Press Release

DBRS Morningstar Confirms All Classes of Silver Hill Trust 2019-SBC1

CMBS
December 29, 2020

DBRS Limited (DBRS Morningstar) confirmed the ratings on the following classes of secured floating-rate notes issued by Silver Hill Trust 2019-SBC1 (the Issuer):

-- Class A1 at AAA (sf)
-- Class A1-IO at AAA (sf)
-- Class A2 at AAA (sf)
-- Class A2-IO at AAA (sf)
-- Class M1 at AA (sf)
-- Class M1-IO at AA (sf)
-- Class M2 at A (sf)
-- Class M2-IO at A (sf)
-- Class M3 at BBB (sf)
-- Class M3-IO at BBB (sf)
-- Class B1 at BB (sf)
-- Class B1-IO at BB (sf)
-- Class B2 at B (sf)
-- Class B2-IO at B (sf)

All trends are Stable.

The rating confirmation and Stable trends reflect the overall stable performance of the transaction since issuance. The transaction is composed of individual fixed- and floating-rate small balance loans secured by commercial, multifamily, and single-family rental properties with an average loan balance of approximately $443,000. As of the November 2020 remittance, 895 of the original 978 loans remain in the pool, with an aggregate principal balance of $396.8 million, representing a collateral reduction of 10.2% since issuance. There are currently 67 loans, representing 10.2% of the current pool balance, that are 30+ days delinquent. DBRS Morningstar elevated the probability of default levels for these loans to recognize the increased credit risk to the trust.

The pool has a high concentration of properties located across the states of Florida (16.5% of the current pool balance), California (13.0% of the current pool balance), New York (8.6% of the current pool balance), and Texas (7.8% of the current pool balance); the pool is otherwise geographically diverse, with an average DBRS Morningstar Market Rank of 3.6. By property type, the pool had concentrations of loans secured by commercial use (40.0% of the current pool), multifamily (18.4% of the current pool balance), and mixed-use (11.1% of the current pool balance). Based on the current loan balances and the appraisals at origination, the pool has a weighted average loan-to-value of 63.8%. Seven hundred and thirty-three of the remaining 895 loans representing 80.7% of the current pool balance have maturities between 2048 and 2049.

DBRS Morningstar received limited borrower and property-level information at issuance, and considered the property quality to be Average-/Below Average based on the those properties sampled; this sample comprised 8.4% of the pool balance.

The transaction is configured with a sequential pay pass-through structure.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Classes A1-IO, A2-IO, M1-IO, M2-IO, M3-IO, B1-IO, and B2-IO are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche 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.

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

The principal methodology is the North American CMBS Surveillance Methodology (March 6, 2020), which can be found on dbrsmorningstar.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 dbrsmorningstar.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.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at info@dbrsmorningstar.com.

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.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

DBRS Limited
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Tel. +1 416 593-5577

Ratings

Silver Hill Trust 2019-SBC1
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

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