DBRS Morningstar Finalizes Provisional Ratings on Benchmark 2019-B15 Mortgage Trust

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2019-B15 issued by Benchmark 2019-B15 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 AAA (sf)
-- Class X-B AA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class X-D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class X-F at BB (sf)
-- Class F at BB (low) (sf)
-- Class G-RR at B (high) (sf)

All trends are Stable. Classes X-B, X-D, X-F, F, E, F and G-RR have been privately placed. The Class X-B notes previously referenced the Class B and Class C notes as of the transaction announcement date. The DBRS Morningstar rating of AA (sf) for the Class X-B certificates is reflective of the Class B notes referencing the Class B notes as of the closing date.

The collateral consists of 32 fixed-rate loans secured by 87 commercial and multifamily properties. The transaction is a sequential-pay pass-through structure. The conduit pool was analyzed to determine the provisional ratings, reflecting the long-term probability of a loan default within the term and its liquidity at maturity. When the cut-off loan balances were measured against the DBRS Morningstar Stabilized Net Cash Flow (NCF) and their respective actual constants, the initial DBRS Morningstar weighted-average (WA) DSCR of the pool was 2.05 times (x). None of the loans had a DBRS Morningstar Term Debt Service Coverage Ratio (DSCR) below 1.32x, a threshold indicative of a higher likelihood of mid-term default. Additionally, excluding hospitality properties, 17 loans, comprising 66.8% of the pool by allocated loan balance, exhibited a favorable DSCR in excess of 1.69x, a threshold generally associated with below-average default frequency. The pool additionally includes five loans comprising a combined 37.5% of the pool balance with an DBRS Morningstar loan-to-value (LTV) ratio in excess of 67.1%, a threshold generally indicative of above-average default frequency. The WA DBRS Morningstar LTV of the pool at issuance was 61.6%, and the pool is scheduled to amortize down to a DBRS Morningstar WA LTV of 58.0% at maturity.

The transaction includes three loans, representing a combined 12.7% of the total pool balance, that are shadow-rated investment grade by DBRS Morningstar, including Century Plaza Towers, The Essex and Osborn Triangle. Century Plaza Towers exhibits credit characteristics consistent with an “A” shadow rating; The Essex exhibits credit characteristics consistent with a BBB (high) shadow rating; and Osborn Triangle exhibits credit characteristics consistent with a BBB (low) shadow rating.

There were 13 loans, representing 62.8% of the pool by allocated loan amount, assigned with either Average (+), Above Average or Excellent quality. Only two loans, representing a combined 5.3% of the pool by allocated loan balance, were assigned Average (-) property quality scores and there were no loans assigned Below Average or Poor property scores. Properties with favorable property quality tend to attract and retain tenancy and are more liquid in the capital markets.

The pool has a high concentration of loans secured by office properties, as evidenced by ten loans loans, representing a combined 44.0% of the pool by allocated loan balance, being secured by such properties. DBRS Morningstar considers office properties to be a riskier property type with above-average default frequency. Two of the identified loans (comprising 22.1% of the pool’s total office composition), Century Plaza Towers and Osborn Triangle, are secured by office properties that are shadow-rated investment grade by DBRS Morningstar. Eight of the identified office loans (comprising 88.7% of the pool’s total office composition) are secured by properties with either Average (+), Above Average or Excellent quality.

The pool features a relatively high concentration of loans secured by properties located in less favorable suburban market areas, as evidenced by 15 loans, representing 43.7% of the pool by allocated loan balance, being secured by properties located in areas with a DBRS Morningstar Market Rank of either 3 or 4. Twenty-two of the identified loans, representing 56% of the pool balance that is secured by properties located in areas with a DBRS Morningstar Market Rank of either 3 or 4, will amortize over the loan term, which can reduce risk over time. The WA expected amortization of these loans is 7.3%, which is higher than the pool’s total WA expected amortization of 5.3%.

Thirteen loans, representing a combined 58.6% of the pool by allocated loan balance, are structured with full-term interest-only (IO) periods and an additional seven loans, accounting for 19.6% of the pool by allocated loan balance, are structured with partial IO terms ranging from 24 to 60 months. Expected amortization across the pool is 5.3%. The loans structured with full-term IO periods are, for the most part, pre-amortized, as is evidenced by a DBRS Morningstar WA Issuance LTV of 56.3% for these loans.

The average DBRS Morningstar sampled NCF variance of -15.6% for this transaction is higher than the straight-line average sampled NCF variance of -11.1% for the last six conduit DBRS Morningstar-rated transactions, ranging from -14.2% for GSMS 2019-GC42 to -8.0% for WFCM 2019-C53. If DBRS Morningstar were to exclude the -30.6% variance for 8 West Centre, the average sampled NCF variance for the transaction would fall to -14.1%, which is within the range of the past six DBRS Morningstar-rated conduit transactions. DBRS Morningstar uses recent leasing to determine leasing cost assumptions in loan-level NCF analysis, which was the predominate driver for the sampled commercial properties in the transaction. The increasing leasing cost environment, particularly for suburban office properties, is a macro-economic trend reflected in the sampled variance for this transaction.

Classes X-A, X-B, X-D and X-F 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.

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

DBRS Morningstar provides updated analysis and in-depth commentary in the DBRS Viewpoint platform for the following loans in the transaction:

-- Prospectus ID#1 – 899 West Evelyn (8.9% of the pool)
-- Prospectus ID#2 – Innovation Park (7.9% of the pool)
-- Prospectus ID#3 – Century Plaza Towers (7.4% of the pool)
-- Prospectus ID#4 – Harvey Building Products (5.9% of the pool)
-- Prospectus ID#5 – Austin Landing Mixed-Use (5.9% of the pool)
-- Prospectus ID#6 – Kildeer Village Square (5.7% of the pool)
-- Prospectus ID#7 – City Hyde Park (5.6% of the pool)
-- Prospectus ID#8 – Downtown Winter Haven Portfolio (4.6% of the pool)
-- Prospectus ID#9 – Tysons Tower (4.1% of the pool)
-- Prospectus ID#10 – Legends at Village West (4.1% of the pool)
-- Prospectus ID#11 – Central Harlem Multifamily Portfolio (3.6% of the pool)
-- Prospectus ID#12 – The Elston Retail Collection (3.5% of the pool)
-- Prospectus ID#13 – 600 & 620 National Avenue (3.4% of the pool)
-- Prospectus ID#14 – The Essex (3.0% of the pool)
-- Prospectus ID#16 – Osborn Triangle (2.4% of the pool)
-- Prospectus ID#17 – Sunset North (2.4% of the pool)
-- Prospectus ID#18 – Hilton Cincinnati Netherland Plaza (2.4% of the pool)
-- Prospectus ID#19 – 8 West Centre (2.1% of the pool)
-- Prospectus ID#21 – 2817-2825 3rd Avenue (1.7% of the pool)
-- Prospectus ID#21 – Washington Heights Multifamily Portfolio (1.4% of the pool)

For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrs.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 U.S. dollars unless otherwise noted.

With regard to due diligence services, DBRS Morningstar was provided with the Form ABS Due Diligence-15E (Form-15E), which contains a description of the information that a third party reviewed in conducting the due diligence services and a summary of the findings and conclusions. While due diligence services outlined in Form-15E do not constitute part of DBRS Morningstar’s methodology, DBRS Morningstar used the data file outlined in the independent accountant’s report in its analysis to determine the ratings referenced herein.

The principal methodology is North American CMBS Multi-borrower Rating Methodology, which can be found on www.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 Morningstar 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 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.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at [email protected].

For more information on this credit or on this industry, visit www.dbrs.com or contact us at [email protected].

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