Approximately $791 million of structured securities affected
New York, June 02, 2020 -- Moody's Investors Service, ("Moody's") has
affirmed the ratings on six classes in COMM 2014-CCRE20 Mortgage
Trust, Commercial Mortgage Pass-Through Certificates
Cl. A-2, Affirmed Aaa (sf); previously on Jul
26, 2018 Affirmed Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Jul
26, 2018 Affirmed Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Jul
26, 2018 Affirmed Aaa (sf)
Cl. A-M, Affirmed Aa1 (sf); previously on Jul
26, 2018 Affirmed Aa1 (sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Jul
26, 2018 Affirmed Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on Jul 26,
2018 Affirmed Aa3 (sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed 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.
Our analysis has considered the effect of the coronavirus outbreak on
the US economy as well as the effects that the announced government measures,
put in place to contain the virus, will have on the performance
of commercial real estate. 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.
The contraction in economic activity in the second quarter will be severe
and the overall recovery in the second half of the year will be gradual.
However, there are significant downside risks to our forecasts in
the event that the pandemic is not contained and lockdowns have to be
reinstated. As a result, the degree of uncertainty around
our forecasts is unusually high. 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 7.6%
of the current pooled balance, compared to 4.3% at
Moody's last review. Moody's base expected loss plus realized
losses is now 6.6% of the original pooled balance,
compared to 4.1% at the last review. 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 methodologies used in these ratings were "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in May 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1226187,
and "Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in May 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1227875.
Alternatively, please see the Rating Methodologies page on www.moodys.com
for a copy of these methodologies.
DEAL PERFORMANCE
As of the May 12, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 13% to $1.02
billion from $1.18 billion at securitization. The
certificates are collateralized by 58 mortgage loans ranging in size from
less than 1% to 12% of the pool, with the top ten
loans (excluding defeasance) constituting 52% of the pool.
12 loans, constituting 17% of the pool, have defeased
and are secured by US government securities.
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 17,
compared to a Herf of 22 at Moody's last review.
As of the May 2020 remittance report, loans representing 88%
of the pool were current or within their grace period on their debt service
payments, and 7% were between 30-59 days delinquent.
Nine loans, constituting 9% of the pool, are on the
master servicer's watchlist. 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.
Three loans, constituting 5% of the pool, are currently
in special servicing. The largest specially serviced loan is the
DoubleTree Beachwood Loan ($24.9 million -- 2.4%
of the pool), which is secured by a full-service hotel located
in Beachwood, Ohio. Revenues have dropped from $13
million at securitization to $9.5 million in 2018,
outpacing the drop in expenses. The loan transferred to special
servicing in April 2019 due to imminent default and is currently in foreclosure.
The loan is cash managed due to low DSCR and a receiver was appointed.
The remaining two specially serviced loans are secured by an office property
and a hotel property that transferred to special servicing in November
2018 and August 2019, respectively. Moody's estimates an
aggregate $36.0 million loss for the specially serviced
loans (75% expected loss on average).
Moody's has also assumed a high default probability for three poorly
performing loans, constituting 4% of the pool, and
has estimated an aggregate loss of $9.1 million (a 24%
expected loss on average) from these troubled loans.
Moody's received full year 2018 operating results for 89% of the
pool, and full or partial year 2019 operating results for 93%
of the pool (excluding specially serviced and defeased loans).
Moody's weighted average conduit LTV is 109%, the same
as 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
net cash flow (NCF) reflects a weighted average haircut of 26%
to the most recently available net operating income (NOI). Moody's
value reflects a weighted average capitalization rate of 10%.
Moody's actual and stressed conduit DSCRs are 1.65X and 0.99X,
respectively, compared to 1.66X and 1.01X at the last
review. 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 top three conduit loans represent 29% of the pool balance.
The largest loan is the Gateway Center Phase II Loan ($120.0
million -- 11.7% of the pool), which represents
a pari passu portion of a $300 million mortgage loan. The
loan is secured by a 602,000 square feet (SF) retail center located
in Brooklyn, New York. The center is the second phase of
a larger retail power center. As of December 2019, the property
was 100% leased, unchanged from March 2017 and securitization.
Retailers at the property include JC Penney (non-collateral),
ShopRite, and Burlington Coat Factory. The loan is interest-only
throughout the loan term. Moody's LTV and stressed DSCR are 114%
and 0.78X, respectively, the same as at Moody's last
review.
The second largest loan is the InterContinental Miami Loan ($115.0
million -- 11.2% of the pool), which is secured
by a 641-key, full-service hotel in downtown Miami,
Florida. The March 2020 trailing twelve months revenue per available
room (RevPAR) was $142.84. Property performance had
dropped in 2017 primarily as a result of lower food and beverage revenues,
but the performance was stable through 2019. The hotel was temporarily
closed due to COVID and reopened on June 1, 2020. The loan
is interest-only throughout the loan term. Moody's LTV and
stressed DSCR are 100% and 1.16X, respectively,
the same as at Moody's last review.
The third largest loan is the Harwood Center Loan ($57.4
million -- 5.6% of the pool), which represents
a pari passu portion of a $86.0 million mortgage loan.
The loan is secured by a Class A multi-tenant office building located
in Dallas. The property was 91% leased as of December 2019,
compared to 93% as of December 2018. Moody's LTV and stressed
DSCR are 126% and 0.84X, respectively, compared
to 130% and 0.81X at the last review.
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_1133569.
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.
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.
Christopher Bergman
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
Romina Padhi
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
