placed 16 commercial real estate collateral loan obligations (CRE CLOs) Under Review with Developing Implications in order to finalize a DBRS Business Plan Score and apply the CMBS Insight Model. The DBRS Business Plan Score assesses the execution risk of a project and will allow for loan-level expected loss to benefit from as-stabilized metrics. Please refer to Appendix B of the “North American CMBS Multi-borrower Rating Methodology” for more details on DBRS’s approach to CRE CLOs and the DBRS Business Plan Score.

Following the review and application of the methodologies, DBRS reviewed the 16 CRE CLOs as well as Bancorp Commercial Mortgage 2016-CRE1 Trust. In total, 96 classes of 17 transactions were reviewed, as a result of which 74 classes were confirmed and 22 classes were upgraded, all with Stable trends.

DBRS notes material deviations, defined as three or more notches from the DBRS CMBS Insight Model, for a few classes. There are two categories that drive the material deviations, where the model was directionally higher or lower for the classes noted below.

(1) Classes that are perceived to have uncertain loan-level event risk that was not captured in the model.
(2) Classes where the structural features (loan or transaction) and/or provisions in other relevant methodologies outweigh the quantitative output.

A summary of the rating actions, along with the rating action for each class, can be found by clicking the following link:

https://www.dbrs.com/research/346289/cmbs-new-methodology-rating-actions

Notes:
DBRS methodologies are publicly available on its website www.dbrs.com under Methodologies & Criteria.

For more information on this methodology, the above-referenced credits or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

The principal methodology is North American CMBS Surveillance Methodology, which can be found on dbrs.com under Methodologies & Criteria. The actions incorporate the new DBRS CMBS Insight Model, which is further described in the North American CMBS Multi-borrower Rating Methodology. 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, 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.

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. Please note a sensitivity analysis is not performed for CMBS bonds rated CCC or lower. The DBRS 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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