DBRS Morningstar Finalizes Provisional Ratings on Citigroup Commercial Mortgage Trust 2020-GC46

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2020-GC46 issued by Citigroup Commercial Mortgage Trust 2020-GC46:

-- Class A-1 at AAA (sf)
-- Class A-2 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 (high) (sf)
-- Class X-B at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (high) (sf)
-- Class X-D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class X-F at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class G-RR at BB (low) (sf)

All trends are Stable. Class X-B, Class X-D, Class X-F, Class D, Class E, Class F, and Class G-RR will be privately placed.

The collateral consists of 46 fixed-rate loans secured by 139 commercial and multifamily properties. The transaction is a sequential-pay pass-through structure. The conduit pool was analyzed to determine the final 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 and their respective actual constants, the initial DBRS Morningstar weighted-average (WA) DSCR of the pool was 2.48 times (x). Five of the loans, representing 5.1% of the pool, had a DBRS Morningstar Term DSCR below 1.32x, a threshold indicative of a higher likelihood of mid-term default. The pool additionally includes 18 loans, representing 28.4% of the pool by allocated loan balance, with issuance loan-to-value (LTV) ratios higher than 67.1%, a threshold historically indicative of above-average default frequency. The WA LTV of the pool at issuance was 55.7% and the pool is scheduled to amortize down to a WA LTV of 52.1% at maturity.

The transaction includes eight loans, representing a combined 36.2% of the total pool balance, that are shadow-rated investment grade by DBRS Morningstar, including 1633 Broadway, 650 Madison Avenue, Parkmerced, Bellagio Hotel and Casino, 805 Third Avenue, Southcenter Mall, CBM Portfolio, and 510 East 14th Street. Bellagio Hotel and Casino and Southcenter Mall both exhibit credit characteristics consistent with an AAA shadow rating, Parkmerced exhibits credit characteristics consistent with a AA (high) shadow rating, DBRS Morningstar shadow rated CBM Portfolio at AA (low), and 1633 Broadway exhibits credit characteristics consistent with a A (low) shadow rating. DBRS Morningstar shadow rated 805 Third Avenue was shadow rated BBB (high), while 650 Madison Avenue and 510 East 14th Street both exhibited characteristics consistent with BBB (low) shadow ratings.

Ten sampled loans, representing 39.7% of the pool balance, had Average (+), Above Average, or Excellent property quality. Additionally, no loan had Below Average property quality. Three of the five largest loans in the pool, representing 23.3% of the pool balance, have Above Average property quality.

The pool benefits from a fairly large amount of loans secured by properties in urban, liquid markets. Loans secured by properties in DBRS Market Ranks 7 and 8 represent 32.2% of the pool, which is higher than many recent conduit transactions. In addition, the WA DBRS Market Rank of 4.73 is considered relatively high. 23 loans, representing a combined 66.4% of the cutoff pool balance, are structured with full term interest-only (IO) periods and an additional 13 loans, representing 25.4% of the pooled cutoff balance, are structured with partial-IO terms ranging from 24 months to 60 months. Seven of the loans structured with full-term IO periods are shadow-rated investment grade by DBRS Morningstar and represent more than half of the 66.4% Full IO concentration. The WA DBRS Morningstar LTV of the full term IO loans is extremely low at 48.8%.

Classes X-A, X-B, X-D, and X-F are interest-only (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 – 650 Madison (9.4% of the pool)
-- Prospectus ID#2 – 1633 Broadway (9.0% of the pool)
-- Prospectus ID#3 – Southcenter Mall (4.8% of the pool)
-- Prospectus ID#4 – Superior Storage (4.5% of the pool)
-- Prospectus ID#5 – CBM Portfolio (4.1% of the pool)
-- Prospectus ID#6 – Staples Headquarters (4.1% of the pool)
-- Prospectus ID#7 – 805 Third Avenue (3.7% of the pool)
-- Prospectus ID#8 – Westin Book Cadillac (3.7% of the pool)
-- Prospectus ID#9 – The Shoppes at Blackstone Valley (3.3% of the pool)
-- Prospectus ID#10 – Brooklyn Multifamily Portfolio (3.1% of the pool)
-- Prospectus ID#11 – Whiteland Town Center (3.6% of the pool)
-- Prospectus ID#12 – White Oak Crossing (3.5% of the pool)
-- Prospectus ID#13 – 90 North Campus (2.5% 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 the 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.

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

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