Approximately $830 million of structured securities affected
New York, April 05, 2021 -- Moody's Investors Service ("Moody's") has affirmed
the ratings on seven classes in BANK 2018-BNK15, Commercial
Mortgage Pass Through Certificates, Series 2018-BNK15 as
follows:
Cl. A-1, Affirmed Aaa (sf); previously on Nov
30, 2018 Definitive Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Nov
30, 2018 Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Nov
30, 2018 Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Nov
30, 2018 Definitive Rating Assigned Aaa (sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Nov
30, 2018 Definitive Rating Assigned Aaa (sf)
Cl. A-S, Affirmed Aa1 (sf); previously on Nov
30, 2018 Definitive Rating Assigned Aa1 (sf)
Cl. X-A*, Affirmed Aaa (sf); previously on
Nov 30, 2018 Definitive Rating Assigned Aaa (sf)
*Reflects Interest-Only Class
RATINGS RATIONALE
The ratings on the P&I classes were affirmed due to their credit support
and because the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service
coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf),
are within acceptable ranges.
The rating on the IO class was affirmed based on the credit quality of
the referenced classes.
The coronavirus pandemic has had a significant impact on economic activity.
Although global economies have shown a remarkable degree of resilience
to date and are returning to growth, the uneven effects on individual
businesses, sectors and regions will continue throughout 2021 and
will endure as a challenge to the world's economies well beyond
the end of the year. While persistent virus fears remain the main
risk for a recovery in demand, the economy will recover faster if
vaccines and further fiscal and monetary policy responses bring forward
a normalization of activity. As a result, there is a heightened
degree of uncertainty around our forecasts. Our analysis has considered
the effect on the performance of commercial real estate from a gradual
and unbalanced recovery in US economic activity. Stress on commercial
real estate properties will be most directly stemming from declines in
hotel occupancies (particularly related to conference or other group attendance)
and declines in foot traffic and sales for non-essential items
at retail properties.
We regard the coronavirus outbreak as a social risk under our ESG framework,
given the substantial implications for public health and safety.
Moody's rating action reflects a base expected loss of 5.6%
of the current pooled balance. Moody's base expected loss plus
realized losses is now 5.5% of the original pooled balance.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. Performance
that falls outside the given range can indicate that the collateral's
credit quality is stronger or weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a significant
amount of loan paydowns or amortization, an increase in the pool's
share of defeasance or an improvement in pool performance.
Factors that could lead to a downgrade of the ratings include a decline
in the performance of the pool, loan concentration, an increase
in realized and expected losses from specially serviced and troubled loans
or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except interest-only
classes was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published
in September 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1244778.
The methodologies used in rating interest-only classes were "Approach
to Rating US and Canadian Conduit/Fusion CMBS" published in September
2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1244778
and "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in February 2019 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1111179.
Please see the list of ratings at the top of this announcement to identify
which classes are interest-only (indicated by the *).
Alternatively, please see the Rating Methodologies page on www.moodys.com
for a copy of these methodologies.
DEAL PERFORMANCE
As of the March 17, 2021 distribution date, the transaction's
aggregate certificate balance has decreased by 2% to $1.06
billion from $1.08 billion at securitization. The
certificates are collateralized by 67 mortgage loans ranging in size from
less than 1% to 9% of the pool, with the top ten loans
(excluding defeasance) constituting 53% of the pool. Four
loans, constituting 24% of the pool, have investment-grade
structured credit assessments. The pool also contains 12 low leverage
cooperative loans, constituting 3.7% of the pool balance,
that were too small to credit assess; however, have Moody's
leverage that is consistent with other loans previously assigned an investment
grade Structured Credit Assessments.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity.
Loan concentration has an important bearing on potential rating volatility,
including the risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf score is 40. The pool has a Herf of 24,
compared to 25 at Moody's last review.
As of the March 2021 remittance report, loans representing 95%
were current or within their grace period on their debt service payments,
2% were beyond their grace period but less than 30 days delinquent
and 3% were more than 90 days delinquent.
Twenty-one loans, constituting 26% of the pool,
are on the master servicer's watchlist, of which two loans,
representing 2% of the pool, indicate the borrower has received
loan modifications in relation to coronavirus impact on the property.
The watchlist includes loans that meet certain portfolio review guidelines
established as part of the CRE Finance Council (CREFC) monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
the agency reviews the watchlist to assess which loans have material issues
that could affect performance.
No loans have been liquidated from the pool. Two loans, constituting
3% of the pool, are currently in special servicing.
The largest specially serviced loan is the Embassy Suites St. Louis
Loan ($24.2 million -- 2.3% of the pool),
which is secured by a 212-key, full-service hotel
located in downtown St. Louis, Missouri. The property
is part of a hotel condominium which also includes a parking garage,
apartments, and an atrium garden which are all non-collateral.
In 2019, the property underperformed expectations at securitization
primarily due to a 19% increase in expenses, and the reported
2019 net operating income (NOI) DSCR was 1.62X compared to 2.40X
at securitization. The property's operations were then significantly
impacted by the coronavirus pandemic and the property did not generate
enough net cash flow (NCF) during the first nine months of 2020 to cover
operating expenses. The loan transferred to special servicing in
November 2020 due to imminent default. The borrower has requested
forbearance relief in the form of utilizing FF&E reserves and Paycheck
Protection Program (PPP) funds to cover certain debt service payments.
An updated appraisal was completed in January 2021 which valued the collateral
well above the current loan balance and therefore no appraisal reduction
was recognized as of the March 2021 remittance report. The property
benefits from tax increment financing (TIF) notes which were factored
in the analysis and mature in 2031. As of the March 2021 remittance
date, the loan was last paid through its August 2020 payment date.
The other specially serviced loan is the Best Western Spring TX Loan ($6.2
million -- 0.6% of the pool), which is secured
by a 69-key limited service hotel in Spring, Texas.
Property performance had initially decreased significantly since securitization
due to the decline in the Houston energy market and the property had been
further impacted by the pandemic. The loan transferred to special
servicing in December 2019 due to imminent default and a receiver was
appointed in March 2020. The special servicer is dual tracking
foreclosure and borrower resolution discussions. As of the March
2021 remittance date, the loan was last paid through its October
2019 payment date and the master servicer has recognized an appraisal
reduction of approximately 38% of the current loan balance.
Moody's has also assumed a high default probability for four poorly
performing loans, constituting 3% of the pool. The
largest troubled loan is the Courtyard Dallas Carrollton & Conference
Center Loan ($18.9 million -- 1.8% of
the pool), which is secured by a 145-key limited service
hotel in Carrollton, Texas. Operations at the property were
significantly impacted by the pandemic and the September 2020 trailing
twelve month (TTM) NOI DSCR was only 0.60X. The servicer
approved a performing consent agreement effective July 2020 that deferred
certain reserve account payments and allowed for the use of FF&E reserves
to pay debt service payments for 90 days. As of the March 2021
remittance date, the loan remained current.
The remaining troubled loans each represents less than 1% of the
pool. Moody's has estimated an aggregate loss of $15.2
million (a 25.6% expected loss on average) from the specially
serviced and troubled loans.
The credit risk of loans is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the severity
of loss upon a default, which is largely driven by each loan's loan-to-value
ratio, referred to as the Moody's LTV or MLTV. As described
in the CMBS methodology used to rate this transaction, we make various
adjustments to the MLTV. We adjust the MLTV for each loan using
a value that reflects capitalization (cap) rates that are between our
sustainable cap rates and market cap rates. We also use an adjusted
loan balance that reflects each loan's amortization profile.
The MLTV reported in this publication reflects the MLTV before the adjustments
described in the methodology.
Moody's received full year 2019 operating results for 100% of the
pool, and full or partial year 2020 operating results for 78%
of the pool (excluding specially serviced and defeased loans).
Moody's weighted average conduit LTV is 110%, compared
to 108% at Moody's last review. Moody's conduit
component excludes loans with structured credit assessments, defeased
and CTL loans, and specially serviced and troubled loans.
Moody's NCF reflects a weighted average haircut of 15% to
the most recently available NOI. Moody's value reflects a
weighted average capitalization rate of 10.2%.
Moody's actual and stressed conduit DSCRs are 1.74X and 1.02X,
respectively, compared to 1.76X and 1.03X at securitization.
Moody's actual DSCR is based on Moody's NCF and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's
NCF and a 9.25% stress rate the agency applied to the loan
balance.
The largest loan with a structured credit assessment is the Aventura Mall
Loan ($100.0 million -- 9.4% of the pool),
which represents a pari-passu portion of a $1.4 billion
senior mortgage loan. Additionally, the property is encumbered
by $343 million of secured subordinated debt held outside the trust.
The loan is secured by the borrowers' fee simple interest in 1.2
million SF of a 2.2 million SF three-level super-regional
mall in Aventura, Florida. The property is located approximately
one mile east of interstate 95 and approximately 17 miles north of Miami,
FL. The property is the largest mall in the state of Florida and
contains five anchors comprised of Macy's, Bloomingdale's,
Macy's Men's and Home, J.C. Penney and Nordstrom.
The collateral for the loan includes the J.C. Penney anchor
space and the pad sites ground leased to the other four anchor tenants.
The property benefits from a large mix of luxury and mass market tenants
that appeal to a wide variety of shoppers. At securitization reported
sales for in-line tenants less than 10,000 SF were $1,665
PSF (including Apple) and $1,050 PSF (excluding Apple).
As of September 2020, the total occupancy was 92%,
compared to 93% at securitization. As of September 2020,
the reported NOI DSCR was 1.90X, compared to 2.05X
as of December 2019. This loan is interest-only throughout
the ten-year term. Moody's structured credit assessment
and stressed DSCR are aa3 (sca.pd) and 1.1X, respectively.
The second largest loan with a structured credit assessment is the Millennium
Partners Portfolio Loan ($75.0 million -- 7.0%
of the pool), which represents a pari-passu portion of a
$472 million senior mortgage loan. The property is also
encumbered with $238 million in subordinate debt and $280
million in mezzanine financing. The loan is secured by the borrowers'
condominium interests in eight Class A properties located in New York
City (three assets), Washington D.C (two), Boston (one),
San Francisco (one), and Miami (one). In aggregate,
the collateral improvements contain 1.5 million SF of retail,
office and/or parking area. The portfolio is leased to a combination
of national retail tenants including Equinox sports clubs, AMC Loews
movie theaters, Primark, and Zara along with office tenants
including Havas and HSBC. As of September 2020, the portfolio
was 100% leased, the same as of December 2019 and December
2018. As of September 2020, the portfolio NOI DSCR was 2.42X,
compared to 2.57X in December 2019. The loan is current
as of the March 2021 payment date and the properties are located in highly
desirable locations in markets with high barriers to entry. This
loan is interest-only throughout the ten-year term.
Moody's structured credit assessment and stressed DSCR on the pooled senior
note are aa3 (sca.pd) and 1.42X, respectively.
The third largest loan with a structured credit assessment is the 685
Fifth Avenue Retail Loan ($60.0 million -- 5.6%
of the pool), which represents a pari-passu portion of a
$160 million senior mortgage loan. The property is also
encumbered with $115 million in mezzanine financing. The
loan is secured by the borrower's fee interest in a 23,575 SF of
retail space housed within the lower floors of an 18-story commercial
building located on Fifth Avenue between East 53rd and East 54th Streets.
The property consists of 5,523 SF of ground floor retail,
6,416 SF of second floor retail, 6,416 SF of third floor
retail, and 5,220 SF of subgrade retail space. As of
September 2020, the property was 100% occupied by three tenants
which all have a separate entrance on Fifth Ave, the same as December
2019 and compared to 95% at securitization. Coach,
which accounts for 85% of net rentable area (NRA) and contributes
66% of total rent, has a lease expiration in April 2027 and
utilizes their space as the company's flagship store. The
other two tenants have lease expirations in April 2027 (11% NRA
and 22% of total rent) and December 2022 (4% NRA and 12%
of total rent). As of September 2020, the reported NOI DSCR
was 2.86X, compared to 2.80X as of December 2019.
This loan is interest-only throughout the ten-year term.
Moody's analysis incorporates the potential for future rent volatility
given the near-term lease rollover of the third largest tenant
and the current and historical rents prevalent in the market. Moody's
structured credit assessment and stressed DSCR on the pooled senior note
are baa1 (sca.pd) and 1.04X, respectively compared
to a3 (sca.pd) and 1.08X at securitization.
The fourth largest loan with a structured credit assessment is the Pfizer
Building Loan ($18.0 million --1.7% of
the pool), which represents a pari-passu portion of a $75
million senior mortgage loan. The loan is secured by the borrower's
leasehold interest in a 33-story Class A office building totaling
823,623 SF in New York, New York. The property is 100%
leased to Pfizer through July 9, 2024 at which time the firm plans
to relocate to Hudson Yards. However, the six-year
loan self-amortizes to an anticipated balloon payment of approximately
$4 million at loan maturity in August 2024. Moody's structured
credit assessment on the pooled senior note is a1 (sca.pd),
the same as at securitization.
The top three conduit loans represent 19% of the pool balance.
The largest loan is the Starwood Hotel Portfolio Loan ($100.0
million -- 9.4% of the pool), which represents
a pari-passu portion of a $265 million mortgage loan.
The loan is secured by the borrower's fee interest in 22 hotels located
across 17 cities in 12 states. The largest state concentrations
are Missouri (3 hotels, 23% of total keys and 23%
of NOI at securitization), Kansas (4 hotels, 14% of
total keys and 12% of NOI), and Illinois (3 hotels,
13% of total keys and 14% of NOI). The five largest
assets by allocated loan amount are located in St. Louis,
Des Moines, West Palm Beach, and Gulfport, Mississippi.
The portfolio includes four full-service hotels, six select-service
hotels, five extended stay hotels, and seven limited-service
hotels. The hotels operate under three brands; 15 properties
under Marriott, 5 properties under Hilton, and 2 properties
under the IHG brand family. The portfolio exhibited strong performance
prior to 2020 with the 2019 revenue increasing 8% year over year
from 2018. However, the loan is on the watchlist due to a
low DSCR and occupancy for the September 2020 TTM period due to mandated
state closures and lack of travel during the coronavirus pandemic.
As of September 2020 TTM, the NOI DSCR was 0.91X with occupancy
of 51%, compared to a NOI DSCR of 2.68X and an occupancy
of 72% in December 2019. Moody's LTV and stressed DSCR are
126% and 0.97X, respectively, unchanged from
securitization.
The second largest loan is the Moffett Towers - Buildings E,F,G
Loan ($56.8 million -- 5.3% of the pool),
which represents a pari-passu portion of a $284 million
senior mortgage loan. The properties are also encumbered with $216
million in mezzanine financing. The loan is secured by a fee interest
in 677,000 SF across three Class A office buildings located in Sunnyvale,
California. The property is part of a broader campus consisting
of 52 acres of land and houses approximately 2 million SF of office space.
The property has been 100% leased to Amazon since securitization.
Amazon leases 67% of the NRA until June 2030 and the remaining
33% until February 2024. Two of the buildings are utilized
as the headquarters for Lab126, the research and development and
computer hardware division of Amazon, which designs products such
as Amazon Echo and Amazon Kindle. The parent company serves as
the guarantor for the lease. As of September 2020, the NOI
DSCR was 3.18X, compared to 2.18X as of December 2019.
The uptick in performance was due to Amazon taking full occupancy of their
space in late 2019. This loan is interest-only throughout
the ten-year term. Due to the single tenant exposure,
Moody's valuation reflects a lit/dark analysis. Moody's LTV and
stressed DSCR are 80% and 1.22X, respectively,
unchanged from securitization.
The third largest loan is the U-Haul AREC 28 Portfolio Loan ($46.6
million -- 4.4% of the pool), which is secured
by borrower's fee interest in a portfolio of 19 self-storage
properties located across 11 states. All properties offer climate
control features for at least a portion of their unit offering with approximately
59% of the units across the entire portfolio being climate-controlled.
As of March 2020, the portfolio was 87% occupied, compared
to 86% in December 2019 and 80% at securitization.
The property's NOI has continued to increase annually since securitization
due to increased rental revenues. The loan is currently on the
master servicer's watchlist due to deferred maintenance at one the
property's included in the portfolio. Moody's LTV and stressed
DSCR are 85% and 1.24X, respectively, compared
to 98% and 1.08X at securitization.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's did not use any stress scenario simulations in its analysis.
For ratings issued on a program, series, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security or pursuant
to a program for which the ratings are derived exclusively from existing
ratings in accordance with Moody's rating practices. For ratings
issued on a support provider, this announcement provides certain
regulatory disclosures in relation to the credit rating action on the
support provider and in relation to each particular credit rating action
for securities that derive their credit ratings from the support provider's
credit rating. For provisional ratings, this announcement
provides certain regulatory disclosures in relation to the provisional
rating assigned, and in relation to a definitive rating that may
be assigned subsequent to the final issuance of the debt, in each
case where the transaction structure and terms have not changed prior
to the assignment of the definitive rating in a manner that would have
affected the rating. For further information please see the ratings
tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
The ratings have been disclosed to the rated entity or its designated
agent(s) and issued with no amendment resulting from that disclosure.
These ratings are solicited. Please refer to Moody's Policy
for Designating and Assigning Unsolicited Credit Ratings available on
its website www.moodys.com.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1243406.
At least one ESG consideration was material to the credit rating action(s)
announced and described above.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the EU and is endorsed
by Moody's Deutschland GmbH, An der Welle 5, Frankfurt
am Main 60322, Germany, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that issued the credit rating is available on www.moodys.com.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the UK and is endorsed
by Moody's Investors Service Limited, One Canada Square,
Canary Wharf, London E14 5FA under the law applicable to credit
rating agencies in the UK. Further information on the UK endorsement
status and on the Moody's office that issued the credit rating is
available on www.moodys.com.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Seth Glanzman
Associate Lead Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Matthew Halpern
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
