Approximately $1.9 billion of structured securities affected
New York, March 05, 2020 -- Moody's Investors Service has assigned provisional ratings to six classes
of CMBS securities, issued by BX Commercial Mortgage Trust 2020-VIVA,
Commercial Mortgage Pass-Through Certificates, Series 2020-VIVA:
Cl. A, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa3 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba2 (sf)
Cl. X*, Assigned (P)A1 (sf)
* Reflects interest-only classes
RATINGS RATIONALE
The certificates are collateralized by a single loan backed by first priority
deeds of trust collateralized by the borrowers' fee simple interests
in two properties, the MGM Grand Hotel and Casino ("MGM Grand")
and Mandalay Bay Resort and Casino ("Mandalay Bay") in Las
Vegas, NV. Our ratings are based on the credit quality of
the loans and the strength of the securitization structure.
The MGM Grand is a AAA Four-Diamond, full-service
luxury resort and casino property. It is the third largest hotel
in the world, situated on over 101.9 acres of land and consisting
of 4,998 guestrooms. The guestroom mix includes 4,270
standard guestrooms, 554 suites, 88 luxury suites, 51
Skyloft Suites (excluding one additional office unit), 30 Mansion
Villas (lodging targeted for high-end gamblers), and four
entourage rooms associated with the Mansion Villas. The hotel features
approximately 177,268 SF of casino space that houses 1,553
slot machines and 128 gaming tables, numerous restaurants,
approximately 748,325 SF of meeting space, an approximately
23,000 SF spa, four swimming pools and approximately 41,800
SF of retail space featuring 31 retailers. The MGM Grand is also
home to multiple shows including Cirque du Soleil's "Ka",
an acrobatic theater production that has been in residence at the MGM
Grand since October 2004. The MGM Grand also has the David Copperfield
Theatre, Hakkasan Nightclub and the MGM Grand Garden Arena,
which has seating capacity of over 16,000 and hosts premier concerts,
award shows, sporting events including championship boxing,
and other special events.
The Mandalay Bay is a AAA Four-Diamond, full-service
luxury resort and casino property. It is the premier conference
hotel in Las Vegas with over 2.1 million SF of convention,
ballroom, and meeting space, making it the 5th largest event
space in the United States. Mandalay Bay is situated on over 124.1
acres of land and consists of 4,750 guestrooms. Included
in the Mandalay Bay are (i) a Four Seasons Hotel with its own lobby,
restaurants, pool, and spa, and (ii) The Delano,
which is an all-suite hotel tower wihtin the complex including
its own spa, fitness center, lounge and restaurants.
Mandalay Bay features 152,159 SF of casino space that houses over
1,232 slot machines and 71 gaming tables, numerous restaurants,
an approximately 30,000 SF spa, 10 swimming pools, and
approximately 54,000 SF of retail space featuring 41 retailers.
Mandalay Bay is home to Cirque du Solieil's Michael Jackson "One",
which has been in residence in a 1,805-seat showroom since
2013, a 12,000-seat special events arena, the
House of Blues, and the Shark Reef Aquarium. Additionally,
Mandalay Bay's expansive pool and beach area plays host to an array of
evening open air concerts during the pool season, a large wave pool,
and Moorea, a European-style "ultra" beach and
Daylight Beach Club.
Moody's approach to rating this transaction involved the application
of both our Large Loan and Single Asset/Single Borrower CMBS methodology
and our IO Rating methodology. The rating approach for securities
backed by a single loan compares the credit risk inherent in the underlying
collateral with the credit protection offered by the structure.
The structure's credit enhancement is quantified by the maximum deterioration
in property value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss for
various rating levels. In assigning single borrower ratings,
we also consider a range of qualitative issues as well as the transaction's
structural and legal aspects.
The credit risk of commercial real estate loans is determined primarily
by two factors: 1) the probability of default, which is largely
driven by the DSCR, and 2) and the severity of loss in the event
of default, which is largely driven by the LTV of the underlying
loan.
The whole loan first mortgage balance of $3,000,000,000
represents a Moody's LTV of 79.6%. The Moody's
First Mortgage Actual DSCR is 4.07X and Moody's First Mortgage
Actual Stressed DSCR is 1.56X.
Moody's also grades properties on a scale of 0 to 5 (best to worst) and
considers those grades when assessing the likelihood of debt payment.
The factors considered include property age, quality of construction,
location, market, and tenancy. Each property received
a property quality grade of 1.75, however, the Four
Season's within the Mandalay Bay received a property quality grade
of 1.50.
Positive features of the transaction include the asset quality,
recent refurbishments, location and strong sponsorship. Offsetting
these strengths are property type volatility, lack of diversification,
new supply, dependence on tourism, and credit negative legal
features.
The principal methodology used in rating all classes except interest-only
classes was "Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017. The methodologies used in
rating interest-only classes were "Moody's Approach to Rating Large
Loan and Single Asset/Single Borrower CMBS" published in July 2017 and
"Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in February 2019. Please see the
list of ratings at the top of this announcement to identify which classes
are interest-only (indicated by the *). Please see the
Rating Methodologies page on www.moodys.com for a copy of
these methodologies.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an aggregation
of adjusted loan level proceeds derived from our Moody's loan level LTV
ratios. Major adjustments to determining proceeds include leverage,
loan structure, and property type. These aggregated proceeds
are then further adjusted for any pooling benefits associated with loan
level diversity, other concentrations and correlations.
Moody's analysis considers the following inputs to calculate the
proposed IO rating based on the published methodology: original
and current bond ratings and credit estimates; original and current
bond balances grossed up for losses for all bonds the IO(s) reference(s)
within the transaction; and IO type corresponding to an IO type as
defined in the published methodology.
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 may indicate that the collateral's
credit quality is stronger or weaker than Moody's had previously anticipated.
Factors that may cause an upgrade of the ratings include significant loan
pay downs or amortization, an increase in the pool's share of defeasance
or overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall performance
of the pool, loan concentration, increased expected losses
from specially serviced and troubled loans or interest shortfalls.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
Further information on the representations and warranties and enforcement
mechanisms available to investors are available on http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1215960.
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 quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
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.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
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.
Joseph Podvarney, CFA
Vice President - Senior 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
Eun Choi
Senior Vice President
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
