DBRS Morningstar Confirms All Classes of Citigroup Commercial Mortgage Trust 2020-GC46, Removes One Class from UR-Neg.

DBRS Limited (DBRS Morningstar) confirmed all 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. With this review, DBRS Morningstar removed Class G-RR from Under Review with Negative Implications, where it was placed on August 6, 2020.

The ratings confirmations reflect the overall stable performance of the transaction since issuance. At issuance, the trust consisted of 46 loans secured by 139 commercial and multifamily properties with a total trust balance of $1.22 billion. Per the January 2021 remittance report, all original loans and properties remain in the pool and the aggregate balance has been reduced by just 0.1%. The transaction includes eight loans, representing 36.2% of the trust balance, that were shadow-rated investment grade by DBRS Morningstar at issuance. The trust benefits from the high amount of urban-concentrated properties as there are seven loans, representing 29.2% of the trust balance, with a DBRS Morningstar Market Rank of seven or greater. The loans also exhibit relatively low leverage as the weighted-average loan-to-value ratio (LTV) was 54.3% based on the issuance appraised values. However, the leverage of the pool is barbelled by 16 loans, representing 25.5% of the trust balance, that had LTVs greater than 67.1% and 17 loans, comprising 52.8% of the pool balance, with an issuance LTV lower than 59.3%. Most of the higher leverage loans are secured by retail properties, which have been more susceptible to stress during the Coronavirus Disease (COVID-19) pandemic. Additionally, there are 23 loans, totaling 66.5% of the trust balance, that are structured with full term interest only (IO) periods and an additional 13 loans, totaling 25.5% of the trust balance, structured with partial IO terms. The lack of amortization is mitigated by seven of the full-term IO loans being shadow-rated investment grade by DBRS Morningstar at issuance.

Per the January 2021 remittance report, there was one loan, The Westin Book Cadillac (Prospectus ID#8 – 3.7% of the trust balance), in special servicing and an additional 15 loans, representing 27.9% of the trust balance, on the servicer’s watchlist. The Westin Book Cadillac loan is secured by the fee-interest in a 32-story, 453-key, full-service hotel located in the Detroit central business district. The loan transferred to the special servicer in August 2020 for imminent monetary default as the June and July 2020 loan payments were delinquent. The borrower requested forbearance relief as the hotel was closed in April, May, and most of June 2020; however, the discussions have yet to result in any debt relief and the special servicer is dual-tracking foreclosure with the forbearance discussions. The collateral was reappraised in September 2020 for a value of $74.8 million, a decrease of 45.2% from the issuance appraised value of $136.0 million. The updated appraised value indicates an implied LTV of 103.2%, compared with the 56.6% LTV based on the issuance value. DBRS Morningstar will continue to monitor the ongoing negotiations between the special servicer and sponsor.

The loans on the servicer’s watchlist were all performing as of the January 2021 remittance report. Most of the watchlist loans exhibited low debt service coverage ratios or exhibited increased risk of default caused by the coronavirus pandemic. DBRS Morningstar is monitoring the 1025-1075 Brokaw Road loan (Prospectus ID#12 – 2.7% of the trust balance), which is secured by an unanchored neighborhood retail center in San Jose, California. The loan was added to the servicer’s watchlist in December 2020 after the cash lockbox was activated due to a substantially low net operating income. The primary tenant is LA Fitness (46.9% of net rentable area; lease expiration of March 2028), which has been directly affected by mandatory closures in California. DBRS Morningstar has observed other LA Fitness locations withhold scheduled rent payments during the pandemic, especially in California.

At issuance, DBRS Morningstar assigned an investment-grade shadow rating to 650 Madison Avenue (Prospectus ID#1 – 9.4% of the trust balance), 1633 Broadway (Prospectus ID#2 – 9.0% of the trust balance), Southcenter Mall (Prospectus ID#3 – 4.8% of the trust balance), CBM Portfolio (Prospectus ID#5 – 4.1% of the trust balance), 805 Third Avenue (Prospectus ID#7 – 3.7% of the trust balance), Parkmerced (Prospectus ID#18 – 2.3% of the trust balance), Bellagio Hotel and Casino (Prospectus ID#20 – 1.6% of the trust balance), and 510 East 14th Street (Prospectus ID#31 – 1.2% of the trust balance). With this review, DBRS Morningstar confirmed that the performances of these loans remain consistent with investment-grade loan characteristics.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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.

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

-- Prospectus ID#8 – The Westin Book Cadillac (3.7% of the pool)

For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrsmorningstar.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.

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.

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