BANK 2019-BNK16 Table of Contents
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JANUARY 2019 STRUCTURED FINANCE: CMBS PRESALE REPORT BANK 2019-BNK16 Table of Contents Capital Structure 3 Transaction Summary 4 Rating Considerations 5 DBRS Credit Characteristics 7 Largest Loan Summary 8 DBRS Sample 9 Transaction Concentrations 11 Loan Structural Features 12 One AT&T 15 Southeast Hotel Portfolio 20 Millennium Partners Portfolio 28 ExchangeRight Net Leased Portfolio #25 35 Shadow Mountain Marketplace 42 Rainbow Sunset Pavilion 47 Regions Tower 52 US Bank Centre 57 Penske Distribution Center 62 Haymarket Village Center 67 Willowbend Apartments 73 Springdale General 78 Hancock Plaza 83 Transaction Structural Features 88 Surveillance 89 CMBS Rating Methodology – Highlights 89 David Fackler Kevin Mammoser Vice President Managing Director +1 312 332 9457 +1 312 332 0136 [email protected] [email protected] Erin Stafford Managing Director +1 312 332 3291 [email protected] PRESALE REPORT — BANK 2019-BNK16 JANUARY 2019 Capital Structure Description Rating Action Balance Subordination DBRS Rating Trend Class A-1 New Rating - Provisional $22,471,000 30.000% AAA (sf) Stable Class A-2 New Rating - Provisional $50,985,000 30.000% AAA (sf) Stable Class A-SB New Rating - Provisional $42,321,000 30.000% AAA (sf) Stable Class A-3 New Rating - Provisional TBD 30.000% AAA (sf) Stable Class A-4 New Rating - Provisional TBD 30.000% AAA (sf) Stable Class X-A New Rating - Provisional $648,269,000 - AAA (sf) Stable Class A-S New Rating - Provisional $103,029,000 18.875% AAA (sf) Stable Class B New Rating - Provisional $41,674,000 14.375% AA (high) (sf) Stable Class X-B New Rating - Provisional $180,590,000 - A (high) (sf) Stable Class C New Rating - Provisional $35,887,000 10.500% A (sf) Stable Class D New Rating - Provisional $21,995,000 8.125% BBB (high) (sf) Stable Class X-D New Rating - Provisional $39,359,000 - BBB (sf) Stable Class E New Rating - Provisional $17,364,000 6.250% BBB (low) (sf) Stable Class X-F New Rating - Provisional $18,522,000 - BB (high) (sf) Stable Class F New Rating - Provisional $18,522,000 4.250% BB (sf) Stable Class X-G New Rating - Provisional $9,261,000 - B (high) (sf) Stable Class G New Rating - Provisional $9,261,000 3.250% B (sf) Stable Class X-H New Rating - Provisional $4,631,000 - B (sf) Stable Class H New Rating - Provisional $4,631,000 2.750% B (low) (sf) Stable Class X-J NR $25,467,749 - NR n/a Class J NR $25,467,749 0.000% NR n/a RR Interest NR $48,742,092 - NR n/a Notes: 1. NR = Not Rated. 2. Classes X-D, X-F, X-G, X-H, X-J, D, E, F, G H and J will be privately placed. 3. The X-A, X-B, X-D, X-F, X-G, X-H and X-J balances are notional. The Class X-A will be equal to the aggregate Certificate Balance of the Class A-1, A-2, A-3, A-SB and A-4 Certificates outstanding from time to time. The Class X-B will be equal to equal to the aggregate Certificate Balance of the Class A-S, B and C Certificates outstanding from time to time. The Class X-D will be equal to the Certificate Balance of the Class D and E Certificates outstanding from time to time. The Class’s X-F will be equal to the aggregate Certificate Balance of the Class F Certificates outstanding from time to time. The Class X-G will be equal to the Certificate Balance of the Class G Certificates outstanding from time to time. The Class X-H will be equal to the Certificate Balance of the Class H Certificates outstanding from time to time. The Class X-J will be equal to the Certificate Balance of the Class J Certificates outstanding from time to time. The Class X-A, X-B, X-D, X-F, X-G, X-H and X-J Certificates will not be entitled to distributions of principal. 4. The RR Interest (eligible vertical interest) is a non-offered certificate that will be retained by certain rating parties in accordance with the credit risk retention rules applicable to this securitization transaction. 5. The exact initial certificate balances of the Classes A-3 and A-4 subject to change and will be determined based on the final pricing of those classes certificates. The aggregate initial certificate balance of the Class A-3 and Class A-4 certificates is expected to be approximately $532,492,000, subject to a variance of +/- 5%. The class amount shown is the mid-point of the ranges provided for each certificate in the term sheet. The expected range for the Class A-3 certificates is $90.0 million to $265.0 million and the expected range for the Class A-4 certificates is $267.5 million and $442.5million. Structured Finance: CMBS 3 PRESALE REPORT — BANK 2019-BNK16 JANUARY 2019 Transaction Summary POOL CHARACTERISTICS Trust Amount $974,841,840 Wtd. Avg. Interest Rate 4.836% Number of Loans 69 Wtd. Avg. Remaining Term 115 Number of Properties 115 Wtd. Avg. Remaining Amortization 194 Average Loan Size $14,128,143 Total DBRS Expected Amortization3 -7.7% Wtd. Avg. DBRS Term DSCR1 1.81x/1.73x2 Wtd. Avg. DBRS Term DSCR Whole Loan 1.81x Wtd. Avg. DBRS Refi DSCR1 1.16x/1.11x2 Wtd. Avg. DBRS Refi DSCR Whole Loan 1.16x Wtd. Avg. DBRS Debt Yield1 11.1%/10.7%2 Wtd. Avg. DBRS Debt Yield Whole Loan 11.1% Wtd. Avg. DBRS Exit Debt Yield1 10.5%/10.4%2 Wtd. Avg. DBRS Exit Debt Yield Whole Loan 10.5% Top Ten Loan Concentration 49.7% Avg. DBRS NCF Variance -8.7% 1. Includes pari passu debt, but excludes subordinate debt. 2. Excludes shadow-rated loans and co-ops. 3. For certain ARD loans, expected amortization may include amortization expected to occur after the ARD but prior to single/major tenant expiry. PARTICIPANTS Depositor Wells Fargo Commercial Mortgage Securities, Inc. Mortgage Loan Sellers Bank of America, National Association (BANA - 21 loans; 37.6% of pool) Morgan Stanley Mortgage Capital Holdings LLC (MSMCH - 12 loans; 30.9% of pool) Wells Fargo Bank, National Association (WFB - 24 loans; 27.4% of pool) National Cooperative Bank (NCB - 12 loans; 4.0% of pool) Master Servicer Wells Fargo Bank, National Association and National Cooperative Bank, N.A. Special Servicer KeyBank National Association and National Cooperative Bank, N.A. Certficate Administrator Wells Fargo Bank, National Association Trustee Wilmington Trust, National Association Trust Advisor Park Bridge Lender Services LLC Asset Representations Reviewer Prime Finance Long Duration (B-Piece) II, or an affiliate thereof Structured Finance: CMBS 4 PRESALE REPORT — BANK 2019-BNK16 JANUARY 2019 Rating Considerations The collateral consists of 69 fixed-rate loans secured by 115 commercial and multifamily properties. The transaction is a sequential-pay pass-through structure. Two loans, representing 9.2% of the pool, are shadow-rated investment grade by DBRS. Proceeds for the shadow-rated loans are floored at their respective ratings within the pool. When 9.2% of the pool have no proceeds assigned below the rated floor, the resulting subordination is diluted or reduced below the rated floor. The conduit pool was analyzed to determine the provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off loan balances were measured against the DBRS Stabilized NCF and their respective actual constants, two loans, representing 4.8% of the pool, have a DBRS Term DSCR below 1.15x, a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance risk given the current low interest-rate environment, DBRS applied its refinance constants to the balloon amounts. This resulted in 24 loans, representing 50.3% of the pool, having refinance DSCRs below 1.00x and 14 loans, representing 28.3% of the pool, having refinance DSCRs below 0.90x. These credit metrics are based on whole-loan balances. STRENGTHS • Fourteen loans, representing 26.4% of the pool, are located in super-dense urban and urban markets with increased liquidity that benefit from consistent investor demand, even in times of stress. Urban markets with exposure in the pool include New York, Los Angeles, Dallas, Cleveland and Indianapolis. • Five loans, which include four of the top ten loans and represents 21.7% of the pool, exhibit Average (+) property quality. Additionally, only three loans, representing 5.4% of the pool, were assigned Average (-) property quality while no properties were deemed Below Average. • Two loans within the top 15 largest loans exhibit credit characteristics consistent with investment-grade shadow ratings. Millennium Partners Portfolio exhibits credit characteristics consistent with an A (high) shadow rating while Willowbend Apartments exhibits credit characteristics consistent with a AAA shadow rating. These loans combine to represent 9.2% of the pool. Please refer to pages 28 and 73 for more information on these assets. • The pool has low term default risk as indicated by the DBRS Term DSCR 1.81x. When shadow-rated loans, representing 9.2% of the pool, and loans secured by cooperative properties, representing 4.0% of the pool, are both excluded, the pool still exhibits a strong DBRS Term DSCR of 1.65x. CHALLENGES AND CONSIDERATIONS • Twenty-four loans, representing 45.8% of the pool, including six of the largest 15 loans, are structured with IO payments for the full term. An additional 20 loans, representing 29.1% of the pool, have partial-IO periods ranging from 12 months to 60 months.