DBRS Morningstar Takes Rating Actions on 60 CMBS Transactions

DBRS, Inc. (DBRS Morningstar) conducted its surveillance review of 942 classes from 60 commercial mortgage-backed security (CMBS) conduit transactions from 2016, 2017, and 2018 vintages. Of the 942 classes reviewed, DBRS Morningstar discontinued eight classes due to full repayment and confirmed the remaining classes with Stable trends.

The rating confirmations reflect the transactions’ overall performance, which have generally remained in line with DBRS Morningstar’s expectations since issuance. In addition, asset performance and credit-support levels are consistent with the current ratings.

DBRS Morningstar notes that 11 classes in five deals include material deviations, defined as three or more notches from the DBRS Morningstar CMBS Insight Model. These material deviations are warranted, given that the sustainability of loan performance trends has not yet been demonstrated.

Please click the following link for additional information regarding the material deviations as well as rating actions for each class: <a href="https://www.dbrs.com/research/356276/" target="_blank">"CMBS 2016-2018 Conduit Ratings Actions"</a>.

Classes that are interest-only (IO) certificates 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 maintains updated commentary on pivotal loans within the DBRS Viewpoint platform.

Notes:
The principal methodology is North American CMBS Surveillance 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. 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.dbrs.com or contact us at [email protected].

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