Bank 2020-Bnk26

PRESALE REPORT BANK 2020-BNK26

FEBRUARY 2020 STRUCTURED FINANCE: CMBS Table of Contents

Capital Structure 3 Transaction Summary 4 Rating Considerations 5 DBRS Morningstar Credit Characteristics 7 Largest Loan Summary 8 DBRS Morningstar Sample 9 Transaction Concentrations 11 Loan Structural Features 12 FTERE Bronx Portfolio 3 16 Bravern Office Commons 21 560 Mission Street 25 200 West 57th Street 29 545 Washington Boulevard 34 55 Hudson Yards 39 AD1 Global Portfolio 44 1633 Broadway 51 Bellagio Hotel and Casino 56 K Street and F Street Office Portfolio 62 Marriott Richmond Dual Brand 67 Steeples Apartments 71 Coral Sky Plaza 75 Embassy Suites – Charlotte 80 Prince William Square 85 Transaction Structural Features 89 Methodologies 91 Surveillance 91 Glossary 92 Definitions 92

Jake Noeldner Dan Kastilahn Senior Financial Analyst Senior Vice President +1 312 332-9576 +1 312 332-9444 [email protected] [email protected]

Kevin Mammoser Erin Stafford Managing Director Managing Director +1 312 332-0136 +1 312 332-3291 [email protected] [email protected] Presale Report | BANK 2020-BNK26

Capital Structure

Description Rating Action Balance ($) Subordination (%) DBRS Morningstar Trend Rating

Class A-1 New Rating - Provisional 27,400,000 30.000 AAA (sf) Stable

Class A-2 New Rating - Provisional 95,000,000 30.000 AAA (sf) Stable

Class A-SB New Rating - Provisional 38,600,000 30.000 AAA (sf) Stable

Class A-3 New Rating - Provisional 150,000,000- 30.000 AAA (sf) Stable 295,000,000

Class A-4 New Rating - Provisional 342,064,000- 30.000 AAA (sf) Stable 487,064,000

Class X-A New Rating - Provisional 798,064,000 -- AAA (sf) Stable

Class A-S New Rating - Provisional 131,111,000 18.500 AAA (sf) Stable

Class B New Rating - Provisional 49,879,000 14.125 AA (high) (sf) Stable

Class X-B New Rating - Provisional 226,593,000 -- A (high)(sf) Stable

Class C New Rating - Provisional 45,603,000 10.125 A (sf) Stable

Class X-D New Rating - Provisional 48,454,000 -- BBB (high) (sf) Stable

Class D New Rating - Provisional 27,078,000 7.750 BBB (high) (sf) Stable

Class E New Rating - Provisional 21,376,000 6.875 BBB (sf) Stable

Class X-F New Rating - Provisional 19,952,000 -- BBB (low) (sf) Stable

Class F New Rating - Provisional 19,952,000 4.125 BB (high) (sf) Stable

Class X-G New Rating - Provisional 11,401,000 -- BB (low) (sf) Stable

Class G New Rating - Provisional 11,401,000 3.125 B (high) (sf) Stable

Class X-H New Rating - Provisional 35,628,248 -- NR n/a

Class H New Rating - Provisional 35,628,248 -- NR n/a

RR Interest New Rating - Provisional 60,004,855 -- NR n/a

1. NR = Not Rated. 2. Class X-D, Class X-F, Class X-G, Class X-H, Class D, Class E, Class F, Class G, Class H, and Class-RR, will be privately placed. 3.The exact initial principal balances of the Class A-3, Class A-3-X1, Class A-3-X2, Class A-4, Class A-4-X1, and Class A-4-X2 trust components (and consequently, the exact aggregate initial certificate balance of the Class A-3 Exchangeable Certificates and of the Class A-4 Exchangeable Certificates) are unknown and will be determined based on the final pricing of the certificates. However, the initial principal balances, weighted average lives, and principal windows of the Class A-3 and Class A-4 trust components are expected to be within the applicable ranges reflected in the following chart. The aggregate initial principal balance of the Class A-3 and Class A-4 trust components is expected to be approximately $637,064,000, subject to a variance of plus or minus 5%. The Class A-3-X1 and Class A-3-X2 trust components will have initial notional amounts equal to the initial principal balance of the Class A-3 trust component. The Class A-4-X1 and Class A-4-X2 trust components will have initial notional amounts equal to the initial principal balance of the Class A-4 trust component. 4. The Class X-A, Class X-B, Class X-D, Class X-F, Class X-G, and Class X-H certificates (collectively referred to as the Class X certificates) are notional amount certificates and will not be entitled to distributions of principal. The notional amount of the Class X-A certificates will be equal to the aggregate certificate or principal balance of the Class A-1, Class A-2, and Class A-SB certificates and the Class A-3 and Class A-4 trust components. The notional amount of the Class X-B certificates will be equal to the aggregate certificate or principal balance of the Class A-S trust component and the Class B and Class C certificates. The notional amount of the Class X-D certificates will be equal to the aggregate certificate balance of the Class D and Class E certificates. The notional amount of each class of the Class X-F, Class X-G, and Class X-H certificates will be equal to the certificate balance of the class of principal balance certificates that, with the addition of “X-,” has the same alphabetical designation as the subject class of Class X certificates. 5. The Class X-A, Class X-B, Class X-D, Class X-F, Class X-G, and Class X-H balances are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall.

February 2020 3 Presale Report | BANK 2020-BNK26

Transaction Summary

POOL CHARACTERISTICS

Trust Amount ($) 1,200,097,104 Wtd. Avg. Interest Rate (%) 3.502

Number of Loans 75 Wtd. Avg. Remaining Term 116

Number of Properties 101 Wtd. Avg. Remaining Amortization 358

Average Loan Size ($) 16,001,295 Total DBRS Morningstar Expected Amortization2 11528.8

DBRS Morningstar LTV (%)1 55.3/63.1 DBRS Morningstar Balloon LTV (%)1 51.9/58.5

Appraised LTV (%)1 55.3/63.1 Appraised Balloon LTV (%)1 51.9/58.5

Wtd. Avg. DBRS Morningstar DSCR1 3.14/2.34 Wtd. Avg. Issuer Term DSCR1 3.14/2.34

Top 10 Loan Concentration (%) 0.5 Avg. DBRS Morningstar NCF Variance (%) -12.8

1. The second metric excludes shadow-rated and co-op loans. 2. For certain ARD loans, expected amortization may include amortization expected to occur after the ARD but prior to single/major tenant expiry.

PARTICIPANTS

Depositor Bank of America Merrill Lynch Commercial Mortgage, Inc.

Mortgage Loan Sellers Morgan Stanley Mortgage Capital Holdings LLC (MSMCH - 23 loans, 39.1% of pool)

Bank of America, National Association (BANA - 19 loans, 36.1% of pool)

Wells Fargo Bank, National Association (WFB - 19 loans, 20.4% of pool)

National Cooperative Bank, N.A. (NCB - 14 loans, 4.3% of pool)

Trustee Wilmington Trust, National Association

Master Servicer Wells Fargo Bank, National Association

Special Servicer LNR Partners, LLC

Certificate Administrator Wells Fargo Bank, National Association and Custodian

Operating Advisor Park Bridge Lender Services LLC

February 2020 4 Presale Report | BANK 2020-BNK26

Rating Considerations

The collateral consists of 75 fixed-rate loans secured by 101 commercial and multifamily properties. The transaction is a sequential-pay pass-through structure. DBRS Morningstar analyzed the conduit pool to determine the provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. Five loans, representing 23.1% of the pool, are shadow-rated investment grade by DBRS Morningstar. When DBRS Morningstar measured the cut- off loan balances against the DBRS Morningstar Stabilized NCF and their respective actual constants, the initial DBRS Morningstar WA DSCR for the pool was 2.74x. The WA DSCR is elevated because 23.1% of the pool is shadow-rated investment grade and the concentration of low-leverage residential co-operative loans represent 4.3% of the pool. These residential co-operative loans have very low loan-level credit enhancement at the AAA level and near-zero loan-level credit enhancement at the BBB (low) level. Only three loans in the pool—The Hub Shopping Center, 18 West 25th Street, and Lockaway Storage-Boerne—had a DBRS Morningstar Term DSCR below 1.30x, a threshold indicative of a higher likelihood of mid-term default. The WA DBRS Morningstar LTV of the pool at issuance was 55.3%, and the pool is scheduled to amortize down to a WA DBRS Morningstar LTV of 51.9% at maturity. The pool includes 19 loans, representing 24.8% of the pool by allocated loan balance, with issuance LTVs equal to or higher than 67.1%, a threshold historically indicative of above- average default frequency. Forty-two loans, representing 38.9% of the pool balance, were originated in connection with the borrower’s refinancing of an existing mortgage loan. Twenty-six loans, representing 38.0% of the pool, were originated in connection with the borrower’s acquisition of the related mortgage property. The remaining seven loans, representing 23.1% of the pool, were originated in connection with the recapitalization of the related property.

STRENGTHS – The transaction includes five loans, representing 23.1% of the total pool balance, that are shadow-rated investment grade by DBRS Morningstar, including Bravern Office Commons, 560 Mission Street, 55 Hudson Yards, 1633 Broadway-NY, and Bellagio Hotel and Casino. Bravern Office Commons exhibits credit characteristics consistent with a AA (high) shadow rating, 560 Mission Street exhibits credit characteristics consistent with a AA shadow rating, 55 Hudson Yards exhibits credit characteristics consistent with a BBB shadow rating, 1633 Broadway-NY exhibits credit characteristics consistent with a BBB (high) shadow rating, and the Bellagio Hotel and Casino exhibits credit characteristics consistent with a AAA shadow rating. For more information on Bravern Office Commons, 560 Mission Street, 55 Hudson Yards, 1633 Broadway and Bellagio Hotel and Casino, please see pages 21, 25, 39, 51 and 56, respectively. – Fourteen loans in the pool, representing 4.3% of the transaction, are backed by residential co-operative loans. Residential co-operatives tend to have minimal risk, given their low leverage and low risk to residents if the co-operative associations default on their mortgages. The WA DBRS Morningstar LTV for these loans is 14.5%. – Sixteen loans, representing an extremely high 40.3% of the aggregate pool balance, are in highly dense urbanized areas (e.g., New York City or San Francisco) with DBRS Morningstar Market Ranks of 7 and 8. These markets benefit from increased liquidity driven by consistently strong investor demand; therefore, these markets tend to benefit from lower default frequencies than less-dense suburban, tertiary and rural markets. – Thirty-three loans, representing 56.3% of the pool, have collateral located in MSA Group 3, which represents the best- performing group in terms of historical CMBS default rates among the top 25 MSAs. MSA Group 3 has a historical default rate of 17.25%, which is nearly 40% lower than the overall CMBS historical default rate of approximately 28.00%. – Thirty-five loans, representing 41.7% of the pool by allocated loan balance, exhibit issuance LTVs of equal to or less than 59.3%, a threshold historically indicative of relatively low-leverage financing and generally associated with far below- average default frequency. – Only four loans had property quality deemed to be Average (-) while none had property quality deemed Below Average or Poor. Additionally, 12 loans, representing 33.7% of the pool balance, exhibited Average (+), Above Average or Excellent property quality. One of the top 10 loans, the Bellagio Hotel and Casino, is secured by collateral that had property quality which DBRS Morningstar deemed to be Excellent.

February 2020 5 Presale Report | BANK 2020-BNK26

CHALLENGES AND CONSIDERATIONS – Three loans, representing 7.6% of the pool (one of which, Bravern Office Commons, is in the top 10 loans), are secured by properties that are either fully or partially leased to a single tenant. – Based on its low leverage, Bravern Office Commons, the second-largest loan in the pool, is shadow-rated investment grade by DBRS Morningstar. Additionally, the tenant at Bravern Office Commons is rated investment grade by DBRS Morningstar. – The WA issuance LTV for the four properties leased to single tenants is 42.7%, which is considered to be low-leverage financing and generally associated with below-average default probability. – The DBRS Morningstar IO DSCR for Bravern Office Commons is higher than 4.00x. The remaining two loans, 6410 Halsey and Safeway-VA, have DBRS Morningstar DSCRs of 1.85x and 1.67x, respectively. – The pool has a relatively high concentration of loans secured by office properties as 11 loans, representing 37.4% of the pool by allocated loan balance, are secured by this property type. DBRS Morningstar considers office properties to be a riskier property type with a generally above-average historical default frequency. – Four of the 11 office loans (Bravern Office Commons, 560 Mission Street, 55 Hudson Yards, and 1633 Broadway-NY), comprising 20.1% of the pool balance, are shadow-rated investment grade by DBRS Morningstar. – Seven office properties, totaling 27.7% of the pool balance, have DBRS Morningstar DSCRs higher than 2.00x, while the remaining four office loans, totaling 9.7% of the pool balance, have DBRS Morningstar DSCRs higher than 1.45x. – Five office loans, representing 59.8% of the office concentration, are secured by office properties in areas characterized as extremely dense and desirable urban gateway markets, which have a DBRS Morningstar Market Rank of 8. – Thirty-five loans, representing 67.6% of the pool by allocated loan balance, are structured with full-term IO periods. – Of these 35 loans, eight loans, representing 40.2% of the pool by allocated loan balance, are in areas with a DBRS Morningstar Market Rank of 6, 7, or 8. These markets benefit from increased liquidity even during times of economic stress. – Five of the 35 identified loans (Bravern Office Commons, 560 Mission Street, 55 Hudson Yards, 1633 Broadway- NY, and Bellagio Hotel and Casino), representing 23.1% of the total pool balance, are shadow-rated investment grade by DBRS Morningstar. – The collateral pool has a moderate MSA and property-type concentrations compared with recent conduit/fusion transactions. Of the loans in the pool, 26.1% are in the top MSA of New York-Northern New Jersey-Long Island, NY-NJ-PA. New York/multifamily assets also have the top MSA/property-type concentration of 5.7%. – This MSA has historically performed quite well as it benefits from a diverse economy and has attracted substantial capital from institutional and foreign investors over time.

February 2020 6 Presale Report | BANK 2020-BNK26

DBRS Morningstar Credit Characteristics

DBRS MORNINGSTAR DSCR

% of the Pool % of the Pool DSCR (Trust Balance) (Trust Balance)1

0.00-0.90 0.0 0.00

0.90-1.00 0.0 0.00

1.00-1.15 0.0 0.00

1.15-1.30 0.0 0.00

1.30-1.45 0.0 0.00

1.45-1.60 5.3 7.3

1.60-1.75 3.5 4.8

>1.75 91.2 87.9

Wtd. Avg. (x) 3.14 2.3

Note: Includes pari passu debt, but excludes subordinate debt. 1. Excludes shadow-rated and co-op loans.

DBRS MORNINGSTAR LTV (%) DBRS MORNINGSTAR BALLOON LTV (%)

% of the Pool % of the Pool % of the Pool % of the Pool LTV (%) (Trust Balance) (Trust Balance)1 Balloon LTV (%) (Trust Balance) (Trust Balance)1

0.0-50.0 33.2 8.0 0.0-50.0 39.0 16.0

50.0-55.0 7.3 10.0 50.0-55.0 8.8 12.2

55.0-60.0 1.2 1.7 55.0-60.0 8.8 12.1

60.0-65.0 23.9 32.9 60.0-65.0 25.7 35.4

65.0-70.0 24.8 34.2 65.0-70.0 17.6 24.3

70.0-75.0 9.6 13.2 70.0-75.0 0.0 0.0

>75.0 0.0 0.0 >75.0 0.0 0.0

Wtd. Avg. (%) 55.3 63.1 Wtd. Avg. (%) 51.9 58.5

Note: Includes pari passu debt, but excludes subordinate debt. Note: Includes pari passu debt, but excludes subordinate debt. 1. Excludes shadow-rated and co-op loans. 1. Excludes shadow-rated and co-op loans.

February 2020 7 Presale Report | BANK 2020-BNK26

Largest Loan Summary

LOAN DETAIL

DBRS DBRS DBRS DBRS Trust Balance Morningstar Morningstar Morningstar Morningstar Loan Name ($) % of Pool Shadow Rating LTV (%) Balloon LTV (%) DSCR (x)

FTERE Bronx Portfolio 3 76,680,000 6.4 n/a 67.3 67.3 2.06

Bravern Office Commons 75,000,000 6.2 AA (high) 37.7 37.7 4.53

560 Mission Street 70,000,000 5.8 AA 35.6 35.6 5.23

200 West 57th Street 70,000,000 5.8 n/a 62.2 62.2 1.93

545 Washington Boulevard 60,000,000 5.0 n/a 61.4 61.4 2.50

55 Hudson Yards 56,700,000 4.7 BBB 39.4 39.4 3.54

AD1 Hotel Portfolio 48,000,000 4.0 n/a 65.8 53.8 1.89

1633 Broadway 40,000,000 3.3 BBB (high) 41.7 41.7 3.84

Bellagio Hotel and Casino 35,000,000 2.9 AAA 39.3 39.3 8.42

K Street and F Street Office Portfolio 31,200,000 2.6 n/a 63.4 63.4 2.08

Marriott Richmond Dual Brand 29,900,000 2.5 n/a 53.2 41.5 2.73

Steeples Apartments 28,300,000 2.4 n/a 69.7 69.7 1.85

Coral Sky Plaza 26,125,000 2.2 n/a 65.6 65.6 2.47

Embassy Suites - Charlotte 25,500,000 2.1 n/a 47.2 47.2 4.96

Prince William Square 25,000,000 2.1 n/a 64.8 64.8 3.07

PROPERTY DETAIL

DBRS Loan per Maturity Morningstar Year SF/Units Balance per Loan Name Property Type City State Built SF/Units ($) SF/Units ($)

FTERE Bronx Portfolio 3 Multifamily Various NY Various 526 145,779 145,779

Bravern Office Commons Office Bellevue WA 2009 749,694 304 304

560 Mission Street Office San Francisco CA 2002 668,149 449 449

200 West 57th Street Office New York NY 1917 171,395 671 671

545 Washington Boulevard Office Jersey City NJ 2001 866,706 290 290

55 Hudson Yards Office New York NY 2018 1,431,212 660 660

AD1 Hotel Portfolio Limited-Service Hotel Various Various Various 708 67,797 55,494

1633 Broadway Office New York NY 1972 2,561,512 391 391

Bellagio Hotel and Casino Full-Service Hotel Las Vegas NV 1997 3,933 426,189 426,189

K Street and F Street Office Portfolio Office Various DC Various 124,667 250 250

Marriott Richmond Dual Brand Limited-Service Hotel Richmond VA 2014 210 142,381 110,941

Steeples Apartments Multifamily Houston TX 1982 409 69,193 69,193

Coral Sky Plaza Retail Royal Palm Beach FL 1999 232,727 112 112

Embassy Suites - Charlotte Limited-Service Hotel Charlotte NC 1989 274 93,066 93,066

Prince William Square Retail Woodbridge VA 1986 232,957 107 107

February 2020 8 Presale Report | BANK 2020-BNK26

DBRS Morningstar Sample

DBRS MORNINGSTAR SAMPLE RESULTS

DBRS DBRS DBRS DBRS Morningstar Morningstar Morningstar Prospectus Morningstar NCF Variance Major Variance Property ID Loan Name % of Pool NCF ($) (%) Drivers Quality

1 FTERE Bronx Portfolio 3 6.4 4,878,670 -16.4 Controllable Expenses; Average - Vacancy, Real Estate Taxes

2 Bravern Office Commons 6.2 29,916,552 -10.8 TI/LC; GPR; Vacancy Above Average

3 560 Mission Street 5.8 34,524,255 -16.2 TI/LC; Straight-line rent Average

4 200 West 57th Street 5.8 6,700,587 -15.6 Vacancy; TI/LC; Rent Steps Average

5 545 Washington Boulevard 5.0 17,676,252 -18.5 Vacancy; TI/LCs; Rent Steps Average +

6 55 Hudson Yards 4.7 85,005,411 -15.0 TI/LC; Rent Steps; Vacancy Above Average

7 AD1 Hotel Portfolio 4.0 4,002,650 -22.2 RevPAR; FF&E Average

8 1633 Broadway 3.3 92,393,880 -20.8 TI/LC; Rent Steps Above Average

9 Bellagio Hotel and Casino 2.9 426,559,931 -6.0 RevPAR; FF&E Excellent

10 K Street and F Street Office 2.6 1,881,333 -21.2 TI/LC; Management Fee Average Portfolio

11 Marriott Richmond Dual Brand 2.5 4,036,606 -7.1 RevPAR Average +

12 Steeples Apartments 2.4 1,897,409 -8.1 Controllable Expenses; Average - Operating Expenses; Management Fee

13 Coral Sky Plaza 2.2 2,189,235 -10.1 Reimbursements; GPR; Average Management Fee

14 Embassy Suites - Charlotte 2.1 3,940,901 -11.0 RevPAR; FF&E Average

15 Prince William Square 2.1 2,376,905 -10.4 Rent Markdown; Vacancy, TI/LC Average

16 Pacific Plaza Tacoma 1.9 1,908,748 -12.7 TI/LC; GPR; Management Fee Average +

17 OSU Hotel Portfolio 1.9 2,850,068 -7.4 RevPAR; FF&E Above Average

18 Residence Inn - Amelia Island 1.8 2,248,405 -5.3 RevPAR; FF&E Average +

20 Forsyth Multifamily Portfolio 1.6 1,190,910 -8.3 Controllable Expenses; Vacancy Average +

21 Giant Anchored Portfolio 1.5 7,539,893 -9.3 Vacancy Average

23 University Marketplace 1.4 1,525,230 -7.9 Vacancy; Rent Markdown; TI/LC Average -

28 Ayres Hotel Orange 1.0 1,974,281 -11.3 RevPAR; FF&E Average +

32 Bradenton Cascade Office 0.9 876,167 -15.0 TI/LC; Variable Expenses; Average Portfolio Management Fee

38 Courtyard - Charlotte Matthews 0.7 1,028,495 -12.3 RevPAR; FF&E Average

39 Ayres Hotel Spa Mission Viejo 0.7 1,079,510 -7.2 RevPAR; FF&E Average +

41 18 West 25th Street 0.6 420,386 -36.5 RevPAR; FF&E Average -

54 Long Beach Storage Center 0.4 410,828 -11.0 Vacancy; Management Fee; Average Real Estate Taxes

55 Grand Oaks Plaza 0.4 479,010 -4.7 TI/LC; Replacement Reserves Average

February 2020 9 Presale Report | BANK 2020-BNK26

DBRS MORNINGSTAR SITE INSPECTIONS DBRS Morningstar Sampled Property Quality The DBRS Morningstar sample included 28 of the 75 loans # of % of in the pool, representing 73.0% of the pool by allocated loan Loans Sample balance. DBRS Morningstar performed site inspections  Excellent 1 4.0 on 45 of the 102 properties in the deal, comprising 68.6%  Above Average 4 22.2 of the pool by allocated loan balance. DBRS Morningstar  Average + 7 19.9 conducted meetings with an on-site property manager, a  Average 12 39.1 leasing agent, or a representative of the borrowing entity  Average - 4 14.7 for 20 loans, which represent 66.0% of the pool by allocated  Below Average 0 0.0 loan balance.  Poor 0 0.0

DBRS MORNINGSTAR CASH FLOW ANALYSIS DBRS Morningstar completed a cash flow review and a cash flow stability and structural review on 28 of the 75 loans, representing 73.0% of the pool by loan balance. For loans not subject to an NCF review, DBRS Morningstar applied the average NCF variance of its respective loan seller.

DBRS Morningstar generally adjusted cash flow to current in-place rent and, in some instances, applied an additional vacancy or concession adjustment to account for deteriorating market conditions or tenants with above-market rent. In most instances, DBRS Morningstar accepted contractual rent bumps if they were within 12 months and market levels. Generally, DBRS Morningstar recognized most expenses based on the higher of historical figures or the borrower’s budgeted figures. Real estate taxes and insurance premiums were inflated if a current bill was not provided. Capex was deducted based on the higher of the engineer’s inflated estimates or the DBRS Morningstar standard, according to property type. Finally, leasing costs were deducted to arrive at the DBRS Morningstar NCF. If a significant upfront leasing reserve was established at closing, DBRS Morningstar reduced its recognized costs. DBRS Morningstar gave credit to tenants not yet in occupancy if a lease had been signed and the loan was adequately structured with a reserve, LOC, or holdback earnout. The DBRS Morningstar sample had an average NCF variance of -12.8% and ranged from -36.5% (18 West 25th Street) to -4.7% (Grand Oaks Plaza).

DBRS Morningstar Sampled Property Type

60.0% 40.0 35.0 50.0% 30.0 40.0% 25.0 30.0% 20.0 15.0 20.0% 10.0 10.0% 5.0 0.0% 0.0 Full Service Industrial Limited Service Multifamily Office Self Storage Retail Unanchored Mixed Use Other Manufactured Hotel Hotel Retail Housing Excellent Above Average Average + Average Average - Below Average Poor Pool (%)

February 2020 10 Presale Report | BANK 2020-BNK26

Transaction Concentrations

DBRS Morningstar Property Type Geography

# of % of # of % of Property Type Loans Pool State Properties Pool  Office 11 37.4  CA 5 8.3  Retail 14 16.0  IL 2 1.8  Multifamily 18 16.1  NY 19 26.6  Mixed Use 2 1.4  NC 5 5.1  Industrial 4 1.7  OH 3 3.2  Full-Service Hotel 1 2.9  FL 4 5.8  Self-Storage 5 2.7  All Others 63 49.3  Unanchored Retail 9 4.9  Limited-Service Hotel 11 17.0  Manufactured Housing 0 0.0  Other 0 0.0

Loan Size DBRS Morningstar Market Types

# of % of # of % of Loan Size Loans Pool Market Type Properties Pool  Very Large 18 63.8  1 2 1.7 (>$20.0 million)  2 14 14.9  Large 15 17.9  3 18 13.0 ($10.0-$20.0 million)  4 9 7.6  Medium 20 11.8 ($5.0-$10.0 million)  5 11 15.8  Small 18 5.9  6 5 6.7 ($2.0-$5.0 million)  7 4 13.9  Very Small 4 0.6  8 12 26.4 (<$2.0 million)

Largest Property Location

Property Name City State  FTERE Bronx Portfolio 3 Various NY  Bravern Office Commons Bellevue WA  560 Mission Street San Francisco CA  200 West 57th Street New York NY  545 Washington Boulevard Jersey City NJ  55 Hudson Yards New York NY  AD1 Hotel Portfolio Various Various  1633 Broadway New York NY  Bellagio Hotel and Casino Las Vegas NV  K Street and F Street Office Portfolio Various DC  Marriott Richmond Dual Brand Richmond VA  Steeples Apartments Houston TX  Coral Sky Plaza Royal Palm Beach FL  Embassy Suites – Charlotte Charlotte NC  Prince William Square Woodbridge VA

February 2020 11 Presale Report | BANK 2020-BNK26

Loan Structural Features

Pari Passu Notes: Eight loans, representing 35.4% of the pool, have pari passu debt and are identified in the table below.

PARI PASSU NOTES

% of % of Total Property Name Balance ($) Pool Deal ID Pari Passu Loan Controlling Piece (Y/N) Bravern Office Commons 75,000,000 6.2 BANK 2020-BNK26 32.9 N

50,000,000 n/a BAMLL 2020-BOC 21.9 N

103,000,000 n/a BAMLL 2020-BOC 45.2 N

228,000,000 n/a n/a 100.0 n/a

560 Mission Street 70,000,000 5.8 BANK 2020-BNK26 23.3 N

60,000,000 n/a GSMS 2020-GC45 20.0 N

30,000,000 n/a Benchmark 2020-B16 10.0 Y

20,000,000 n/a Benchmark 2020-IG1 6.7 N

25,000,000 n/a DBR Investments Co. Limited 8.3 N

15,000,000 n/a Benchmark 2020-B16 5.0 N

30,000,000 n/a Bank of America, N.A. 10.0 N

50,000,000 n/a BANK 2020-BNK25 16.7 N

300,000,000 n/a n/a 100.0 n/a

200 West 57th Street 70,000,000 5.8 BANK 2020-BNK26 60.9 Y

45,000,000 n/a MSBNA 39.1 N

115,000,000 n/a n/a 100.0 n/a

545 Washington Boulevard 60,000,000 5.0 BANK 2020-BNK26 23.8 N

81,285,000 n/a BANK 2020-BNK25 32.3 Y

60,000,000 n/a MSC 2020-L4 23.8 N

50,321,250 n/a BBCMS 2020-C6 20.0 N

251,606,250 n/a n/a 100.0 n/a

55 Hudson Yards 56,700,000 4.7 BANK 2020-BNK26 6.0 N

510,500,000 n/a Hudson Yards 2019-55HY 54.0 Y

100,000,000 n/a BANK 2019-BNK24 10.6 N

100,000,000 n/a BANK 2020-BNK25 10.6 N

54,000,000 n/a WFB 5.7 N

34,450,000 n/a DBRI 3.6 N

52,450,000 n/a Benchmark 2020-IG1 5.6 N

36,900,000 n/a MSC 2020-L4 3.9 N

945,000,000 n/a n/a 100.0 n/a

February 2020 12 Presale Report | BANK 2020-BNK26

PARI PASSU NOTES

% of % of Total Property Name Balance ($) Pool Deal ID Pari Passu Loan Controlling Piece (Y/N)

1633 Broadway 40,000,000 3.3 BANK 2020-BNK26 4.0 N

1,000,000 n/a BWAY 2019-1633 0.1 N

110,000,000 n/a CGCMT 2020-GC46 11.0 N

60,000,000 n/a GSMS 2020-GC45 6.0 N

122,500,000 n/a Goldman Sachs Bank USA 12.2 N

45,000,000 n/a Benchmark 2020-B16 4.5 N

170,000,000 n/a DBR Investments Co. Limited 17.0 N

64,650,000 n/a Benchmark 2020-IG1 6.5 N

JPMorgan Chase Bank, National 177,850,000 n/a 17.8 N Association

100,000,000 n/a BANK 2020-BNK25 10.0 N

Wells Fargo Bank, National 40,000,000 n/a 4.0 N Association

70,000,000 n/a WFCM 2020-C55 7.0 N

1,001,000,000 n/a n/a 100.0 n/a

Bellagio Hotel and Casino 35,000,000 2.9 BANK 2020-BNK26 2.1 N

716,000,000 n/a BX 2019-OC11 42.7 Y

360,200,000 n/a Third Party 21.5 N

100,000,000 n/a MSBNA 6.0 N

100,000,000 n/a BANK 2020-BNK25 6.0 N

60,000,000 n/a GSMS 2020-GC45 3.6 N

65,000,000 n/a MSC 2020-L4 3.9 N

55,000,000 n/a Benchmark 2020-IG1 3.3 N

60,000,000 n/a Benchmark 2020-B16 3.6 N

20,000,000 n/a CREFI 1.2 N

61,250,000 n/a JPMCB 3.7 N

43,750,000 n/a BBCMS 2020-C6 2.6 N

1,676,200,000 n/a n/a 100.0 n/a

Giant Anchored Portfolio 18,500,000 1.5 BANK 2020-BNK26 19.1 N

38,500,000 n/a CGCMT 2019-C7 39.7 Y

10,000,000 n/a Citi Real Estate Funding Inc. 10.3 N

30,000,000 n/a BANK 2019-BNK24 30.9 N

97,000,000 n/a n/a 100.0 n/a

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Additional Debt: Four loans — Bravern Office Commons, 55 Hudson Yards, 1633 Broadway-NY, and Bellagio Hotel and Casino — representing 17.2% of the pool have additional debt in the form of a B-note. Seven loans — 560 Mission Street, 545 Washington Boulevard, 1633 Broadway, Bellagio Hotel and Casino, Steeples Apartments, Forsyth Multifamily Portfolio, and Vesta Lofts Apartments — representing 22.4% of the pool are permitted to incur mezzanine debt in the future if certain LTV, debt yield, and/or DSCR thresholds are met and there is a lender-approved Intercreditor Agreement.

SUBORDINATE DEBT

Mezz/ Unsecured Future Mezz/ Trust Balance Pari Passu B-Note Debt Balance Unsecured Total Debt Loan Name ($) Balance ($) Balance ($) ($) Debt (Y/N) ($) Balance ($)

Bravern Office Commons 75,000,000 153,000,000 76,000,000 0 N 304,000,000

55 Hudson Yards 56,700,000 888,300,000 300,000,000 0 N 1,245,000,000

1633 Broadway 40,000,000 961,000,000 249,000,000 0 Y 1,250,000,000

Bellagio Hotel and Casino 35,000,000 1,641,200,000 1,333,800,000 0 Y 3,010,000,000

325 W. 45th Street Owners Corp. 8,201,000 0 0 1,000,000 Y 9,201,000

400 East 77th Street Owners, Inc. 6,738,086 0 0 500,000 Y 7,238,086

113-14 Owners Corp. 6,350,000 0 0 500,000 Y 6,850,000

36 Hamilton Avenue Tenants Corp. 4,500,000 0 0 300,000 Y 4,800,000

Chester Hill Apartment Corporation 4,500,000 0 0 500,000 Y 5,000,000

759 Hillside Avenue Owners, Inc. 4,000,000 0 0 350,000 Y 4,350,000

214 Clinton St./147 Pacific St. 2,800,000 0 0 2,000,000 Y 4,800,000 Owners Corp.

Fountain Terrace Owners, Inc. 2,500,000 0 0 500,000 Y 3,000,000

Haven Equities, Inc. 2,246,167 0 0 250,000 Y 2,496,167

110 Thompson St. Owners Corp. 2,246,104 0 0 500,000 Y 2,746,104

Hartsdale Towers Owners Corp. 1,896,720 0 0 250,000 Y 2,146,720

Wildwood Tenants Corporation 1,497,494 0 0 500,000 Y 1,997,494

Interest Only DBRS Morningstar Expected Amoritization (%)

# of % of # of % of Loans Pool Loans Pool  Full IO 35 67.8  0.0 35 67.8  Partial IO 13 14.0  0.0-5.0 0 0.0  Amortizing 27 18.2  5.0-10.0 0 0.0  10.0-15.0 0 0.0  15.0-20.0 0 0.0  20.0-25.0 0 0.0  >25.0 40 32.2 Note: For certain ARD loans, expected amortization may include amortization expected to occur after the ARD but prior to single/major tenant expiry.

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Leasehold: Three properties, Wyndham Garden Tallahassee Capitol, Bellagio Hotel and Casino and Pacific Plaza Tacoma, representing 5.5% of the pool balance, are fully or partially secured by the borrower’s leasehold interest. Wyndham Garden Tallahassee Capitol has a ground lease with an initial expiration date in December 2115. Bellagio Hotel and Casino has a ground lease with an initial expiration date of April 2033 and two 20-year renewal option. Pacific Plaza Tacoma has a ground lease with an initial expiration date of August 2109.

RESERVE REQUIREMENT BORROWER STRUCTURE

Type # of Loans % of Pool Type # of Loans % of Pool

Tax Ongoing 56 63.1 SPE with Independent Director 15 56.6 and Nonconsolidation Opinion

Insurance Ongoing 22 24.7 SPE with Independent 3 5.9 Director Only

Capex Ongoing 49 68.1 SPE with Nonconsolidation 1 1.9 Opinion Only

Leasing Costs Ongoing1 26 57.9 SPE Only 27 31.2

1. Percent of office, retail, industrial, and mixed-use assets based on DBRS Morningstar property types.

Sponsor Strength: DBRS Morningstar considers the DBRS Morningstar Sponsor Strength sponsorship of four of the top 15 loans, representing 13.5% # of % of of the pool, to be Strong because of the sponsors’ extensive Loans Pool experience in the commercial real estate sector and  Strong 4 13.5 significant financial wherewithal. Additionally, five loans,  Average 66 75.9 representing 10.6% of the pool, were considered Weak by  Weak 5 10.6 DBRS Morningstar.  Bad/Litigious 0 0.0

Property Release: Seven loans, representing 18.4% of the pool, allow for the release or defeasance of one or more properties or a portion of the mortgaged property, subject to release prices in an amount generally equal to 110.0% to 125.0% of the allocated loan amounts of the respective properties and/or certain leverage tests prescribed in the individual loan agreements.

Property Substitution: No loans in the pool allow for the substitution of properties.

Terrorism Insurance: Terrorism insurance is required and in place for all loans.

February 2020 15 Presale Report | BANK 2020-BNK26

FTERE Bronx Portfolio 3 Bronx, New York

Loan Snapshot Seller MSMCH Ownership Interest Fee Simple Trust Balance ($ Millions) 76.7 Loan PSF/Unit ($) 145,779 Percentage of the Pool 6.4 Loan Maturity/ARD March 2030 Amortization COLLATERAL SUMMARY Interest Only DBRS Morningstar Multifamily Year Built/Renovated Various DBRS Morningstar DSCR (x) Property Type 2.06 City, State Bronx, NY Physical Occupancy (%) 99.4 DBRS Morningstar LTV (%) 67.3 Units/SF 526 Physical Occupancy Date January 2020 DBRS Morningstar Balloon LTV (%) The loan is secured by the borrower’s fee simple interest in a multifamily portfolio 67.3 comprised of eight rent-stabilized and/or rent controlled properties located in various DBRS Morningstar neighborhoods in the borough of the Bronx, Bronx County, New York. The portfolio Property Type includes a total of 526 residential units. The 10-year, fixed-rate loan is IO for the Multifamily entire loan term and represents a 67.3% LTV based on the combined appraised value DBRS Moringstar Property Quality of $114.0 million ($216,730 per unit). The loan proceeds of $76.7 million ($145,779 Average - per unit) were used by the sponsor to refinance the existing debt of $73.5 million Debt Stack ($ Millions) encumbering the collateral and pay $1.2 million in closing costs. There is a holdback of Trust Balance $2.6 million, that will be released in full or in part, subject to the approval of additional 76.7 J-51 abatements and other stipulations. Pari Passu 0.0 The collateral properties are largely six-story Class B or Class C buildings. Overall, B-Note the portfolio’s residential occupancy is 99.4% and has historically operated at or near 0.0 100% occupancy. The overall age of the properties ranges from 91 years to 98 years Mezz with an average age of 94 and a median age of 93. Overall, the sponsor has invested 0.0 $12,684,000 across the eight properties since 2016, which equates to $24,114 per unit. On Total Debt a per unit basis, 2500 University received the highest amount of capital expenditure, at 76.7 $1,926,000 ($33,789 per unit). The property with the least amount of capex investment Loan Purpose is 1945 Loring Place ($10,237 per unit). The cited uses are varied and include re-piping, Refinance bath and kitchen upgrades, brickwork, new windows, and roof upgrades. Equity Contribution/ (Distribution) ($ Millions) 0.5

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FTERE BRONX PORTFOLIO 3 – BRONX, NEW YORK

TENANT SUMMARY

Cut-Off Date Loan % of Loan City, Property No of % of Occupancy Property Amount ($) Amount State Type Units Units Year Built (%)

1270 Gerard Avenue 15,200,000 19.8 Bronx, NY Multifamily 108 20.5 1927 99.1

3018 Heath Avenue 10,900,000 14.2 Bronx, NY Multifamily 86 16.4 1927 100.0

1576 Taylor Avenue 10,760,000 14.0 Bronx, NY Multifamily 71 13.5 1929 100.0

1299 Grand Concourse 10,360,000 13.5 Bronx, NY Multifamily 66 12.6 1922 100.0

2500 University Avenue 8,610,000 11.2 Bronx, NY Multifamily 57 10.8 1922 100.0

2505 Aqueduct Avenue 8,540,000 11.2 Bronx, NY Multifamily 48 9.1 1928 97.9

2785 Sedgwick Avenue 6,590,000 8.6 Bronx, NY Multifamily 48 9.1 1928 97.9

1945 Loring Place South 5,720,000 7.5 Bronx, NY Multifamily 42 8.0 1927 99.4

Total/Wtd. Avg. 77,700,000 100.0 Bronx, NY Multifamily 526 100.0 1922-1929 99.4

The eight properties are mostly spread north to south in the West Bronx. One property, 1576 Taylor Avenue, is in Parkchester to the east. From north to south, two properties are in Kingsbridge, two properties are in Fordham Manor, one property is adjacent to Bronx Community College, and two properties are in High Bridge. The distance from the northernmost property to the southernmost property is 3.1 miles, or 25 minutes by transit.

Reis data indicates an average rent of $1,384 per unit for the submarket, while in-place gross potential rent for the overall portfolio was concluded at $1,430 per unit per month. This was concluded based on the rent roll provided dated January 1, 2020. Demand for affordable housing far exceeds supply as evidenced by the Reis current submarket vacancy rate of 3.8% and the five-year vacancy rate of 2.5% for the submarket. Historically, it has been difficult to track and discern market rents in the Bronx given that it has a large amount of government subsidized housing, that is either subject to some form of rent regulation (either rent control, rent stabilization, or Section 8). However, that has changed over the past couple of years as developers are starting to develop large market-rate housing in the borough.

All properties have or are in the process of applying for J-51 tax abatements and J-51 exemptions. The J-51 tax incentive program is a New York City program that reduces landlord real estate taxes and freezes property assessments for building owners completing major capital repairs and upgrades to their residential properties. Rent-stabilization laws limit the percentage the landlord can raise rents for one- and two- year rent-stabilized leases. Annual rent increases are established by the Rent Stabilization Board (RSB), which votes annually on rent increases. As a result, the units in the portfolio tend to maintain a level of affordability; as a result many tenants remain in place, which helps the portfolio maintain high occupancy levels. The RSB recently implemented 1% rent increases for one-year leases for 2020 and 2.5% increases for two-year leases. These minimal increases can hamper landlords’ ability to meet rising building expenses.

SPONSORSHIP The sponsor is Finkelstein Timberger East Real Estate (FTERE), a real estate firm that owns and manages residential apartment buildings in Bronx County, New York. FTERE is run by Steven Finkelstein, Richard Timberger, and Anthony East. Steven Finkelstein has over 38 years of experience in the management of apartment buildings. Richard Timberger and Anthony East both manage FTERE’s portfolio, which contains 70 properties totaling more than 4,200 units.

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FTERE BRONX PORTFOLIO 3 – BRONX, NEW YORK

DBRS MORNINGSTAR ANALYSIS SITE INSPECTION SUMMARY DBRS Morningstar toured the interior and exterior of 5 of the 8 properties in the portfolio February 5, 2020, from 10:00 a.m. to 12:15 p.m. Based on the site inspection, DBRS found the properties’ quality to be Average (-).

Overall, the properties are in highly dense residential neighborhoods. Most of the surrounding buildings are single-family, two-story homes, with some larger buildings, similar to the collateral, scattered between. The exteriors and interiors of the properties are similar, and they are relatively consistent with most of the buildings in their respective neighborhoods. There are many retail options in the surrounding area, including pharmacies, salons, barbershops, houses of worship, laundromats, and businesses that specialize in money transfer and check cashing. The retail portion of the collateral was not open in the morning hours during which DBRS Morningstar conducted its inspection. Transit is easily accessible from most of the properties in the portfolio, with many bus stops in the surrounding vicinity. With regards to subways, the property with the longest walk to the closest subway is 1576 Taylor Avenue, with a .5 mile walk to the East 180th Street Station. Most properties are slightly closer than this; for instance; 1945 Loring Place South is .4 miles to the Burnside Avenue Station. The property closest to a subway station is 1270 Gerard Avenue, with a 0.2 mile walk to the 170th Street Station.

Compared to other Bronx multifamily inventory, the units observed were of similar quality, with one asset perhaps slightly higher. That asset, 1270 Gerard Avenue, has a newly renovated lobby which was modern and aesthetically pleasing. Across the collateral, DBRS Morningstar observed largely clean hallways that were well lit. There are no amenities and no onsite laundry rooms. One resident was observed to have installed a small washer/dryer in their bathroom. The property manager stated that the landlord’s “advertising” was the white window panes they install in all their Bronx properties, which are more suburban-looking than typical windows used in the Bronx, and therefore more appealing to potential tenants.

There was evidence of deferred maintenance, such as cracked brick work at 3018 Heath Avenue and 1299 Grand Concourse. Handrails leading to entrances were rusting at 3018 Heath Avenue. Debris was generally prominent on the streets, although a superintendent was observed sweeping in the morning outside 3018 Heath Avenue. 2500 University Avenue had discolored concrete outside the entrance, which significantly decreased the curb appeal of the property. With the exception of 1270 Gerard Avenue, which has a bush-lined entrance pathway, properties had extremely minimal or no landscaping.

Kitchens across the collateral were small but functional. All had white, slightly-dated-looking refrigerators and ovens, and light-brown wooden cabinets, which also looked somewhat dated. Bathrooms were small, yet functional with newer- looking basic tile flooring.. All observed bathrooms had mirrors above the sink, which was not the case with Bronx multifamily inventory DBRS Morningstar has inspected in other Bronx multifamily transactions. However, one bathtub

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FTERE BRONX PORTFOLIO 3 – BRONX, NEW YORK

at 2785 Sedgwick was observed to be heavily peeling on the bottom. Bedrooms were sizable, with some bedrooms fitting two beds into a single bedroom. Bedrooms which did not have their curtains drawn received plenty of natural light. Living rooms were of a comfortable size, and also received adequate natural light. Living rooms had the same wood flooring as bedrooms, which looked a bit dated. Bathrooms had tiling on the floor which looked newer, but not high-end.

During the course of the site inspection, DBRS Morningstar learned that many Bronx multifamily properties have childhood daycare centers in residents’ apartments. Although operators need a license, regulations state that so long as the care provider lives in the apartment, it is not considered commercial usage. DBRS Morningstar observed one such day care in 2500 University Avenue. There were approximately six children at the daycare the time of the visit. The living room of the unit was decorated with cubbies, colorful signs, and inspirational quotes. The children were said to have come from the surrounding neighborhood. According to the property manager, the New York City government pays the resident care-giver $1,200 per month per child to provide pre-kindergarten services, in conjunction with the Universal Pre-Kindergarten program.

DBRS MORNINGSTAR NCF SUMMARY NCF ANALYSIS

DBRS Morningstar NCF Variance 2018 2019 Sponsor Budget Issuer NCF NCF ($) (%)

GPR ($) 8,366,018 8,628,632 8,559,472 8,570,065 8,534,928 -0.4

Other Income ($) 0 0 244,320 337,609 247,872 -26.6

Vacancy & 0 0 -176,075 -187,274 -451,534 141.1 Concessions ($)

EGI ($) 8,366,018 8,628,632 8,627,717 8,720,400 8,331,266 -4.5

Expenses ($) 2,605,960 2,678,010 2,769,355 2,733,446 3,288,725 20.3

NOI ($) 5,760,058 5,950,622 5,858,362 5,986,954 5,042,541 -15.8

Capex ($) 0 0 0 152,466 163,872 7.5

NCF ($) 5,760,058 5,950,622 5,858,362 5,834,488 4,878,670 -16.4

The DBRS Morningstar NCF is based on the DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria. The resulting DBRS Morningstar NCF was $4,878,670, a variance of -16.4% from the Issuer’s NCF of $5,834,488. The main drivers of the variance are operating expenses, residential vacancy, and real estate taxes. Controllable expenses were increased by $600 per unit, which brings the overall expense ratio to 39.5%, in line with Bronx multifamily inventory, which lacks amenities. Residential vacancy was concluded at 5.0%, which is slightly higher than the Reis submarket vacancy of 3.8%. Real estate taxes were concluded at the average tax load through the loan term, which takes into account J-51 tax exemptions and abatements.

DBRS MORNINGSTAR VIEWPOINT The transaction is structured as a refinance and is modestly leveraged with an Issuer LTV of 68.2% based on the $114.0 million appraised value. The 10-year loan is full term IO, so refinance risk is elevated given the lack of amortization; however, given the inherent value which comes from a New York City location, appraised values in the immediate area are expected to remain stable or increase over the loan term .

The properties are slightly higher in quality than other Bronx multifamily DBRS Morningstar has seen due to the numerous renovations, including new windows across the properties, the renovated lobby at 1270 Gerard Avenue, and $12,684,000 in capex spent across the portfolio since 2011, which equates to $24,114 per unit. These upgrades include

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FTERE BRONX PORTFOLIO 3 – BRONX, NEW YORK

brickwork, re-piping, façade upgrades, and extensive unit improvements. The in-place rent of this collateral at $1,364 per unit exceed comparable properties in the DBRS Morningstar database. Demographics in the Bronx are not as strong as other New York City boroughs (the median household income in the Bronx is $38,085). However, market rents have been slowly increasing upward, from $1,164 in 2014 to $1,325 in 2017, and $1,384 in the current period (Q2 2019), according to Reis.

Collateral occupancy of 99.4% depicts the assets as fulfilling a specific need at the price point as a result of rents being below-market due to rent-stabilized properties. The properties have historically had a low vacancy rate. According to Reis, the submarket has a vacancy rate of 3.8%. The vacancy rate has been slowly trending upward since 2011 but remains below 4.0%. The five-year average vacancy rate is 2.5%, according to Reis. DBRS Morningstar concluded a WA residential vacancy of 5% across the eight properties. DBRS Morningstar expects the loans to perform on the basis of high demand for rent- stabilized workforce housing in the historically high-occupancy Bronx market.

DOWNSIDE RISKS – A J-51 tax abatement for the portfolio will expire during the loan term increasing refinance risk.

STABILIZING FACTORS – The sponsor is well-capitalized and has over 38 years of experience in the Bronx submarket. Furthermore, the borrower appears to be a long-term owner, having acquired the properties between 1988 and 2011, and has invested over $12.6 million in improvements since 2011.

February 2020 20 Presale Report | BANK 2020-BNK26

Bravern Office Commons Bellevue, Washington

Loan Snapshot Seller BANA Ownership Interest Fee Simple Trust Balance ($ Millions) 75.0 Loan PSF/Unit ($) 304 Percentage of the Pool 6.2 Loan Maturity/ARD January 2027 Amortization COLLATERAL SUMMARY Interest Only DBRS Morningstar Office Year Built/Renovated 2009 DBRS Morningstar DSCR (x) Property Type 4.53 City, State Bellevue, WA Physical Occupancy (%) 100.0 DBRS Morningstar LTV (%) 37.7 Units/SF 749,694 Physical Occupancy Date March 2020 DBRS Morningstar Balloon LTV (%) This loan is secured by the borrower’s fee-simple interest in the Bravern Office 37.7 Commons, two towers totaling 749,694 sf of Class A office space in downtown Bellevue, DBRS Morningstar Washington. Bravern Building One (Tower 1) is 13 stories and Bravern Building Two Property Type (Tower 2) is 23 stories. At Level 2, the in-line retail steps back providing an exterior Office overlook plaza which connects the two office towers. The towers development was DBRS Moringstar Property Quality completed in 2009. The property is located along I-405 on the intersection of NE 8th Above Average Street and 112th Avenue NE in Bellevue. Debt Stack ($ Millions) Trust Balance The Property consists of the fee-simple interest in three of the six condominium units 75.0 comprising the condominium known as The Bravern. The three condominium units Pari Passu that make up the Property include Office Tower Unit One, Office Tower Unit Two, and 153.0 Garage Unit. In addition to the units which comprise the Property, The Bravern also B-Note includes the following three other condominium units, which are not collateral for the 76.0 Loan: Retail Unit, Residential Tower Unit North, and Residential Tower Unit South. Mezz 0.0 Whole-loan proceeds of $304.0 million and $301.9 million of sponsor equity financed Total Debt the $595.7 million purchase price, covered $7.7 million of upfront reserves, and funded 304.0 $2.5 million of closing costs associated with the transaction. The upfront reserves Loan Purpose are dedicated to outstanding TI and bridge rent obligations. The seven-year loan Acquisition is full-term IO and represents an issuance LTV of 37.7% on the A note based on the Equity Contribution/ (Distribution) ($ Millions) November 2019 appraised value of $605.0 million. The $75.0 million trust loan is a 301.9 non-controlling pari passu in a $304.0 million whole loan. The remining $153.0 million of pari passu A notes and $76.0 million of B note debt was securitized in the BAMLL 2020-BOC transaction. This single-tenant office complex is 100.0% leased to Microsoft Corporation (Microsoft) and is Microsoft’s single largest lease commitment in the

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BRAVERN OFFICE COMMONS – BELLEVUE, WASHINGTON

Puget Sound region. The tenant has invested over $181 million ($241 psf ) of its own capital into the property. Microsoft does not have any termination options prior to lease expiry.

TENANT SUMMARY

Investment Lease % of DBRS Base % of Total DBRS Grade? Tenant SF Total NRA (%) Rent PSF ($) Base Rent (%) Expiry (Y/N)

Microsoft Corporation 749,694 100.0 53.60 100.0 8/31/2025 Y

Total/Wtd. Avg. 749,694 100.0 53.60 100.0 8/31/2025 Y

SPONSORSHIP The sponsor for the transaction is QSuper, a superannuation fund in Queensland, Australia. Founded in 1912, QSuper and is a superannuation benefits fund with approximately AUD 113 billion (USD 77.5 billion) in assets under management as of June 30, 2019. The firm provides its services to employees of Queensland Government departments, authorities, and enterprises. The firm invests in public equity, fixed-income markets, cash, and properties in Australia and around the globe. QSuper is based in Brisbane, Australia. Invesco is currently acting as investment advisor on behalf of the Borrower pursuant to an investment advisory and management agreement. Invesco Ltd. (NYSE:IVZ) is an independent investment management firm that manages $1.2 trillion in assets worldwide (as of September 30, 2019).

Property management is provided by an affiliate of the sponsor with a contractual management fee of 1.5% of EGI.

DBRS MORNINGSTAR ANALYSIS SITE INSPECTION SUMMARY DBRS Morningstar toured the interior and exterior of the property on Friday, February 7, 2020, at approximately 9:00 a.m. Based on the site inspection, DBRS Morningstar found the property quality to be Above Average.

The collateral comprises two single-tenant Class A office towers totaling 749,694 sf and a subterranean parking garage containing 3,130 spaces. Located in Bellevue, approximately 10 miles east of Seattle on the east shore of Lake Washington. The property is situated along NE 8th Street and benefits from its proximity to roads serving as primary arteries to the surrounding area, including I-405. The property’s surrounding area is urban, within the Bellevue CBD, and consists of high- density multifamily, high-rise office buildings, and numerous retail developments. The retail component at the base of the Bravern is home to high-end names such as Neiman Marcus, Hermes, and Louis Vuitton. The property is near other similar large single-tenant tech offices, including Salesforce, Concur, and Amazon. With I-405 and I-90 nearby, the property has

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BRAVERN OFFICE COMMONS – BELLEVUE, WASHINGTON

good access to greater Seattle via the freeway system. The East Link light rail, once complete in 2023, will drop off right in front of the Bravern complex and link to Microsoft’s Redmond campus.

Management identified several competitive office properties near the property but described the collateral as having a competitive advantage because of its recent development, abundant parking, and IT infrastructure. Microsoft has been fully occupying the property since competition in 2009. The interior of the space featured grand lobbies with modern lighting and flooring. Most floors entirely featured privacy-glass offices. Each tower has its own subsidized food hall and dining area. Overall, all of the tenant spaces were visually appealing and consistent with a Class A office product. A majority of the offices were occupied at the time of the tour. Microsoft appeared to use all of their respective spaces, and common areas were well maintained.

DBRS MORNINGSTAR NCF SUMMARY NCF ANALYSIS

DBRS Morningstar NCF Sponsor Budget Issuer NCF ($) NCF Variance (%)

GPR ($) 28,329,149 29,736,732 28,329,149 -4.7

Recoveries ($) 10,468,147 10,445,629 10,445,629 0.0

Other Income ($) 7,133,146 7,205,699 7,133,146 -1.0

Vacancy ($) 0 -2,009,118 -2,908,108 44.7

EGI ($) 45,930,442 45,378,942 42,999,815 -5.2

Expenses ($) 10,498,351 10,520,202 10,952,965 4.1

NOI ($) 35,432,091 34,858,740 32,046,850 -8.1

Capex ($) 0 187,424 -1,822,055 -1072.2

TI/LC ($) 0 1,122,150 3,952,353 252.2

NCF ($) 35,432,091 33,549,166 29,916,552 -10.8

The DBRS Morningstar NCF is based on the DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria. The resulting DBRS Morningstar NCF was $29,916,552, representing a -10.8% variance from the Issuer’s NCF of $33,549,166. The primary drivers of the variance include TI/LCs, straight-line rent credit for the tenants in place, and vacancy.

DBRS Morningstar’s TIs were based on comparable recently securitized buildings’ TI assumption of $60 psf for new tenants and $30 psf for renewing tenants, with 10-year lease terms and 70% renewal probability. Although Microsoft received significant TIs from the previous owner and also made its own investments in its spaces, the DBRS Morningstar’s TI assumptions are in line with the market and the competitive set. DBRS Morningstar assumed a vacancy factor of 7.5%, whereas the Issuer assumed a 5.0% vacancy rate. Finally, since Microsoft’s lease expires within the loan term, the lease does not qualify for LTCT treatment, and DBRS Morningstar only gave rent step credit for 12 months. In comparison, the Issuer included the average rent over the entire term of Microsoft’s lease term.

DBRS MORNINGSTAR VIEWPOINT The collateral benefits from its location, its proximity to Seattle and high concentration of large technology companies. Microsoft, which carries a high investment-grade credit rating, is in place through 2025 and has made a significant commitment to the property in terms of capex since 2010, a sign that Microsoft is dedicated to this space. In the event that Microsoft vacates this space, Bellevue is a sought-after area for technology companies given its proximity to Seattle, Redmond, and the east Puget Sound region. The single tenant rolling prior to loan maturity gives the loan an elevated level

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BRAVERN OFFICE COMMONS – BELLEVUE, WASHINGTON

of refinance risk; however, the transaction has a low issuance LTV of 37.7% on the A note. Higher-leveraged loans tend to exhibit higher default frequencies historically. In addition, the area is popular with institutional investors looking for long- term credit-rated technology tenants because of their low risk and high cash flow stability.

DOWNSIDE RISKS – The property exhibits risk from a single tenant with a lease expiring prior to the loan maturity date. This elevates the risk of maturity default. In addition, loans secured by single-tenant properties have been found to have higher loss severities in the event of a default.

STABILIZING FACTORS – The property is Microsoft’s single largest lease commitment in the Puget Sound region and Microsoft has invested over $181 million ($241 psf ) of its own capital into the property, which is a significant commitment to the property and may signal its desire for long-term tenancy. As of loan closing, the borrower contributed $301.9 million of equity in the transaction (50.5% of the total cost). Additionally, the loan has low leverage, as evidenced by a relatively low LTV of 37.7% and loan- to-dark value of 52.3% based on the appraised value of $605.0 million and dark value of $436.3 million, respectively.

February 2020 24 Presale Report | BANK 2020-BNK26

560 Mission Street San Francisco, California

Loan Snapshot Seller BANA Ownership Interest Fee Simple Trust Balance ($ Millions) 70.0 Loan PSF/Unit ($) 449 Percentage of the Pool 5.8 Loan Maturity/ARD December 2029 Amortization COLLATERAL SUMMARY Interest Only DBRS Morningstar Property Type Office Year Built/Renovated 2002 DBRS Morningstar DSCR (x) City, State San Francisco, CA Physical Occupancy (%) 98.4 5.23 DBRS Morningstar LTV (%) Units/SF 668,149 Physical Occupancy Date October 2019 35.6 DBRS Morningstar Balloon The loan is secured by the borrower’s fee simple interest in 560 Mission, a Class A LTV (%) 668,149 sf office building with ground-floor retail located in the Financial District of 35.6 San Francisco. Loan proceeds of $300 million were used to return $295.5 million in DBRS Morningstar Property Type cash equity to the sponsor, cover $2.4 million in closing costs, and fund an upfront TI/ Office LC Reserve of $2.2 million. The trust holds a $70.0 million pari passu piece of the larger DBRS Moringstar whole loan. The ten-year loan term is structured as IO throughout. Property Quality Average 560 Mission was developed by CalPERs in 2002, the largest pension fund in the United Debt Stack ($ Millions) States. The subject is LEED platinum certified and has won several awards for its Trust Balance design, including BOMA Earth Awards in 2010 and 2011. Since 2014, the Sponsor has 70.0 invested a total of $2.5 million to improve the building’s infrastructure and common Pari Passu areas. Improvements include upgrades to the lobby, plaza furniture, restrooms and 230.0 shower areas, and garage and bike area. The sponsor has succeeded in leasing and B-Note re-leasing a combined 90,621 sf of leased space since 2014, securing major tenants such 0.0 as TIAA-CREF (21,661 sf ), Delta Dental (21,698 sf ), and EY (14,525 sf ). Mezz 0.0 Total Debt The collateral benefits from a diversified rent roll with reliable income-producing 300.0 tenants. The subject property is 98.4% leased to 13 tenants that come from a wide array of industries, such as technology, financial services, insurance, law, and consulting. Five Loan Purpose tenants either have investment-grade credit ratings or are ranked b in the AmLaw 100 Recapitalization and occupy approximately 69% of the property’s NRA. The rent roll currently has a Equity Contribution/ (Distribution) ($ Millions) weighted average of 7.0 years remaining for the lease term. The five largest tenants are (295.5) J.P. Morgan (36.6% of NRA), United States’ largest bank as ranked by S&P; EY (18.4% of NRA), one of the United States’ four major accounting firms; TIAA-CREF (18.4% of NRA) a Fortune 100 financial services company; ARUP (7.5% of NRA), a provider of

February 2020 25 Presale Report | BANK 2020-BNK26

560 MISSION – SAN FRANCISCO, CALIFORNIA

management and consulting services; and Seyfarth Shaw (Seyfarth; 7.4% of NRA), an international AmLaw 100 law firm focused on labor and employment law.

TENANT SUMMARY

DBRS % of Total DBRS Morningstar Base Morningstar Base Investment Tenant SF % of Total NRA Rent PSF ($) Rent Lease Expiry Grade? (Y/N)

JP Morgan 246,384 36.6 76.56 36.1 9/30/2025 Y

EY 122,760 18.4 71.04 16.8 12/31/2028 N

TIAA-CREF 64,696 9.7 78.80 9.8 9/30/2027 Y

ARUP 49,832 7.5 74.31 7.2 9/30/2026 Y

Seyfarth Shaw 49,695 7.4 96.28 9.2 9/30/2027 N

Subtotal/Wtd. Avg. 531,316 79.5 77.19 79.2 Various Various

Other Tenants 125,815 18.8 78.49 20.8 Various n/a

Vacant Space 11,018 1.6 n/a n/a n/a n/a

Total/Wtd. Avg. 668,149 100.0 77.49 100.0 Various Various

SPONSORSHIP The Sponsor of the loan is National Office Partners LLC (NOP), a joint venture between CalPERS and CommonWealth Partners, LLC (CWP). CalPERS is the United States’ largest public pension fund with 1.9 million health program participants and $379 billion in assets. CommonWealth Partners is a private Los Angeles-based real estate development firm with a portfolio of over $8 billion in assets. CommonWealth Partners serves as CalPERS dedicated partner for office investments and has completed over 18 transactions as partners. NOP, their joint venture, currently has a portfolio of nine million sf of office space located in six primary coastal markets and valued at over $8 billion.

DBRS MORNINGSTAR ANALYSIS SITE INSPECTION SUMMARY

Based on the site inspection and management tour conducted on the morning of Wednesday, December 18, 2019, DBRS Morningstar found the property quality to be Above Average.

February 2020 26 Presale Report | BANK 2020-BNK26

560 MISSION – SAN FRANCISCO, CALIFORNIA

The property is well-located a block south of Market Street on Mission Street between 1st Street and 2nd Street in San Francisco’s financial district. The Montgomery Bay Area Rapid Transit station is about a three-minute walk north of the property and provides convenient mass transit access. The surrounding area mainly consists of high-rise office buildings with ground-floor retail.

The building’s facade is somewhat unique with dark geometric metal and large panes of glass that allow for ample light throughout the building. The sponsor also owns and maintains a public park adjacent to the building with a water feature and a bamboo garden. The park is quite popular with tenants at lunchtime, especially in the warmer months. The lobby area is modern with high ceilings and features light-colored wood paneling that gives the space a warm feeling without seeming dated.

Tenant spaces were generally modern, with most of the buildouts being relatively recent. Seyfarth is in the process of finishing up a renovation, converting some of their more traditional law-firm style office layout into a more modern configuration. J.P. Morgan’s space was also modern, with typical open-floor-plan desks and executive offices. The space occupied by J.P. Morgan’s private client group was also well appointed, with marble and mahogany finishes and several pieces of famous art. Similarly, the Delta Dental, Nuveen, and EY space was recently built out and featured ample light and open floor plans.

The vacant pre-build space on the second floor is tenant-ready and includes a kitchen area with stainless-steel appliances and concrete floors, along with several glass partitions to create office or conference room space.

The building also features an underground parking garage with secure bike storage (accessible by key card) and electric- vehicle charging. Tenants who bike to work can also take advantage of nicely renovated showers and locker rooms, which are a nice in-building amenity to offer.

Generally, the building is well-maintained and offers its tenants all the modern amenities of most Class A office buildings. The minimal vacant space, inclusive of the prebuild space, is marketable and there didn’t appear to be any obvious reasons why the sponsor should have trouble leasing it.

DBRS MORNINGSTAR NCF SUMMARY NCF ANALYSIS

T-12 DBRS NCF September Morningstar NCF Variance 2016 2017 2018 2019 Issuer NCF ($) (%)

GPR ($) 36,190,949 31,345,165 47,586,908 48,362,119 54,686,071 52,573,894 -3.9

Recoveries ($) 11,308,135 8,261,973 40,660 422,347 229,001 196,163 -14.3

Other Income ($) 2,886,498 2,749,759 1,944,237 2,008,255 2,008,255 2,008,255 0.0

Vacancy ($) 0 0 0 0 -2,185,140 -3,218,973 47.3

EGI ($) 50,385,582 42,356,897 49,571,805 50,792,721 54,738,187 51,559,338 -5.8

Expenses ($) 12,540,816 11,585,462 11,702,280 12,479,248 12,064,089 12,680,230 5.1

NOI ($) 37,844,766 30,771,436 37,869,525 38,313,473 42,674,098 38,879,107 -8.9

Capex ($) 0 0 0 0 133,630 167,037 25.0

TI/LC ($) 0 0 0 0 1,336,298 4,187,815 213.4

NCF ($) 37,844,766 30,771,436 37,869,525 38,313,473 41,204,170 34,524,255 -16.2

February 2020 27 Presale Report | BANK 2020-BNK26

560 MISSION – SAN FRANCISCO, CALIFORNIA

DBRS MORNINGSTAR VIEWPOINT 560 Mission Street is a well-located and almost 100% occupied Class A office building in downtown San Francisco with a strong, well-diversified roster of tenants. The property was developed initially entirely for J.P. Morgan, who ended up not needing the entire building and subsequently sublet some of its space to subtenants under the J.P. Morgan master lease. The next four largest tenants and five of the next six largest were all subtenants with a presence in the building with start dates from 2003 to 2008. The sponsor subsequently converted the subtenants into direct leases with the property throughout 2017 and 2018. Although none of these leases extends past 2028, each tenant has already demonstrated a significant commitment to the building. Given that much of the collateral’s income is generated by tenants that DBRS Morningstar considers investment-grade quality with intermediate and long-term leases, cash flow stability is expected to remain high over the foreseeable future.

There has been an abundance of new office construction in the Financial District in recent years. According to Reis, roughly 2.6 million sf of office space was completed in the South Financial District submarket in 2018, increasing the inventory by 17.5%. Silicon Valley has flourished over the past two decades as the world’s premier technology hub, helping real estate valuations in the Bay Area to increase rapidly. There is risk given that the value of real estate in San Francisco could suffer and increase the leverage of this transaction should the technology or financial services industries contract in an economic downturn, slowing law firm business along with it. However, given the recent slowing of new construction, the stellar quality of the Class A office product, superior amenity offerings and location, DBRS Morningstar believes that there would be high levels of demand for this asset through different real estate cycles, which should limit future downside volatility.

Based on the low DBRS Morningstar LTV of 56.5% and low appraisal LTV of 37.5%, Above Average property quality, and excellent location in a gateway market, DBRS Morningstar considers the credit qualities associated with this loan to be AA.

DOWNSIDE RISKS – J.P. Morgan and EY collectively lease over half of the space at the subject property, and neither have leases that run beyond the loan term. If either tenant failed to renew their lease, the sponsor would need to invest a substantial amount of TI/LC dollars to re-position and re-lease the space. – The loan is full-term IO, providing no reduction in the loan’s basis over the initial loan term.

STABILIZING FACTORS – The transaction is low leverage with an initial LTV of 5.6% based upon the appraised value of approximately $842.0 million. The leverage point is on the low end for recently analyzed office buildings in the San Francisco Bay Area. Further, the building is owned by a joint venture of CalPERS and CommonWealth Partners, both institutional sponsors with extensive experience owning and operating over 9 million sf of Class A office space in primary market locations. – The loan psf of $449 is considered modest for a property of this quality in this excellent location.

February 2020 28 Presale Report | BANK 2020-BNK26

200 West 57th Street New York, New York

Loan Snapshot Seller MSMCH Ownership Interest Fee Simple Trust Balance ($ Millions) 70.0 Loan PSF/Unit ($) 671 Percentage of the Pool 5.8 Loan Maturity/ARD January 2030 Amortization COLLATERAL SUMMARY Interest Only DBRS Morningstar Office Year Built/Renovated 1917/2007-2008 DBRS Morningstar DSCR (x) Property Type 1.93 City, State New York, NY Physical Occupancy (%) 95.1 DBRS Morningstar LTV (%) 62.2 Units/SF 171,395 Physical Occupancy Date November 2019 DBRS Morningstar Balloon LTV (%) The loan is secured by the borrower’s fee simple interest in a 171,395-sf office building 62.2 in Midtown Manhattan at the corner of Seventh Avenue and West 57th Street. The DBRS Morningstar 10-year loan is IO for its full term. The $115.0 million mortgage, along with $35.3 million Property Type of borrower equity, will be used to refinance existing debt of $110.6 million, acquire Office a 49.9% interest in the property from a joint venture partner for $35.2 million, fund DBRS Moringstar Property Quality reserves for outstanding commitments of $2.2 million as well as cover $2.3 million in Average closing costs. The 16-story property was built in 1917 and, from 2007 to 2008, underwent Debt Stack ($ Millions) a renovation and conversion to primarily medical office use. Since acquiring the Trust Balance property for $123.7 million in 2007, the sponsor has invested more than $10.0 million 70.0 in capex. Pari Passu 45.0 B-Note 0.0 Mezz 0.0 Total Debt 115.0 Loan Purpose Recapitalization Equity Contribution/ (Distribution) ($ Millions) 35.3

February 2020 29 Presale Report | BANK 2020-BNK26

200 WEST 57TH STREET – NEW YORK, NEW YORK

TENANT SUMMARY

% of Total % of Total NRA DBRS Base DBRS Base Investment Tenant SF (%) Rent PSF ($) Rent (%) Lease Expiry Grade? (Y/N)

St. Lukes - Roosevelt 35,550 20.7 90.47 21.8 Various N Hospital

Extended Fertility 10,019 5.8 88.58 6.0 Various N

Orthology Inc. 7,030 4.1 74.12 3.5 Various N

Reproductive Medicine 5,242 3.1 81.22 2.9 8/31/2025 N Associates

Cieli Partners L.P. 4,000 2.3 282.45 7.7 8/31/2028 N

Subtotal/Wtd. Avg. 62,779 36.1 99.77 42.0 Various N

Other Tenants 95,630 56.3 88.48 58.0 Various n/a

Vacant Space 12,986 7.6 n/a n/a n/a n/a

Total/Wtd. Avg. 171,395 100 85.73 100 Various Various

The Class B office building was 95.1% occupied by 64 tenants as of the November 2019 rent roll, inclusive of a basement utility space and approximately 9,000 sf of ground-floor retail. The rent roll is granular with only one tenant accounting for more than 6.5% of the NRA. The largest tenant is St. Luke’s – Roosevelt Hospital, which conducts business as Mount Sinai St. Luke’s (St. Luke’s). St. Luke’s occupies 35,550 sf (20.7% of the NRA) on the top two floors of the building. The second largest tenant, Extended Fertility LLC, occupies 10,019 sf (5.8% of the NRA) across the 11th and 12th floors. Cieli Partners, L.P.is the largest retail tenant at the building and operates the Trattoria Dell’Arte restaurant. The 4,000 sf ground- floor restaurant represents 2.3% of the NRA and contributes 7.7% of the DBRS Morningstar Base Rent. Cieli Partners, L.P. leases some additional mezzanine and subterranean storage space, but no rent or revenue is associated with that additional square footage.

SPONSORSHIP The loan sponsor is The Feil Organization, a family-owned real estate investment company based in New York City. The company owns over 24 million sf of commercial property and 5,000 residential units. The guarantor, Jeffrey Feil, reported a net worth of $244.9 million and liquidity of $19.3 million.

February 2020 30 Presale Report | BANK 2020-BNK26

200 WEST 57TH STREET – NEW YORK, NEW YORK

DBRS MORNINGSTAR ANALYSIS SITE INSPECTION SUMMARY DBRS Morningstar toured the interior and exterior of the property on January 24, 2020, at 1:00 p.m. Based on the site inspection, DBRS Morningstar found the property quality to be Average.

This 16-story landmarked building is situated on a busy tourist thoroughfare in Midtown Manhattan, proximate to Central Park, Carnegie Hall, fine dining restaurants, and other office buildings. Public transportation is conveniently located just a few steps away from the N, Q, and R lines of the subway and various bus stops stationed across the street. The corner retail space at the property is occupied by Fresh & Co. on a lease that extends through 2028. FedEx Office and APR 57 occupy ground-floor retail space on West 57th Street while Trattoria Dell’Arte occupies ground-floor space along 7th Avenue.

200 West 57th Street, Rodin Studios, was originally constructed in 1917 for residential use. It was later converted to office space and, after 2007, the owner found significant interest from medical office tenants and subsequently invested capex to secure medical offices. Landmarked in 1988, the building has 171,395 sf of space and is officially classified as a Class B office building with four active retail storefronts at street level.

The lobby of the building had heavy foot traffic, with three elevators servicing 63 tenants. The interior is dated but maintains the original decor, which is elaborate with a painted, vaulted ceiling. The security desk is centered between the two elevator pathways. Security is relatively light with guests simply required to sign in. Entrants accessing the building after business hours and on weekends are logged. The sponsor invested capex of approximately $10 million since 2007. The property representative indicated that an upgrade to the fire systems was completed in 2019, including a new fire pump and full sprinkler coverage. One of the elevator cabs was also replaced at that time and there were some minor building security updates. Additionally, the superintendent has received approvals for some renovations in the hallways for 2020.

The hallways on each floor have working security cameras and are maintained by the building staff. The hallways all have green carpet and green wallpaper, which is showing some wear. The basement floor consists of boilers, storage for tenants, and mechanical and electrical rooms. Upon visual inspection, these rooms appeared organized and well maintained.

At the time of the DBRS Morningstar site inspection, the property was 92.4% physically occupied, with several units under construction in preparation for incoming tenants as well as one tenant expansion. Tenant spaces generally range from a few hundred sf for smaller medical tenants to two full floors for St. Luke’s. St. Luke’s space also has an outdoor terrace on the 16th floor. St. Luke’s has extensively renovated its space as a modern medical clinic and has a connecting stairway between the floors. The individual medical offices range in tenant use from dental practices to plastic surgery and psychiatric

February 2020 31 Presale Report | BANK 2020-BNK26

200 WEST 57TH STREET – NEW YORK, NEW YORK

specialties. All tenant suites have individual restrooms and HVAC units. . The property representative said most tenants will renew upon lease expiry, as it can be costly to relocate equipment and patient records. Some tenants have upsized or downsized space over time as their practices’ needs change; however, they will often remain at the property. When there is a vacant space, the sponsor has an in-house construction team that often breaks down walls and whiteboxes the space for a new tenant. One exception is a vacant former dental office on the 7th floor that the sponsor hopes to backfill with another dental office.

DBRS MORNINGSTAR NCF SUMMARY NCF ANALYSIS

T-12 DBRS NCF September Morningstar Variance 2017 2018 2019 Sponsor Issuer NCF NCF ($) (%)

GPR ($) 11,412,312 11,534,673 11,292,460 13,226,162 14,023,003 13,622,445 -2.9

Recoveries ($) 1,846,001 2,011,963 2,011,195 2,075,668 2,072,069 2,095,192 1.1

Other Income ($) 31,217 28,646 27,266 14,400 14,400 27,266 89.3

Vacancy ($) 0 0 0 -374,549 -961,478 -1,571,764 63.5

EGI ($) 13,289,530 13,575,282 13,330,921 14,941,681 15,147,994 14,173,139 -6.4

Expenses ($) 5,430,733 5,759,005 5,850,837 6,339,351 6,494,957 6,443,577 -0.8

NOI ($) 7,858,797 7,816,277 7,480,084 8,602,330 8,653,037 7,729,562 -10.7

Capex ($) 0 0 0 0 46,388 53,132 14.5

TI/LC ($) 0 0 0 0 671,802 983,178 46.3

NCF ($) 7,858,797 7,816,277 7,480,084 8,602,330 7,934,848 6,693,251 -15.6

The DBRS Morningstar NCF is based on the DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria. The resulting DBRS Morningstar NCF is $6,693,251, which represents a -15.6% variance from the underwritten Issuer figure of $7,934,848. The primary drivers for the variance include vacancy, TI, and rental-rate markdowns.

The resulting DBRS Morningstar vacancy rate was 10.0%, which is above the in-place physical vacancy of 7.6%. The Issuer assumed a vacancy rate of 6.0%, below the in-place level. DBRS Morningstar concluded a weighted-average TI of $71.34 for new leases and $34.55 for new leases, which was consistent with the appraiser’s level of $75.51 for new leases and half for renewals. The TI assumption was also consistent with allowances granted to new tenants at the property. The DBRS Morningstar mark-to-market adjustment was largely attributable to two retail leases in which the in-place leases were significantly higher than the appraiser’s concluded market rent.

DBRS MORNINGSTAR VIEWPOINT DBRS Morningstar expects 200 West 57th street will perform well given its desirable location, granular tenant roster, and specialized medical spaces. Irrespective of its dated interiors, the occupancy rate is on par with the submarket average over the past 10 years and is expected to remain stable. The collateral is leased out to approximately 90% medical office tenants that seek a lower cost of occupancy than traditional office space in Midtown. In additional, the property has less invasive security than in traditional office buildings, allowing the patients at these high-traffic medical offices to access their physicians more easily.

St. Luke’s, which is affiliated with Mount Sinai, an investment-grade entity, occupies 20.7% of the total NRA with leases that expire between 2022 and 2026. St. Luke’s has a fairly busy practice and, given the buildout of the space and its expansions

February 2020 32 Presale Report | BANK 2020-BNK26

200 WEST 57TH STREET – NEW YORK, NEW YORK

at the property, is unlikely to vacate. DBRS Morningstar considers the remaining tenancy to be relatively sticky, given the location of these established practices and the potential cost of relocating medical facilities.

The loan has a DBRS Morningstar Going-In LTV of 62.2%, which is considered to modest and would likely have a lower level of refinance risk.

DOWNSIDE RISKS – The loan is IO for the full 10-year term. Full-term IO loans traditionally exhibit higher refinance risk than amortizing loans. – The property has a dated interior and a lack of amenities, both factors that will likely limit the building’s appeal for traditional office tenants.

STABILIZING FACTORS – The loan’s LTV is a modest 62.2%, and DBRS Morningstar views the granular rent roll and relatively sticky tenancy, as compared with traditional Class B office users, as favorable factors that should contribute to stability in the cash flow. – Despite the dated look and feel, the property has strong appeal with medical office tenants thanks to its affordability, availability of small suites, and the non-invasive security that facilitates patients’ access to the building.

February 2020 33 Presale Report | BANK 2020-BNK26

545 Washington Boulevard Jersey City, New Jersey

Loan Snapshot Seller MSMCH Ownership Interest Fee Simple Trust Balance ($ Millions) 60.0 Loan PSF/Unit ($) 290 Percentage of the Pool 5.0 Loan Maturity/ARD February 2030 Amortization COLLATERAL SUMMARY Interest Only DBRS Morningstar Office Year Built/Renovated 2001/2017-2018 DBRS Morningstar DSCR (x) Property Type 2.50 City, State Jersey City, NJ Physical Occupancy (%) 95.5 DBRS Morningstar LTV (%) 61.4 Units/SF 866,706 Physical Occupancy Date November 2019 DBRS Morningstar Balloon LTV (%) The collateral is secured by the borrower’s fee-simple and leasehold interest in 61.4 545 Washington Boulevard, an 866,706-sf office building located in Jersey City, New DBRS Morningstar Jersey. Loan proceeds of $251.6 million and sponsor’s equity of $153.6 million are Property Type being used to acquire the property for a purchase price of $372.8 million and cover Office $5.5 million of closing costs. The fixed-rate loan has a 10-year term and is fully IO. DBRS Moringstar Property Quality In additional to the $60.0 million that will be securitized in this transaction, there is Average + $50.3 million non-controlling pari passu note that is included in the BBCMS 2020- Debt Stack ($ Millions) C6 trust. The remaining funds of $141.3 million are anticipated to be securitized in Trust Balance future transactions. 60.0 Pari Passu The subject is a 22-story office tower comprising 855,421 sf of Class A office space and 191.6 11,285 sf of ground-floor retail located in the Newport master-planned development on B-Note the Jersey City waterfront. Built in 2001 and renovated in 2017 and 2018, the property 0.0 is 95.5% leased with the two largest tenants Verisk Analytics (Verisk) and JPMorgan Mezz Chase Bank (JPM) accounting for 80.4% of the building NRA. HSBC (8.9% of the 0.0 NRA) and VF Sportswear (4.9% of the NRA) are the other large tenants, but the VF Total Debt Sportswear space was dark as of December 2019. The subject has rights to 128 parking 251.6 spaces in the North Garage located at 561 Washington Boulevard via easements as Loan Purpose well as a partnership interest in the Newport North Garage LP. The property receives Acquisition revenue from the tenants via easements as well as revenue from the partnership. The Equity Contribution/ (Distribution) ($ Millions) limited partnership interest will be included in the collateral. 153.6 Verisk Analytics (NASDAQ: VRSK) is a data analytics provider serving customers around the world in insurance, energy and specialized markets, and financial services. Its business lines include underwriting and rating, claims, catastrophe and weather

February 2020 34 Presale Report | BANK 2020-BNK26

545 WASHINGTON BOULEVARD – JERSEY CITY, NEW JERSEY

risk, natural resources, global risk analytics, environmental health and safety, and commercial banking and finance. Verisk is part of the S&P 500 Index and the Nasdaq-100 index.

With total assets of $2.76 trillion as of Q3 2019, JPM (NYSE: JPM) is the largest bank in the United States and the sixth- largest bank in the world. JPM employs over 250,000 people worldwide in investment banking, financial services for consumers and small businesses, commercial banking, financial transaction processing, and asset management. JPM is a component of the Dow Jones Industrial Average.

HSBC (NYSE: HSBC) is one of the world’s largest banking and financial services organizations. Founded in 1865 in Hong Kong, HSBC operates in 65 countries and has 238,000 employees worldwide. As of September 2019, it had total assets of $2.73 trillion. HSBC’s businesses include commercial banking, retail banking and wealth management, global private banking, and global banking and markets.

TENANT SUMMARY

% of Total % of DBRS UW DBRS UW Investment Total NRA Base Rent Base Rent Lease Grade? Tenant SF (%) PSF ($) (%) Expiry (Y/N)

Verisk Analytics (Insurance Services Office, Inc.) 352,765 40.7 33.54 42.1 12/2033 Y

JPMorgan Chase Bank 343,805 39.7 33.02 40.4 10/2032 Y

HSBC Technology & Services (USA) 77,472 8.9 40.09 11.0 2/2021 Y

VF Sportswear 42,643 4.9 29.95 4.5 2/2025 Y

Newport Restaurant Group (Dorrian's) 4,760 0.5 44.54 0.8 4/2032 N

Subtotal/Wtd. Avg. 258,763 88.1 13.00 100.0 Various Various

Other Tenants 6,525 0.8 52.44 1.2 Various n/a

Vacant Space 38,736 4.5 n/a n/a n/a n/a

Total/Wtd. Avg. 866,706 100.0 32.45 100.0 Various Various

The appraiser identified four office properties in the local submarket that are competitive properties with the subject and analyzed seven comparable leases in these properties. The comparable leases ranged in size from 12,960 sf to 132,000 sf, with base rents from $38.50 psf to $46.00 psf and lease terms from 120 months to 180 months. The appraiser also identified five comparable retail leases across five competitive properties, which ranged in size from 1,300 sf to 3,700 sf, with base rents ranging from $48.00 psf to $67.38 psf, and lease terms from 60 months to 240 months. Based on the lease comparables, the WA in-place gross office rents at the subject are slightly below market. The in-place rents for the retail space, except for the bank space, is generally in line with the comparables.

COMPETITIVE SET

Distance from Year Built/ Avg. Rent Property Location Subject (miles) SF Renovated PSF ($)

70 Hudson St Jersey City, NJ 1.1 431,438 2001 46.00

200 Hudson St Jersey City, NJ 0.7 900,000 1930/1990 40.00

Newport Tower Jersey City, NJ 0.1 1,091,469 1990 38.50

10 Exchange Place Jersey City, NJ 0.9 731,445 1988 39.50

Total/ Wtd. Avg. Comp Set Jersey City, NJ 0.7 3,154,352 1995 40.19

545 Washington Blvd. Jersey City, NJ n/a 866,706 2001/2017-18 32.45

February 2020 35 Presale Report | BANK 2020-BNK26

545 WASHINGTON BOULEVARD – JERSEY CITY, NEW JERSEY

SPONSORSHIP The sponsor for this loan is Harbor Group International (HGI), a global real estate investment and management firm. HGI had a real estate investment portfolio with a gross asset value of more than $9.7 billion as of Q2 2019. HGI invests in and manages diversified property portfolios including office, retail, and multifamily properties. Currently, HGI owns and manages 202 assets worldwide including 33,000 multifamily units, and 3.6 million sf of commercial real estate. The property will be managed by Harbor Group Management Co., LLC (HGMC), an affiliate of the sponsor. HGMC currently manages approximately 30,000 apartment units in 11 states and more than 3.5 million sf of commercial properties in 12 states.

DBRS MORNINGSTAR ANALYSIS SITE INSPECTION SUMMARY DBRS Morningstar toured the interior and exterior of 545 Washington Boulevard on Thursday, December 19, 2019, at 2:00 p.m. Based on the site inspection, DBRS Morningstar found the property quality to be Average +.

The property is located in the Newport master-planned development along the Jersey City waterfront, which consists of 15 high-rise rental buildings and three condominium towers with more than 15,000 residents, eight office towers of over 6 million sf that hold more than 20,000 employees, public space, street retail, and restaurants. It has excellent access to several major highways including I-78, US-1, US-9, and NJ-139, which converge at the Holland Tunnel, one of the main Hudson River crossings to Manhattan and is located a few blocks from the subject. The property also benefits from proximity to an extensive public transport network including the PATH train and NY Waterway Ferry service to Manhattan, NJ Transit System bus service to Manhattan and other parts of New Jersey, and the North/South Light Rail Service for New Jersey — all within walking distance. The property is adjacent to the 1.2 million sf Newport Centre Mall, which provides several retail and food options in addition to the restaurant tenants at the property. The immediate neighborhood is characterized by high-rise apartments and residential condominiums, offices, hotels, and retail strip centers.

The property has good curb appeal but blends into its surroundings because of less-than-prominent signage and similar facades to adjacent buildings. A recently built skybridge connects the property to the neighboring building, 575 Washington Boulevard, which is 100.0% occupied by JPM. The bridge was reportedly constructed by JPM and, per management, is technically part of the 575 Washington building. A surface parking lot with 15 spaces is reserved for Verisk executive parking, and the property has a parking easement for 128 spaces at the parking garage directly behind it.

DBRS Morningstar visited office space occupied by Verisk, JPM, and HSBC; space leased to VF Sportswear, which was dark; and the vacant office space. All the currently occupied office space featured typical open plan layouts with closed offices and conference rooms in the interior core. The Verisk space includes a cafeteria, a fitness/yoga room, and numerous

February 2020 36 Presale Report | BANK 2020-BNK26

545 WASHINGTON BOULEVARD – JERSEY CITY, NEW JERSEY

break-out rooms used as collaborative work spaces. According to management Verisk has renovated all its space except on the 21st floor. This space, and the vacant space on the 11th floor previously leased to HSBC, featured older layouts with cubicles rather than open work stations. Management indicated that Verisk has a right of first offer on the 11th floor space, which they must exercise by April 2020, and ownership would begin marketing the space after the Verisk option period was over. The VF Sportswear space on the eighth floor was dark at the time of the site inspection. Per management, the space was occupied by Nautica and, upon its 2018 acquisition by Authentic Brands, the company relocated to New York. The lease is guaranteed by VF Corporation, which is an investment-grade rated company that manufactures and sells apparel, footwear, and accessories for men. It offers fashion sportswear, denim bottoms, sleepwear, and accessories. Other brands in the VF Corporation portfolio include The North Face, Vans and Timberland. JPM occupies the lower third of the building including the annex space on floors two through five. Occupying the podium floors gives JPM the benefit of larger floor plates and the ability to connect to the neighboring 575 Washington Boulevard, which it fully occupies, via a private skybridge. The JPM space was a mix of open-plan office layout and a trading floor type layout. Management explained that JPM used a “hosteling” or “hot-desking” model at its space in the property.

DBRS MORNINGSTAR NCF SUMMARY NCF ANALYSIS

DBRS T-12 November Morningstar NCF 2017 2018 2019 Issuer NCF NCF ($) Variance (%)

GPR ($) 25,997,762 25,521,204 26,044,146 28,227,253 28,540,597 1.1

Recoveries ($) 3,207,532 2,532,145 2,502,662 2,467,803 2,516,760 2.0

Other Income ($) 5,818,330 8,294,434 5,571,786 3,854,453 3,854,453 0.0

Vacancy ($) 0 0 0 0 -2,256,921 -100.0

EGI ($) 35,023,625 36,347,783 34,118,594 34,549,509 32,654,889 -5.5

Expenses ($) 15,195,753 14,521,925 13,706,753 12,284,114 12,545,146 2.1

NOI ($) 19,827,872 21,825,858 20,411,841 22,265,395 20,109,743 -9.7

Capex ($) 0 0 0 173,341 216,677 25.0

TI/LC ($) 0 0 0 408,579 2,216,814 442.6

NCF ($) 19,827,872 21,825,858 20,411,841 21,683,475 17,676,252 -18.5

The DBRS Morningstar NCF is based on the DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria. The resulting DBRS Morningstar Stabilized NCF was $17,676,252, representing a variance of -18.5% from the Issuer’s NCF. The main drivers of the variance were vacancy, TI/LCs, straight-line rent credit, and R&M and real estate tax estimates. DBRS Morningstar gave LTCT credit to Verisk because its lease extends more than three years beyond the loan term, giving it rent step credit through the loan term, assuming a lower vacancy, and excluding it from TI/LC calculations. DBRS Morningstar estimated a total economic vacancy of 5.7% based on a 4.0% vacancy assumption for the Verisk space, 5.0% vacancy for the JPM space, and 10.0% for the remainder of the NRA. DBRS Morningstar’s TI/LC assumptions were generally in line with the appraiser’s TI estimates of $50.00 psf/$25.00 psf and $30.00 psf/$10.00 psf for new/renewing office and retail tenants, respectively, and LC estimates of 7.0%/3.5% and 5.0%/2.5% for new and renewing office and retail tenants, respectively. The issuer also excluded both JPM and Verisk from its TI/LC estimates. In addition, the issuer took straight-line rent credit for JPM, Verisk, Santander Bank, and VF Sportswear where DBRS Morningstar only gave LTCT rent credit to Verisk because the other tenants did not have lease terms longer than three years beyond the loan term. Finally, DBRS Morningstar estimated R&M and real estate tax expenses based on 2018 actual expenses where the issuer relied on the Year 1 pro forma.

February 2020 37 Presale Report | BANK 2020-BNK26

545 WASHINGTON BOULEVARD – JERSEY CITY, NEW JERSEY

DBRS MORNINGSTAR VIEWPOINT 545 Washington benefits from its excellent location on the Jersey City waterfront with an extensive transport network connecting it to Manhattan and proximity to major highways. The property has high-quality tenancy with the entire office rent roll comprising investment-grade rated tenants. The property is the corporate headquarters of Verisk, which also has a right of first offer on the only actual vacant space in the building. Furthermore, in addition to its space at the property, JPM fully occupies the neighboring 807-sf building, which is connected to the subject via a skybridge. The property also benefits from a stable rent roll with only 14.6% cumulative roll during the loan term. Verisk and JPM, which represent 80.4% of the NRA, have lease expirations in 2033 and 2032, respectively. Finally, loan proceeds at $290.00 psf and leverage at 67.5% LTV based on the purchase price are relatively moderate.

DOWNSIDE RISKS – There is significant tenant concentration with two tenants, Verisk and JPM, occupying more than 80.0% of the NRA. – The VF Sportswear space (4.9% of the NRA) is dark.

STABILIZING FACTORS – All the office space tenants at the property, including VF Sportswear, are investment-grade rated. VF Sportswear continues to pay rent for its space and the cumulative rollover during the loan term is 14.6%. The two largest tenants, Verisk and JPM, not only have leases that extend beyond the loan term but also have below-market rents based on the appraiser’s market rent conclusion.

February 2020 38 Presale Report | BANK 2020-BNK26

55 Hudson Yards New York, New York

Loan Snapshot Seller WFB Ownership Interest Fee Simple Trust Balance ($ Millions) 56.7 Loan PSF/Unit ($) 660 Percentage of the Pool 4.7 Loan Maturity/ARD December 2029 Amortization COLLATERAL SUMMARY Interest Only DBRS Morningstar Property Type Office Year Built/Renovated 2018 DBRS Morningstar DSCR (x) City, State New York, NY Physical Occupancy 97.3% 3.54 DBRS Morningstar LTV (%) Units/SF 1,431,212 Physical Occupancy Date November 2019 39.4 DBRS Morningstar Balloon This loan is secured by the borrower’s fee simple interest in 55 Hudson Yards, a 51-story, LTV (%) 1.4 million sf Class A office building built in 2018 in the Hudson Yards development 39.4 on Eleventh Avenue between West 34th and West 35th streets. It is 97.3% occupied DBRS Morningstar Property Type as of the November 19, 2019, rent roll. The sponsor used loan proceeds of $1.25 billion Office ($870 psf ) to recapture $1.1 billion in equity, fund $61.2 million of upfront reserves, DBRS Moringstar and pay approximately $46.8 million in closing costs. In addition to the $56.7 million Property Quality that will be securitized in this transaction, there are $888.3 million of senior pari passu Above Average certificates and $300.0 million of subordinate companion notes. The 10-year, fixed-rate Debt Stack ($ Millions) loan is IO for the entire term and represents a 39.4% LTV based on the appraised value Trust Balance of $2.4 billion and the A note balance. 56.7 Pari Passu The collateral’s location in the Hudson Yards development, which will feature more 888.3 than 18 million sf of commercial and residential space, attracts quality tenants. Demand B-Note drivers in the area include The Shops + Restaurants at Hudson Yards, luxury apartment 300.0 buildings including 15 Hudson Yards, and numerous upcoming projects like an Equinox Mezz Hotel, a 750-seat public school, 14 acres of open space, and an entertainment venue 0.0 known as The Shed. Total Debt 1,245.0 The property also benefits from its proximity to numerous subway and bus transportation Loan Purpose services in the area. In 2015, the MTA completed a 7,000-foot extension of the 7 subway Recapitalization line to include an additional stop at the corner of 34th Street and Eleventh avenue. The 7 Equity Contribution/ (Distribution) ($ Millions) subway line runs east and west through Manhattan and provides access to Queens. The (1,137) property is also approximately 0.6 miles from Penn Station, which provides rail access to New Jersey and Long Island, and is approximately 1 mile from the Port Authority, which provides bus service to the area.

February 2020 39 Presale Report | BANK 2020-BNK26

55 HUDSON YARDS – NEW YORK, NEW YORK

The Hudson Yards development includes several similar Class A office buildings, which has helped establish the area as one of the premiere office markets in New York City. While specific vacancy rates and market rents are hard to determine because of the constant influx of new space and the idiosyncratic demand of such a small area, the appraisal noted that it is normal for tenants to pay upwards of $100 psf for the most desirable space in the new buildings.

TENANT SUMMARY

DBRS Morningstar % of Total Investment % of Base Rent PSF DBRS Morningstar Lease Grade? Tenant SF Total NRA (%) ($) Base Rent (%) Expiry (Y/N)

Point72 332,283 23.2 88.37 21.9 4/30/2034 N

Milbank, Tweed, Hadley & McCloy 287,333 20.1 83.67 18.0 3/31/2034 N

Cooley 146,227 10.2 103.00 11.2 9/30/2039 N

Boies, Schiller & Flexner 110,732 7.7 82.50 6.8 6/30/2035 N

Third Point 89,043 6.2 130.00 8.6 7/31/2029 N

Subtotal/Wtd. Avg. 965,618 67.5 92.35 66.6 Various N

Other Tenants 423824 29.6 105.74 33.4 Various n/a

Vacant Space 41770 2.9 n/a n/a n/a n/a

Total/Wtd. Avg. 1,431,212 100.0 96.44 100.0 Various Various

The property’s tenancy is somewhat granular and is concentrated primarily in the legal and finance industries. Although DBRS Morningstar does not rate the majority of tenants, DBRS Morningstar considers the property to have very high- quality tenants. Many of the tenants are law firms that are listed in the top 100 law firms in the country according to American Lawyer, and the financial firms include Point72 and Third Point, which are both hedge funds with several billion dollars of assets under management. Excluding the top three tenants, which occupy 53.5% of the NRA and represent 51.1% of the DBRS Morningstar base rent, no other tenant occupies more than 7.7% of NRA or represents more than 6.8% of base rent.

As of the November 2019 rent roll, the property’s overall in-place base rent including rent steps was $96.36. This is in line with the appraiser’s market rent, which ranged from $95-$130 depending on the location in the building. Many tenants pay below-market rent because many leases were signed several years ago to ensure stable occupancy when the building was completed.

The loan benefits from long-term leases signed by the tenants. Only 18.0% of the NRA expires during the loan term with the largest percentage expiring in 2029. DBRS Morningstar notes that the sponsor funded an upfront reserve of approximately $34 million to fund tenant specific TI/LCs and approximately $11.4 million to fund free rent and gap rent outstanding.

SPONSORSHIP The loan sponsors are Mitsui Fudosan America Inc., The Related Companies L.P., and OP Olympic Capital Corp (US) Inc. Mitsui Fudosan America Inc. is the U.S. subsidiary of Japan’s largest real estate company, Mitsui Fudosan Co. Ltd. Its U.S. portfolio includes eight office buildings totaling 5.6 million sf, 1,300 residential apartment units, and 753 hotel rooms.

The Related Companies L.P. is a privately-owned real estate company founded by Stephen M. Ross in 1972. It manages a portfolio of assets in Boston, Chicago, Los Angeles, San Francisco, South Florida, Washington D.C., and London.

February 2020 40 Presale Report | BANK 2020-BNK26

55 HUDSON YARDS – NEW YORK, NEW YORK

OP Olympic Capital Corp is an affiliated real estate investment arm of OMERS (DBRS Morningstar: AAA), the defined benefit pension plan for Ontario’s municipal employees and one of Canada’s largest pension plans. DBRS MORNINGSTAR ANALYSIS SITE INSPECTION SUMMARY DBRS Morningstar toured the exterior of 55 Hudson Yards and several interior office units on October 10, 2019. Based on the site inspection, DBRS Morningstar found the property quality to be Excellent.

The property is just outside the main Hudson Yards Development area but is still steps from the 34th Street-Hudson Yards station with access to the 7-subway line. The building is also a half mile west of Penn station, which provides access to NJ Transit, Long Island Railroad, and six subway lines. The subject also has easy access to the Lincoln Tunnel for connection to New Jersey.

The proximity to the Hudson Yards development means there are numerous demand drivers near the property like The Shops + Restaurants at Hudson Yards, a seven-story 676,229 sf high-end mall, 15 Hudson Yards, a 288 unit apartment/ condominium building, and the upcoming 35 Hudson Yards, a mixed-use building with high-end condominiums, a 217- room Equinox hotel, and a 60,000 Equinox fitness center. There are also several high-end office buildings at various stages of completion in the development.

The lobby of the building is impressive and modern and features a striking art piece on loan from one of the buildings tenants. There are several tenants that have dedicated elevator access and fingerprint access. DBRS Morningstar toured the office space of Point72, Millbank, Tweed, Hadley, & McCloy, and Cooley. None of the tenants allowed us to take pictures because of the confidential nature of their businesses.

The office build-outs are high end and feature attractive amenities. The Point72 space had a large balcony with views of the Hudson Yards Development including the Vessel, a 16-story honeycomb-like structure with 2,500 steps for visitors to climb, and of the Hudson Railyard. All the units we saw had a coffee bar and either a full cafeteria or a grab-and-go market. The spaces all had impressive art collections, especially Point72, which was founded by Steve Cohen, a well-known art collector. Many tenants invested significant money in addition to the tenant improvement packages offered by the sponsor. Point72 invested $72.5 million ($218 psf ), Third Point invested $8.0 million ($90 psf ), and Millbank $24.4 million ($85 psf ), among others.

The sponsor’s representative pointed out that many of the tenants are signed to below-market rents and were offered free rent concessions. He noted that this was because many tenants signed well before the building was complete and the free rent was to account for the fact that the tenants would not be taking occupancy until construction was complete. He also

February 2020 41 Presale Report | BANK 2020-BNK26

55 HUDSON YARDS – NEW YORK, NEW YORK

said the sponsor was willing to take below-market rents to guarantee occupancy when the building opened and because many of the tenants signed long-term leases.

DBRS MORNINGSTAR NCF SUMMARY NCF ANALYSIS

DBRS Morningstar NCF Sponsor Budget Issuer NCF NCF ($) Variance (%)

GPR ($) 139,406,486 141,555,536 138,089,304 -2.4

Recoveries ($) 601,963 601,963 2,469,848 310.3

Other Income ($) 7,489,624 12,062,249 8,870,241 -26.5

Vacancy ($) -14,589,112 -5,108,740 -7,060,399 38.2

EGI ($) 132,908,961 149,111,008 142,368,993 -4.5

Expenses ($) 43,553,629 45,210,677 46,346,212 2.5

NOI ($) 89,355,332 103,900,331 96,022,781 -7.6

Capex ($) 0 286,242 357,803 25.0

TI/LC ($) 0 3,578,030 10,659,567 197.9

NCF ($) 89,355,332 100,036,059 85,005,411 -15.0

The DBRS Morningstar NCF is based on the DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria. The resulting DBRS Morningstar NCF was $85,005,411 representing a -15.0% variance to the Issuer’s NCF of $100,036,059. The primary drivers of the variance include TI/LC, vacancy, and management fee. DBRS Morningstar assumed a vacancy of 5.0% which is below the typical DBRS Morningstar minimum vacancy of 10.0% because of the high quality of the rent roll and the length of the leases at the property. Management fee was set to 1.5%, which is in line with how management fees in excess of $1.0 million are treated by DBRS Morningstar. TIs were assumed to be $100 psf for new tenants and $50 psf for renewing tenants, normalized based on a 15-year loan term. This is generally in line with appraisal data and recent leasing at the property. Leasing commissions were analyzed at 5.0% for new and 2.5% for renewing tenants.

DBRS MORNINGSTAR VIEWPOINT The 55 Hudson Yards building offers Class A finishes and superior amenities including dispatch elevators, fingerprint access, floor-to ceiling glass windows, column-free floor plans, and private terraces throughout the office space. The building is leased to a strong roster of tenants concentrated in the finance and legal industries. The largest financial tenants are Point72, a hedge fund founded by Steven A. Cohen with approximately $14.6 billion in assets under management, and Third Point, a hedge fund founded by Daniel S. Loeb in 1995 with approximately $15 billion under management. The law firms at the property are some of the largest law firms on the country that are regularly listed on the top grossing law firms in the country by American Lawyer including Milbank, Tweed, Hadley & McCloy, and Cooley. Other notable tenants include Facebook and Mt. Sinai. The leases signed at the property are on average about $10 psf below the submarket average according to the appraisal and the average remaining lease term is 14.06 years. Additionally, many of the tenants have invested significant money to build out their spaces, which indicates commitment to the property.

The loan has favorable metrics including low leverage and high debt service coverage. The LTV of the debt in this transaction is 39.4% and the debt service coverage based on the DBRS Morningstar NCF is 2.96x. Based on the favorable leverage metrics, strong property quality and excellent tenant roster, DBRS Morningstar considers the credit quality associated with the senior loan to be BBB. In addition to the debt securitized in this transaction, there is an additional $300.0 million in Trust Junior Notes that is subordinate to the portion in BNK24. When considering this additional debt, the metrics are still favorable at 51.9% LTV and 2.25x DSCR.

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55 HUDSON YARDS – NEW YORK, NEW YORK

DBRS Morningstar believes that the property’s location and superior build-out and the continued evolution of Hudson Yards as a live/work/play mixed-used development will provide the building with stable levels of demand through various phases of the real estate cycle. Additionally, the rent roll, which is made up of strong tenants signed to long leases and below-market rents, indicates stability over the loan term.

DOWNSIDE RISKS – The transaction represents a cash out of $1.14 billion for the sponsor. – The loan is recourse to the borrower only, and there is no sperate recourse carve-out guarantor. – There are several planned office developments near the property, which will add a significant amount of supply over the next six years.

STABILIZING FACTORS – The sponsor’s cost basis of $1.3 billion leaves $355.0 million of cash equity behind the senior loan amount of $945.0 million. – Leverage on the senior loan is quite low and sponsorship is considered strong. – The property is new construction and has a superior finishes and amenities. – The property is leased to a strong and diverse roster of tenants that are paying, on average, below market rents with an average remaining lease term of approximately 14 years. Many tenants spent significant money above the tenant improvement packages offered by the landlord to build out their space. In addition, the trust exposure is very low at $660 psf and is well below replacement cost, insulating the loan from the potential negative impact on market fundamentals brought by substantial levels of new supply. Further, the property’s location in the Hudson Yards Development brings several demand drivers including new luxury apartment buildings, and the Shops + Restaurants at Hudson Yards that should attract many new employers to the area to fill the new supply.

February 2020 43 Presale Report | BANK 2020-BNK26

AD1 Global Portfolio Various

Loan Snapshot Seller BANA Ownership Interest Fee Simple Trust Balance ($ Millions) 48.0 Loan PSF/Unit ($) 67,797 Percentage of the Pool 4.0 Loan Maturity/ARD January 2030 Amortization COLLATERAL SUMMARY 30 Years DBRS Morningstar Limited Service Hotel Year Built/Renovated 1970 - 2009/2000-2019 DBRS Morningstar DSCR (x) Property Type 1.89 City, State Various, Various T-12 RevPAR ($) 75.07 DBRS Morningstar LTV (%) 65.8 Keys 708 T-12 RevPAR Date September 2019 DBRS Morningstar Balloon LTV (%) The loan is secured by the borrower’s fee simple and leasehold interest in AD1 Global 53.8 Portfolio, a 708-key hotel portfolio located in the states of Florida, Connecticut, and DBRS Morningstar Georgia. Loan proceeds of $48.0 million along with borrower equity of $6.7 million Property Type are being used to retire existing debt of $36.8 million, acquire the Residence Inn Limited Service Hotel Hartford Avon for a purchase price of $14.1 million, fund a $1.0 million earnout, fund DBRS Moringstar Property Quality an $800,000 property improvement plan (PIP), cover $1.9 million of closing costs, fund Average a $61,063 immediate repair reserve, and fund a $16,554 ground-rent escrow. The ten- Debt Stack ($ Millions) year, fixed-rate loan is structured with an initial 12-month IO period, amortizing on a Trust Balance 30-year schedule thereafter. 48.0 Pari Passu 0.0 B-Note 0.0 Mezz 0.0 Total Debt 48.0 Loan Purpose Refinance/Acquisition Equity Contribution/ (Distribution) ($ Millions) 6.7

February 2020 44 Presale Report | BANK 2020-BNK26

AD1 GLOBAL PORTFOLIO – VARIOUS

PORTFOLIO SUMMARY

Cut-Off Date % of Cut-Off Franchise Ownership Loan Amount Date Loan Year Built/ Expiration Property City, State Interest Keys ($) Amount Renovated Date

Residence Inn Hartford Avon Avon, CT Fee 100 10,051,000 20.9 2004/2018 3/2039

Holiday Inn Melbourne-Viera Melbourne, FL Fee 128 9,247,500 19.3 1991/2018 3/2026 Conference Center

Candlewood Suite Fort Myers Fort Myers, FL Fee 120 8,357,000 17.4 2009/2019 3/2032 Sanibel Gateway

Comfort Inn International Drive1 Orlando, FL Fee 112 7,877,500 16.4 1999/2016 8/2036

Wyndham Garden Tallahassee, FL Leasehold 148 7,672,000 16.0 1970/2018 9/2032 Tallahassee Capitol2

Holiday Inn Savannah South - Savannah, GA Fee 100 4,795,000 10.0 1999/2016 3/2027 I-95 Gateway

Total/Wtd. Avg. Various Various 708 48,000,000 100.0 Various Various

1. Both the franchisor and franchisee have the right to terminate the agreement on the 5th, 10th and 15th anniversaries (August 2021; August 2026 and August 2031) of the opening date provided 12 months notice is provided. 2. Franchisor may terminate the agreement without cause or penalty on the 10th anniversary of the opening date (September 2027) provided franchisor gives franchisee at least 6 months prior written notice.

The properties were constructed between 1970 and 2009, Geography and range in size from 100 keys to 148 keys. Excluding # of % of the Residence Inn Hartford Avon, the sponsor acquired State Properties Pool the hotels between 2016 and 2017 and has invested  CT 1 20.9 approximately $6.8 million of capital across the properties  FL 4 69.1 since acquisition. The loan is structured with an upfront PIP  GA 1 10.0 reserve that will allocate $150,000, $500,000, and $150,000, respectively, to the Wyndham Garden Tallahassee Capitol, The Holiday Inn Savannah South I-195 Gateway, and the Residence Inn Hartford Avon, respectively. The properties included in the portfolio are branded under the Choice, IHG, Marriott, and Wyndham flags. Two of the properties, Holiday Inn Melbourne and Holiday Inn Savannah South, have franchise expiration dates that fall within the loan term in 2026 and 2027, respectively. Additionally, the Wyndham Garden Tallahassee Capitol has a franchise termination option in September 2027, and the Comfort Inn International Drive has franchise termination options in August 2021, August 2026, and August 2031. The Wyndham Garden Tallahassee Capitol is also subject to a long-term ground lease that expires in 2115. The current annual rent payment is approximately $99,000 and will be recalculated in 2024 based on changes in the consumer price index (CPI). The sponsor may release a property from the financing by paying 125.0% of the allocated loan amount, but the portfolio LTV, debt yield, and DSCR must be at least equal to the portfolio metrics immediately prior to the release and at loan closing.

The properties in the portfolio generally outperform their STR competitive sets in terms of occupancy rate penetration, but trail in terms of ADR penetrations. Only the Residence Inn Hartford Avon and Holiday Inn Savannah South – I95 Gateway outperformed their respective competitive sets in the T-12 period ending September 2019. For more information on how the properties compete with their respective competitive sets, please see the charts below.

February 2020 45 Presale Report | BANK 2020-BNK26

AD1 GLOBAL PORTFOLIO – VARIOUS

PORTFOLIO PENETRATION SUMMARY

Occupancy % of Cut-Off Rate ADR RevPAR Date Loan Occupancy Penetration Penetration RevPAR Penetration Property Amount Rate (%) (%) ADR ($) (%) ($) (%)

Residence Inn Hartford Avon 20.9 73.3 117.5 158.80 119.1 116.36 139.9

Holiday Inn Melbourne-Viera 19.3 72.6 91.3 113.34 98.1 82.33 89.5 Conference Center

Candlewood Suite Fort Myers 17.4 68.2 111.8 83.83 76.1 57.15 85.2 Sanibel Gateway

Comfort Inn International Drive 16.4 86.4 109.9 83.29 90.3 72.00 99.2

Wyndham Garden 16.0 61.5 86.2 101.86 93.1 62.64 80.3 Tallahassee Capitol

Holiday Inn Savannah South - 10.0 71.8 110.2 93.83 90.8 67.42 100.1 I-95 Gateway

Total/Wtd. Avg. 100.0 72.4 104.5 109.01 95.9 78.74 100.5

Source: STR Report for the T-12 Period ending September 2019.

SPONSORSHIP The sponsor of the transaction is AD1 Global, a privately held company based in Florida that specializes in the development and management of hotels. The firm’s portfolio totals 21 properties with more than 3,345 rooms located across Georgia, Florida, North Carolina, and South Carolina. As of the publication of this report, the company was, reportedly, also developing an additional seven properties totaling 1,458 keys that would increase its portfolio to 28 properties. Founded in 2008, the sponsor exhibits adequate net worth and liquidity figures relative to the loan size. The properties will be managed by a borrower affiliated management company for a contractual rate of 3.0% of gross revenue.

DBRS MORNINGSTAR ANALYSIS SITE INSPECTION SUMMARY DBRS Morningstar inspected three of the six properties in the portfolio, representing 51.7% of the allocated loan balance. The DBRS Morningstar sample included three properties located in Florida. Based on the DBRS Morningstar site inspections and management meetings held between February 5, 2020, and February 11, 2020, DBRS Morningstar found the portfolio’s property quality overall to be Average.

February 2020 46 Presale Report | BANK 2020-BNK26

AD1 GLOBAL PORTFOLIO – VARIOUS

HOLIDAY INN MELBOURNE-VIERA CONFERENCE CENTER Based on the site inspection and management meeting conducted on February 5, 2020, at 9:30 a.m., DBRS Morningstar found the property quality to be Average.

This limited-service hotel is located at the northwest intersection of I-95 and North Wickham Road, a local commercial thoroughfare, in a infill suburban area of Melbourne, Florida. The property has large signage giving it good visibility to traffic traveling north and south on I-95. The area around the property is a mixture of retail, suburban office, single family home, and competing limited service hotels. There is a Hampton Inn Melbourne-Viera I-95 and The La Quinta Inn & Suites by Wyndham Melbourne Viera (La Quinta Inn & Suites) near the subject. Both of these competitive properties had similar visibility to I-95 and exterior curb appeal compared to the collateral. The general manager of the subject property noted that the room quality and amenities at The La Quinta Inn & Suites were subpar, and the property often offered the lowest daily rates in the area in order to maintain a high occupancy penetration rate. Most of the hotels in Melbourne are located further east of the property closer to the Atlantic Ocean, so the subject does not directly compete with the beach-front hotels. The general manager of the hotel indicated that a lot of the hotel products located near the ocean shore are older and more dated than the subject.

The property’s lobby was modern, clean, and typical of a recently renovated Holiday Inn hotel. The general manager estimated that approximately 40.0% of bookings were derived from Online Travel Agencies (OTAs). The property reportedly attracts a lot of sports teams because of its proximity to United States Specialty Sports Association Space Coast Stadium and a lot of business travelers because of the on-site banquet facility. The banquet facility at the property was modern and benefited from tall ceiling heights with modern recessed lighting and light fixtures. The guestrooms inspected had typical recently renovated Holiday Inn branded layouts, finishes, and hard and soft goods. DBRS Morningstar noted instances of wearing on chairs and minor nicks to hard goods and walls in the guestrooms observed. The general manager of the hotel noted that the only planned capex for the hotel was resurfacing the interior of the pool and resurfacing the parking lots. This work is scheduled to be completed by the end of Q2 2020.

COMFORT INN INTERNATIONAL DRIVE Based on the site inspection and management meeting conducted on February 5, 2020, at 11:45 a.m., DBRS Morningstar found the property quality to be Average.

This limited service hotel property is located west of I-4 and International Drive, a major commercial thoroughfare, in a suburban area of Orlando, Florida. The property is only a 10-minute drive from the Universal Studios Florida theme park (Universal Studios), which is a major tourist attraction and demand driver for the hotel. The hotel offers complementary scheduled shuttle service to Universal Studios, but does not have the early entry and fast-pass benefits that some of its competitors in the market offer. The hotel general manager indicated that the Loew’s Dockside Inn and Suites, a 2,050-key hotel property under construction 1.5 miles north of the subject that is scheduled to open in March 2020, will likely compete with the property due to its budget-friendly daily rates and proximity to Universal Studios. Despite the threat of new supply, the general manager was confident that the expansion of Disney World, Universal Studios, and Orlando International Airport, as well as the success of the Orlando Convention Center, will help the property’s performance going forward. The immediate area surrounding the hotel is a mixture of retail, full-service hotel, and competing limited-service hotel properties. The exterior appearance of the subject was generally in line with the appearance of the other flagged limited-service hotel properties in the area, but superior to the unflagged limited-service and flagged motel properties in the area.

The subject’s lobby was well maintained and benefited from its recent renovation, which was completed in January 2020. The lobby received a new fireplace, front desk, and cabinetry in the breakfast area as part of the renovation, and the lobby renovation has reportedly been well received by guests. The general manager estimated that approximately 70.0% of

February 2020 47 Presale Report | BANK 2020-BNK26

AD1 GLOBAL PORTFOLIO – VARIOUS

bookings at the subject are derived from OTAs, and around 50.0% of the OTA bookings are international travelers from Brazil and the United Kingdom. Rooms with double queen beds are the most popular at the property as a result of high family leisure demand. The rooms inspected had typical layouts and finishes for a Comfort Inn-branded hotel. The general manager noted that the hard goods in the rooms are scheduled to be replaced in 2021, and the linens were recently upgraded in 2019. DBRS Morningstar did note instances of scratching on hard goods in the rooms inspected, but the hotel was well maintained overall.

WYNDHAM GARDEN TALLAHASSEE CAPITOL Based on the site inspection and management meeting conducted on February 11, 2020, at 10:00 a.m., DBRS Morningstar found the property quality to be Average.

The full service hotel property is situated along Apalachee Parkway, a commercial thoroughfare, in an infill location near the Tallahassee CBD. The area immediately surrounding the property is a mixture of office, retail, and residential uses. There are also two elementary schools and a daycare nearby. The property is close to the Florida State Capitol building and Florida State University (FSU). The management noted that the hotel experiences spikes in occupancy when the state legislature is in session, driven by demand from state legislators and lobbyists, and from guests traveling to FSU football, baseball, and basketball games. There were a limited number of vacant rooms the night before the site inspection and, per management, the hotel typically has its highest occupancy rates from Sunday through Wednesday. The general manager identified the Holiday Inn Tallahassee E Capitol - Univ, and the Days Inn by Wyndham Tallahassee-Government Center as the property’s main competitors in the area. The competitive properties were comparable in terms of exterior appearance to the property, but they are situated further from the CBD and Florida State Capitol than the subject.

DBRS Morningstar inspected two king-bed guestrooms. The guestrooms’ finishes, decor, and fixtures were in line with the appearance of the latest standard of renovated Wyndham Garden hotel rooms. The soft and hard goods within the rooms inspected were in nice condition and the bathrooms were clean. Overall, the guestrooms were significantly more impressive than the amenity spaces, though the amenity spaces and common areas should benefit from the upcoming PIP. The wooden vinyl floor and low white acoustic paneled ceiling finishes in the dining area appeared dated, but the area was clean and orderly. A large meeting and conference room was situated behind the dining area, which can be converted to additional breakfast seating when the property is operating at a high occupancy rate. The condition and quality of the fitness center was subpar. Management noted that the sponsor is planning to expand the fitness center and purchase new equipment within the next year. Sponsorship is also planning to resurface the pool and perform minor cosmetic repairs to the pool area, also as part of the PIP.

February 2020 48 Presale Report | BANK 2020-BNK26

AD1 GLOBAL PORTFOLIO – VARIOUS

DBRS MORNINGSTAR NCF SUMMARY NCF ANALYSIS

T-12 DBRS September Sponsor Morningstar NCF 2018 2019 Budget Issuer NCF NCF ($) Variance (%)

Occupancy (%) 69.11 72.62 75.17 72.62 65.65 -9.6

ADR ($) 100.62 103.38 106.36 103.37 103.96 0.6

RevPAR ($) 69.53 75.07 79.94 75.07 68.26 -9.1

Total Departmental Revenue ($) 19,421,381 20,997,948 22,442,147 20,997,948 19,091,961 -9.1

Total Deparmental Expense ($) 5,699,020 6,159,443 6,267,454 6,159,441 5,589,016 -9.3

Total Departmental Profit ($) 13,722,361 14,838,505 16,174,693 14,838,507 13,502,945 -9.0

Total Undistributed Expense ($) 7,080,796 7,455,629 7,615,006 7,456,686 6,796,982 -8.8

Total Fixed Expense ($) 1,042,363 1,122,438 1,330,000 1,286,917 1,286,917 0.0

NOI ($) 5,599,202 6,260,438 7,229,687 6,094,904 5,419,046 -11.1

FF&E ($) 727,092 702,787 897,686 947,049 1,416,396 49.6

NCF ($) 4,872,110 5,557,651 6,332,001 5,147,855 4,002,650 -22.2

The DBRS Morningstar NCF is based on the DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria. The resulting DBRS Morningstar NCF was $4,002,650, a variance of -22.2% from the Issuer’s NCF.

The primary drivers of the variance are occupancy rate and FF&E. The Issuer assumed a occupancy rate based on the T-12 ending September 2019. DBRS Morningstar assumed a portfolio occupancy rate of 65.7% in order to achieve a RevPAR equal to the average of the 2016 and 2017 RevPARs. The DBRS Morningstar RevPAR assumption takes into consideration the cyclical economic peak hospitality performance, the threat of new supply in markets, and rooms being taken offline for renovations at individual properties. While the Issuer assumed a FF&E expense of 4.0% of rooms revenue ($836 per room) for the portfolio, DBRS Morningstar estimated a minimum FF&E expense of $1,800 per room (or 6.9% of rooms revenue). The DBRS Morningstar minimum FF&E estimate accounts for capital costs the properties will have to incur over the course of the loan term to maintain a stabilized RevPAR and comply with the properties’ respective flag quality requirements.

DBRS MORNINGSTAR VIEWPOINT The collateral for the loans are flagged limited hotels properties located near interstates and major economic demand drivers in their respective markets. The appraiser noted that the hotel markets for Wyndham Garden Tallahassee Capitol and the Holiday Inn Savannah South - I-95 Gateway have exhibited upticks in performance in recent years due to the presence of Federal Emergency Management Agency workers following hurricanes. There is term risk associated with hurricanes because of the properties’ locations predominantly in coastal southeastern United States. According to the National Oceanic and Atmospheric Administration, long-term trends show that longer and more intense hurricanes are projected well into the future. The properties are also generally located in suburban and tertiary markets that have low barriers to entry and are reliant on OTAs as a source of revenue. Per the STR report for the T-12 ending September 2019, all of the properties except for the Holiday Inn Melbourne-Viera Conference Center and the Wyndham Garden Tallahassee Capitol, representing 35.2% of the allocated loan amount, exhibited occupancy penetration indexes above 100.0%. However, only the Residence Inn Hartford Avon and the Holiday Inn Savannah South - I-95 Gateway, representing 30.9% of the allocated loan amount, exhibited RevPAR penetrations above 100.0% for the T-12 ending September 2019 due to the low ADR penetration across the portfolio. The portfolio’s DBRS Morningstar LTV of 67.6% is moderately high for a loan with a DBRS Morningstar Market Index of 2 and secured by limited service hotel properties. The loan does benefit from its amortization structure, as the DBRS Morningstar Balloon LTV of 55.1% indicates limited refinance risk.

February 2020 49 Presale Report | BANK 2020-BNK26

AD1 GLOBAL PORTFOLIO – VARIOUS

DOWNSIDE RISKS – The portfolio has four properties; the Holiday Inn Melbourne-Viera Conference Center, the Comfort Inn International Drive, the Wyndham Garden Tallahassee Capitol, and the Holiday Inn Savannah South - I-95 Gateway, representing 61.7% of the loan amount, with franchise expiration or franchise termination options during the loan term.

STABILIZING FACTORS – The sponsor contributed $7.0 million of equity into this transaction, representing 11.5% of the total transaction sources, and the loan converts to full recourse to the guarantors in the event of a loss of franchise flag. Additionally, the loan is structured with a franchise expiration sweep, which will sweep excess cash such that reserves, including the FF&E reserve balance, would equal either (1) the actual PIP amount or (2) $10,000 per room, and would begin 12 months prior to (1) the Wyndham Tallahassee Garden franchise termination option, (2) the Holiday Inn Savannah franchise expiration, (3) the Comfort Inn International Drive franchise termination option, and (4) the Holiday Inn Melbourne Viera Conference Center franchise expiration. The DBRS Morningstar Management Marketing Franchise (MMF) ratio of 17.4% assumed in the NCF analysis is slightly above a typical marketed oriented flagged hotel MMF ratio range of 13.0% to 17.0%.

February 2020 50 Presale Report | BANK 2020-BNK26

1633 Broadway New York, New York

Loan Snapshot Seller WFB Ownership Interest Fee Simple Trust Balance ($ Millions) 40.0 Loan PSF/Unit ($) 391 Percentage of the Pool 3.3 Loan Maturity/ARD December 2029 Amortization COLLATERAL SUMMARY Interest Only DBRS Morningstar Office Year Built/Renovated 1972/2013 DBRS Morningstar DSCR (x) Property Type 3.84 DBRS Morningstar LTV (%) City, State New York, NY Physical Occupancy (%) 98.4 41.7 Units/SF 2,561,512 Physical Occupancy Date October 2019 DBRS Morningstar Balloon LTV (%) 41.7 The $1.3 billion loan is secured by the borrower’s fee interest in a Class A office building DBRS Morningstar at 1633 Broadway in midtown Manhattan. The loan proceeds are being used to refinance Property Type an existing $1.1 billion loan, fund upfront reserves of $36.4 million, cover closing costs Office of $20.8 million, and return $139.9 million of cash equity to the sponsor. The whole loan DBRS Moringstar is split into $1.0 billion of senior notes, of which the trust has a $40.0 million pari passu Property Quality Above Average piece, and $249.0 million of junior notes. All the junior notes and $1.0 million of the senior notes are included in the BWAY Trust 2019-1633 transaction. Debt Stack ($ Millions) Trust Balance The property houses major financial, communications, and entertainment companies 40.0 on long-term leases typically from 10 years to more than 20 years. The property serves Pari Passu ($) 961.0 as the headquarters or a major presence for tenants such as Allianz Global Investors, B-Note Warner Music Group, Morgan Stanley, Showtime Networks Inc., New Mountain 249.0 Capital, Paramount Group Inc., Charter Communications, Inc., and law firms. Office Mezz tenants compose 88% of the rentable area, and retail space comprises 9%. The lease 0.0 expiration schedule indicates only 50.6% of the leased NRA, and 47% of the total rent Total Debt expires during the 10-year loan term. 1,250.0 Loan Purpose Retail tenants include two restaurants and TD Bank on the ground floor. Equinox has Refinance a facility below the main lobby that fronts onto an open, below-street-level courtyard Equity Contribution/ that has an entrance to several subway lines. A similar, but smaller below-street-level (Distribution) ($ Millions) retail space known as The Cube is on the northeast corner of the site. Its entry from (139.9) the main plaza is via a descending stairway, and it has hosted a recent pop-up fashion attraction. This space is now vacant.

February 2020 51 Presale Report | BANK 2020-BNK26

1633 BROADWAY – NEW YORK, NEW YORK

TENANT SUMMARY

DBRS Morningstar % of Total DBRS Investment % of Total Base Rent PSF Morningstar Grade? Tenant SF NRA ($) Base Rent Lease Expiry (Y/N)

Allianz Asset Mgmt 320,911 12.5 89.96 16.2 1/31/2031 Y

Morgan Stanley & Co 260,829 10.2 75.15 11.0 3/31/2032 Y

WMG Acquisition Corp 293,888 11.5 64.64 10.7 7/31/2029 N

Showtime Networks Inc 261,196 10.2 62.86 9.2 1/31/2026 Y

Kasowitz Benson Torres 203,394 7.9 72.52 8.3 3/31/2037 N

Subtotal/Wtd. Avg. 1,340,218 52.3 73.60 55.3 Various Various

Other Tenants 1,172,051 45.8 68.00 44.7 Various n/a

Vacant Space 49,243 1.9 n/a n/a n/a n/a

Total/Wtd. Avg. 2,561,512 100.0 69.62 100.0 Various Various

The building also is home to the Circle in the Square Theatre and the Circle in the Square Theatre School, with entry on 50th Street. In addition, part of the collateral is a building adjacent to the main office tower containing a 250-space valet parking garage with a ground-floor entrance and the 1,933-seat Gershwin Theatre above the garage. The Gershwin Theatre is the largest Broadway theater based on seating capacity and has hosted Wicked since 2003.

The property competes with numerous other Class A office buildings of similar vintage in the Westside office submarket as defined by the appraiser. Reis identifies 10 properties built in the 1970s in the Midtown West submarket that make up its competitive set and another 11 office buildings of newer vintage that are direct competitors. The office vacancy rate for the Westside submarket for Q3 2019 was 5.4%, per the appraiser. For the same time period, Reis estimated vacancy was 7.8% for the Midtown West submarket, with 7.2% vacancy for Class A office properties. However, approximately 21.9 million sf of development is scheduled for completion in Manhattan by 2023, and another 12.6 million sf is in the planning stages. DBRS Morningstar believes the new supply in midtown Manhattan, the bulk of which is the midtown Manhattan, particularly in Hudson Yards, could significantly affect the marketability and occupancy of existing buildings in the submarket. Similarly, Reis projects the submarket’s vacancy to increase to 9.4% in 2023.

SPONSORSHIP The loan benefits from experienced and high-quality sponsor Paramount Group, a fully integrated REIT, which has its headquarters in the building in four offices on the 18th totaling approximately 37,000 sf. Established in 1978, Paramount Group, from which the building’s name of Paramount Plaza comes from, has a 10.4 million sf portfolio of Class A office buildings, retail, and debt and equity investments in New York, San Francisco, and Washington, D.C. Paramount Group is listed on the New York Stock Exchange and has a market capitalization of $3.14 billion as of December 31, 2019.

The property manager is an affiliate of Paramount Group. It manages Paramount Group’s entire real estate portfolio.

February 2020 52 Presale Report | BANK 2020-BNK26

1633 BROADWAY – NEW YORK, NEW YORK

DBRS MORNINGSTAR ANALYSIS SITE INSPECTION SUMMARY

DBRS Morningstar toured the interior and exterior of the property on October 22, 2019, at 10:00 a.m. Based on the site inspection, DBRS Morningstar found the property quality to be Average (+).

The collateral comprises a 48-story, 2,500,000-plus sf Class A office tower with a 250-space parking garage. The property, which has received the LEED Gold status, has large floorplates ranging from 37,000 sf to 54,000 sf.

At 1633 Broadway, the property is well located between 50th Street and 51st Street in the northern section of Manhattan’s theater district, which is centrally located within the midtown office market. The property has excellent access to public transportation, as eight subway lines run directly under the property and there are several public bus services in the area. The property is near numerous iconic restaurants and retail sites augmenting the many tourist attractions in Times Square, which is immediately south.

The site tour leaders were members of the property management company and executives of the sponsor. The property manager is an affiliate of the sponsor. DBRS Morningstar toured several tenants’ spaces in the building, which showed the diversity of its tenancy. Several tenants are established companies such as Morgan Stanley, Warner Brothers Music, MongoDB, and New Mountain Capital.

The primary entrance is from Broadway, where the building is set back about 100 feet from the street. The lobby was very active on the day of the site inspection. The front lobby entrance is impressive, with porcelain/marble floors and ceilings approximately 30 feet high. The lobby has revolving and swinging doors that lead to a central 24-hour security desk. Employees use the 38 passenger elevators serving the office tower. Warner Music Group has a dedicated entrance on 50th Street to its offices on six floors totaling nearly 300,000 sf.

Management began the tour on the top two floors, which were being built out for the newly signed lease to a private equity firm. The proposed fit and finishes were on par for Class A properties. The floor design of the space included a spiral staircase connecting the two floors and outdoor space on both floors. In addition, DBRS Morningstar observed the building’s unobstructed views of midtown Manhattan from the top floors. Furthermore, management showed the building’s large and open floorplates of approximately 50,000 sf per floor on all but the lower five floors.

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1633 BROADWAY – NEW YORK, NEW YORK

DBRS Morningstar visited tenant spaces on several floors. All tenant spaces were well designed and varied from traditional office spaces with cubicle layouts to several with an open floor design similar to those in many new technology companies.

DBRS MORNINGSTAR NCF SUMMARY NCF ANALYSIS

DBRS T-12 September Morningstar NCF 2018 2019 Sponsor Budget Issuer NCF NCF ($) Variance (%)

GPR ($) 163,601,792 164,448,541 171,612,721 179,171,300 169,894,462 -5.2

Recoveries ($) 13,952,510 16,874,074 15,267,588 15,267,588 15,267,588 0.0

Other Income ($) 1,664,934 1,437,733 1,437,733 4,317,608 5,411,488 25.3

Vacancy ($) 0 0 0 -8,170,549 -11,736,482 43.6

EGI ($) 179,219,236 182,760,348 188,318,042 190,585,947 178,837,056 -6.2

Expenses ($) 70,120,786 71,951,033 71,435,784 71,435,784 73,118,340 2.4

NOI ($) 109,098,450 110,809,315 116,882,258 119,150,163 105,718,717 -11.3

Capex ($) 0 0 461,072 461,072 631,161 36.9

TI/LC ($) 0 0 0 2,011,364 12,693,675 531.1

NCF ($) 109,098,450 110,809,315 116,421,186 116,677,727 92,393,880 -20.8

The DBRS Morningstar NCF is based on the DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria. The resulting DBRS Morningstar Stabilized NCF was $92,393,880, – down 20.8% from the Issuer’s NCF. The main drivers of the variance are tenant leasing costs, rent steps, management fees, and assumed vacancy.

According to CBRE, the office property is in the Times Square/Westside submarket, which shows a tight vacancy rate of 5.5% for Class A space. Reis shows the Midtown West submarket vacancy at 7.8% for Q3 2019 for all office space in the submarket and 5.5% vacancy for office properties of similar vintage and quality. The property has averaged 5.4% vacancy for the past seven years. Only two years in the past 17 years have had average occupancy dip below 90%. DBRS Morningstar used 6.2% of the gross revenue as its vacancy estimate. This is lower than DBRS Morningstar’s standard 10% for office properties because of the property’s excellent location, historically strong submarket, consistently strong property occupancy, and current physical vacancy of 1.9%. The Issuer assumed a 4.2% vacancy on gross revenue.

DBRS Morningstar did not accept rent steps beyond the first 12 months because none of the investment-grade tenants’ leases extended more than three years beyond the loan term. In addition, DBRS Morningstar’s calculation of TI/LCs exceeded that of the Issuer. DBRS Morningstar concluded to an average of $75 psf for new leases and $38 psf for renewal leases and a 65% renewal percentage on a normalized basis.

DBRS Morningstar concluded to operating expenses that closely tracked the in-place amount and the T-12 ended September 2019 amount except for management fees. DBRS Morningstar assumed the management fee was 1.5% of the EGI as opposed to the Issuer capping fees at $1.0 million, or 0.5% of the EGI.

DBRS MORNINGSTAR VIEWPOINT DBRS Morningstar believes that the office building will perform well given its desirable location in midtown Manhattan a few blocks north of Times Square and midway between Grand Central Terminal and Columbus Circle. Regardless of its age of nearly 50 years, the property has kept high institutional standards comparable to other Class A space within the submarket thanks to its most recent renovation in 1989 and more recent tenant fit-outs. The quality tenant list includes

February 2020 54 Presale Report | BANK 2020-BNK26

1633 BROADWAY – NEW YORK, NEW YORK

seven credit rated tenants, representing 56.8% of the NRA and 60.9% of the total projected rent. Four tenants, representing 37% of the total space, have investment-grade ratings. Most leases are long term, resulting in consistently high occupancy and low turnover during the loan term.

The area is densely developed with office buildings of similar and lesser quality. Local commercial offerings on the nearby avenues and cross streets provide desirable entertainment and shopping venues and numerous eating establishments including several highly rated restaurants. The property is easily assessible by subway and surface transportation. For all these reasons plus the strong sponsorship, DBRS Morningstar believes the loan will perform up to its expectation and pay as agreed during the loan term and is capable of a refinance takeout at the end of the loan term.

Because of the low DBRS Morningstar LTV of 68.2% based on a 6.50% capitalization rate and 41.7% appraisal LTV, the property’s excellent location in a gateway market, and the long-term owner, DBRS Morningstar considers the credit qualities associated with the senior notes to be A (low).

DOWNSIDE RISKS – The office property, built in 1971 and renovated in 1989 (30 years ago), is competing with recently constructed and under construction office properties with substantial modern amenities and features. – The loan has a 10-year, full-term, IO debt payment structure, which increases the risk of maturity loan default because there is no amortization. – The lease expiration schedule indicates that 64.4% of the leased NRA expires before and just after loan maturity with Allianz, representing 15.5% of NRA, expiring in 2031. The loan does not provide for any tenant specific springing re-leasing reserve.

STABILIZING FACTORS – DBRS Morningstar noted no deferred maintenance at the time of the site visit, and the property condition report confirmed minimal immediate repairs with future needs amounting to $0.20 psf per year on an inflated basis. In addition, new properties are commanding substantial rent premiums over the 1633 Broadway, which means they are not directly competitive. – The tower’s floors, capable of an open, unobstructed floorplan, belie the dark and tired main lobby, which could be a deterrent to future competitive leasing. – The senior notes have a low LTV of 41.7% based on the as-is appraised value, and the trust exposure at $391 psf is extremely attractive. – DBRS Morningstar considers the tenant rent roll to be relatively granular as Allianz is the largest tenant at just 15.5% of NRA. There is an ongoing TI/LC reserve capped at $5.1 million. DBRS Morningstar views the property’s overall rent as below current market rates for similar properties.

February 2020 55 Presale Report | BANK 2020-BNK26

Bellagio Hotel and Casino Las Vegas, Nevada

Loan Snapshot Seller MSMCH Ownership Interest Fee/Leasehold Trust Balance ($ Millions) 35.0 Loan PSF/Unit ($) 426,189 Percentage of the Pool 2.9 Loan Maturity/ARD December 2029 Amortization COLLATERAL SUMMARY Interest Only DBRS Morningstar Property Type Full-Service Hotel Year Built/Renovated 1997/2019 DBRS Morningstar DSCR (x) City, State Las Vegas, NV T-12 RevPar ($) 267.18 8.42 DBRS Morningstar LTV (%) Units/SF 3,933 T-12 RevPar Date September 2019 39.3 DBRS Morningstar Balloon This loan is secured by the borrower’s fee simple and leasehold interest in The Bellagio LTV (%) Las Vegas (The Bellagio), a 3,933-room luxury resort and casino located on the Las 39.3 Vegas Strip (the Strip). Whole-loan proceeds of $3.0 billion along with $1.3 billion DBRS Morningstar Property Type of sponsor equity are being used to acquire the previously unencumbered asset for Full Service Hotel approximately $4.3 billion and pay $10.6 million of closing costs. The ten-year whole DBRS Moringstar loan is full-term IO and represents a look-through issuance LTV of 46.3% (70% loan-to Property Quality cost) based on the as-is October 2019 appraised value of $6.5 billion of the combined Excellent real estate and business operations. Debt Stack ($ Millions) Trust Balance The whole mortgage loan is represented by $1.7 billion of senior notes, $650.5 million 35.0 junior A notes, and $683.3 million of junior B notes. The BX Trust 2019-OC11 Pari Passu ($) transaction included $716.0 million of senior notes, $510.7 million of junior A notes, 1,641.2 and $683.3 million of junior B notes. The trust asset is a $35.0 million A-1-C5 junior pari B-Note passu. There are $600 million of senior notes that are expected to be contributed to 1,333.8 future CMBS transactions and $500 million ($360.2 million of senior notes and $139.8 Mezz million of junior A notes) that are expected to be held by an insurance company. The 0.0 Total Debt notes held by the insurance company do not have additional entitlements, rights, or 3,010.0 remedies not given to the holders of the securitized notes of the same priority. The trust exposure is to the senior notes only. Loan Purpose Acquisition The sale-leaseback transaction is a joint venture between Blackstone Real Estate Equity Contribution/ (Distribution) ($ Millions) Income Trust (Blackstone) (95%) and MGM Resorts International (MGM) (5%), 1,251 which is acquiring the property from MGM. Bellagio, LLC, a wholly owned subsidiary of MGM, will lease the property from the joint venture and operate it pursuant to a net lease comprising a 30-year initial term with two 10-year extension options. The lease includes a pledge of all the fixtures and furniture at the Bellagio, including all

February 2020 56 Presale Report | BANK 2020-BNK26

BELLAGIO HOTEL & CASINO – LAS VEGAS, NEVADA

gaming equipment and hotel furniture, fixtures, and equipment, as well as all property-level intellectual property. The borrower will own all fee and leasehold interests (a small portion of the property is ground leased) and all improvements on the site, including the Bellagio Fountains (the Fountains), primary main tower, suite tower, and spa tower. MGM Resorts International will guarantee all of the tenant’s obligations under the lease and any principal losses under the loan.

The Bellagio is subject to a ground lease with an unrelated third party that expires in April 2033 and has two 20-year renewal options. This 0.8-acre parcel is located at the southeast corner of the property and includes the marquee sign as well as the entrance to a walkway leading from the sidewalk along the Strip to the main entrance of the hotel. The current ground rent is $503,703.

In 2018, the Bellagio achieved occupancy, ADR, and RevPAR penetration rates of 102.5%, 99.7%, and 104.9%, respectively, versus its comp set, which includes the Aria Resort & Casino, Wynn/Encore Resort and Casino, Venetian/Palazzo Resort and Casino, Cosmopolitan Resort and Casino, and Caesar’s Palace. The property received significant capital improvements from its prior owner, MGM Resorts, which has invested approximately $372 million ($94,584/key) since 2010, including $165 million ($41,953/key) of room renovations. MGM’s lease includes a minimum annual capital investment requirement of $273 million during the first three years, which it plans to exceed with $359 million of improvements ($91,000/key), approximately $260 million ($66,107/key) of which is allocated to upgrading the 3,933 rooms. Based on the renderings provided by management, the room renovations will bring the hard product in line with newer, modern hotels on the Strip (such as the neighboring Cosmopolitan) and will allow the property to maintain its high-end luxury position.

There are only two hotel and casino projects slated for deliver through 2022, both of which occupy inferior locations and have experienced a long and troubled history. Resorts World Las Vegas is a 3,500 room, 59-story mega resort under construction on the former Stardust Resort and Casino site on the northern part of the Strip, scheduled for completion by December 2020. Genting Group originally announced the project would be completed in 2014, but several legal and funding issues added to what will be a six-year delay in delivery. There may be more delays as a finished design is still being planned. The Drew is a 3,680 room, 75% completed, resort casino to have been delivered to the Strip as the Fontainebleau. Construction began in 2006 but came to a stop in 2009 when the property fell into bankruptcy. On August 29, 2017, the property was purchased, and the new ownership retained experts in structural integrity who determined the subject to be structurally sound. The property is currently scheduled to finish construction in 2021.

COMPETITIVE SET

2018 Occupancy Property Keys Year Built (%) 2018 ADR ($) 2018 RevPAR ($)

Aria Resort and Casino 4,004 2009 90.9 261 237

Wynn Las Vegas/Encore 4,748 2006/2008 87.5 314 274

The Venetian/Palazzo 7,117 1999/2010 91.0 295 268

Cosmopolitan 2,995 2010 95.0 325 309

Caesars Palace Las Vegas 3,976 1966 90.0 220 198

Total/Wtd. Avg. Comp. Set 22,840 2009 90.6 284 257

Bellagio 3,933 1998 94.8 278 264

Source: Appraisal

February 2020 57 Presale Report | BANK 2020-BNK26

BELLAGIO HOTEL & CASINO – LAS VEGAS, NEVADA

SPONSORSHIP

The sponsorship for this transaction is a joint venture STR REPORT SUMMARY between Blackstone Real Estate Investment Trust and Occupancy (%) ADR ($) RevPAR ($) MGM Resorts International. Blackstone is a leading global alternative asset manager. Blackstone’s alternative asset Bellagio 94.9 278.28 264.19 management businesses include the management of private Competitive Set 90.6 283.87 257.11 equity funds, real estate funds, hedge fund solutions, Index (%) 104.7 98.0 102.8 credit-oriented funds, closed-ended mutual funds, and Note: For the period ending December 2018. other investment funds. The Blackstone Real Estate group was established in 1991 and is the largest private equity real estate investment manager in the world. MGM Resorts is a publicly traded global hospitality and casino company with a market cap of $14 billion. MGM owns or operates more than 49,000 rooms and 2.7 million sf of casinos in 30 properties in key markets, such as Macau, Las Vegas, and Atlantic City.

DBRS MORNINGSTAR ANALYSIS SITE INSPECTION SUMMARY DBRS Morningstar toured the Bellagio Las Vegas with members of its management team on October 25, 2019, from 1 p.m. to 5 p.m. and found the property quality to be Excellent.

During the tour, management discussed the history of the asset as well as recent and planned improvements to the hotel, casino, and amenities. All areas of the property were well utilized with numerous patrons in the casino, shops, and restaurants, as well as guests checking into and out of the hotel.

The Bellagio is well located on the west side of the Strip in Las Vegas on a 77-acre site that was originally the Dunes Casino. The property is directly accessible from Las Vegas Boulevard as well as from a secondary entrance on W Flamingo Road. In addition, multiple pedestrian bridges enable foot traffic to flow through the property to the east side of the Strip, the Cosmopolitan and CityCenter to the south and Caesar’s Palace to the north. The Bellagio is most recognizable by its eight- acre man-made lake, which hosts the Fountains, a world-famous water attraction of choreographed lights, water, and music.

The Bellagio consists of 3,933 rooms, suites, and villas located in two towers. The main tower holds 3,005 rooms, was constructed in 1998, and offers excellent views of both the Strip and also the Fountains. The remaining 928 rooms are located in the spa tower, located just south of the main tower, which was constructed in 2004. DBRS Morningstar toured guest rooms in both the main and spa towers, as well as a Presidential Suite, a Chairman’s Suite, and a Villa. The guest rooms, which range in size from 510 sf to 626 sf, were last renovated in 2014 and feature furniture and fixtures that are of

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BELLAGIO HOTEL & CASINO – LAS VEGAS, NEVADA

very good quality for a luxury resort in this service scale, including a flat-panel television, dresser, bedside tables, a desk with a chair, wall sconces, floor lamps, and a lounge chair or loveseat. Bathrooms are finished with porcelain tile flooring and tub/shower surrounds, granite vanity countertops, and wall-mounted lighting fixtures. MGM is planning to invest approximately $260 million ($66,107/key) over the next four years to upgrade the hard and soft goods in all 3,933 rooms, including the suites and villas.

The Presidential and Chairman Suites at The Bellagio measure at just a little over 4,000 sf. Guests enter via a suspended walkway over a reflecting pool. Each suite has two master bedrooms, two-and-a-half bathrooms, a formal dining room with seating for ten, a separate lounge and dining area, floor-to-ceiling windows, and a private solarium with a garden and a fountain. The Presidential Suite has views facing west, with views of the mountains, while the Chairman Suite faces east, over the Strip and the fountains.

The nine estate-style, 6,500-sf, two-bedroom/five-bathroom villas feature an in-suite workout facility, a massage room, a dry sauna, a private hair salon, a private kitchen, a formal dining room, a full bar, a dual fireplace, and a private terrace and garden with a pool and whirlpool. Although the Villas at Bellagio are technically not for rent as they are held for high-roller casino clients, they can be booked on a very limited basis subject to availability. The villas are located in a separate wing of the hotel that requires a special key to enter, ensuring privacy for these guests.

The Bellagio also offers guests 29 distinct food and beverage options, all of which are operated under license agreements with MGM. DBRS Morningstar toured a large portion of these venues with the most notable being Picasso, Spago by Wolfgang Puck (Spago), and Le Cirque. The Michelin-rated Picasso has won the AAA Five Diamond Award every year from 2001 to 2019. Picasso has also won the Forbes Five-Star Award from 2014 to 2019. At Picasso, Executive Chef Julian Serrano serves dishes inspired by the regional cuisine of Spain and France to guests surrounded by approximately $200 million of Pablo Picasso paintings and ceramics. The restaurant also boasts a wine cellar stocked with more than 1,500 selections. The outdoor patio, which is open seasonally, can accommodate up to 56 guests and overlooks the Fountains of Bellagio.

Spago is situated in front in of the fountains and features California cuisine paired with modern technique. In the main dining room, floor-to-ceiling floating glass windows surround the space, offering unobstructed views of the lake. Le Cirque is a perennial Bellagio favorite and has won the AAA Five Diamond Award in every year from 2003 to 2019 and the Forbes Five-Star Award from 2017 to 2019. It offers 70 guests a unique dining experience in an opulent, upscale setting, and features fine French cuisine from chef Alan Mardonovic.

DBRS Morningstar was also able to tour the back of the house and operations for The Fountains, which are consistently ranked as TripAdvisor’s #1 Attraction in Las Vegas. The free fountain show is every 30 minutes from 3 p.m. to 8 p.m. Monday through Friday and every 15 minutes from 8 p.m. to midnight. On Sundays the show starts at 11 a.m. every 30 minutes until 7 p.m., when the show goes on every 15 minutes until midnight. The Fountains are also used for advertising and marketing tie-ins and during 2019 featured themed shows for HBO’s Game of Thrones and NBC’s Friends.

The Fountains are maintained by a 30-person team of engineers, mechanics, and pool specialists, and incorporate a network of pipes with more than 1,200 nozzles that make it possible to stage fountain displays coordinated with more than 4,500 lights. Four types of nozzles are used for the various effects: 208 Oarsmen are jets with a full range of spherical motion, 798 Shooters shoot water upwards, 192 Super Shooters send a water blast as high as 240 feet in the air, and 16 Extreme Shooters send a water blast as high as 460 feet. The Fountains are currently being upgraded with controllable LED lights, which will further enhance the viewing experience.

February 2020 59 Presale Report | BANK 2020-BNK26

BELLAGIO HOTEL & CASINO – LAS VEGAS, NEVADA

DBRS MORNINGSTAR NCF SUMMARY NCF ANALYSIS

T-12 DBRS NCF September Sponsor Issuer Morningstar Variance 2017 2018 2019 Budget NCF NCF ($) (%)

Occupancy (%) 92.86 94.94 94.85 94.85 94.85 92.30 -2.7

ADR ($) 276.24 278.28 281.69 281.69 281.69 278.74 -1.0

RevPAR ($) 256.53 264.19 267.18 267.18 267.18 257.27 -3.7

Total Departmental Revenue ($) 1,365,570,769 1,367,835,267 1,349,062,464 1,349,062,464 1,349,062,464 1,299,065,585 -3.7

Total Deparmental Expense ($) 688,759,286 701,476,631 697,751,759 697,751,759 663,751,759 671,892,756 1.2

Total Departmental Profit ($) 676,811,483 666,358,636 651,310,705 651,310,705 685,310,705 627,172,829 -8.5

Total Undistributed Expense ($) 151,909,284 154,500,208 155,006,785 155,006,785 154,006,785 149,262,162 -3.1

Total Fixed Expense ($) 19,165,965 21,992,386 22,238,605 22,238,605 22,238,605 22,238,605 0.0

NOI ($) 505,736,234 489,866,042 474,065,315 474,065,315 509,065,315 455,672,062 -10.5

FF&E ($) 0 0 0 20,235,937 20,235,937 29,112,131 43.9

NCF ($) 505,736,234 489,866,042 474,065,315 453,829,378 488,829,378 426,559,931 -12.7

The DBRS Morningstar NCF is based on the DBRS Morningstar Commercial Real Estate Property Analysis Criteria. The resulting DBRS Morningstar NCF was $426,559,931, representing a -12.7% variance from the Issuer’s NCF of $488,829,378. The primary drivers of the variance include Occupancy, ADR, and FF&E. DBRS Morningstar assumed an occupancy rate of 92.3%, which is the ten-year minimum for the property, and an ADR of $278.74, which is the previous three-year average. DBRS Morningstar estimated FF&E based on comparable recently securitized hotel-casino properties found on DBRS Viewpoint and gave credit for the significant required capital investment under MGM’s lease. DBRS Morningstar assumed FF&E of 2.2% of revenue compared with the Issuer’s assumption of 1.5%.

DBRS MORNINGSTAR VIEWPOINT DBRS Morningstar has a positive view of the Bellagio and believes its historically strong performance is sustainable in the long term based on the property’s quality, location, amenities, and significant capital improvements.

The Bellagio is a AAA Five Diamond luxury resort and casino that has consistently achieved penetration rates at the top of its comparable set. It was originally constructed in 1988 by Steve Wynn and Mirage Resorts and is regarded at one of the first of the “modern Vegas” hotels. Designed as an homage to the Italian village near Lake Como, the property is instantly recognizable by its world-renowned Fountains situated in front of the hotel. The property offers approximately 155,000 sf of casino space with over 1,800 slot and table gaming units such as blackjack, craps, roulette, baccarat, three card poker, and pai gow. The Bellagio also contains 200,000 sf of meeting and convention space. The property offers parking comprising a total of 6,702 spaces including 4,073 in the employee garage, 2,237 spaces in a guest garage, and 354 in a valet garage.

The Bellagio also benefits greatly from its wide array of food and beverage outlets, luxury retail, and entertainment options. The property features 29 food and beverage outlets, which cater to a wide variety of price points. Restaurants include the Michelin-rated Picasso, Spago, Le Cirque, and Prime Steakhouse, as well as more affordable and family-friendly options such as the Buffet at Bellagio, Noodles, and Sadelle’s Café. The approximately 85,000 sf of retail helps drive traffic to the property and includes 30 retail outlets and luxury brands such as Chanel, Louis Vuitton, Dior, Fendi, Gucci, Harry Winston, and Hermes. Entertainment venues at the Bellagio include the Fountains located in the eight-acre lake on the Las Vegas Strip. These iconic fountains put on a choreographed display of water, lights, and music every evening and are consistently rated as the #1 Landmark in Las Vegas by TripAdvisor. The property is also the permanent home to Cirque du Soleil’s “O”

February 2020 60 Presale Report | BANK 2020-BNK26

BELLAGIO HOTEL & CASINO – LAS VEGAS, NEVADA

aquatic acrobatic theater production. The show has been in residence at since October 1998 and is an additional generator of demand for the casino. The show takes place in, around, and above a 1.5-million-gallon pool of water and features water acts such as synchronized swimming as well as aerial and ground acts. Hyde Bellagio, the 12,000-sf indoor and outdoor nightclub and lounge known for its views of the Bellagio fountains, was closed on July 6, 2019 and is being replaced with a new concept, The Mayfair, which is planned to be a dinner-and-a-show-type supper club with live performances and American cuisine. Approximately $16 million is being invested into the space, which was scheduled to open for New Year’s Eve 2019. Given on the low DBRS Morningstar LTV of 39.3% based on the look-through valuation including business operations, excellent mid-Strip location, strong operator, and sponsorship and iconic status of the subject property itself, DBRS Morningstar considers the credit quality associated with the senior notes to be AAA.

DOWNSIDE RISKS – High Non-Rooms Revenue: Rooms revenue generated just 28.4% of revenue during the T-12 period ending September 2019. Remaining revenue drivers include gaming (29.6%) and F&B (24.7%). Both of these revenue streams are operationally intensive and require significant expertise in their respective markets. – Master Lease Structure: The property will be operated by MGM subject to a 30-year master lease with two ten-year extensions. – Recourse Cap: The guarantor’s liability under the full recourse carve-outs for bankruptcy events is capped at 10.0% of the then outstanding loan balance. Additionally, the Blackstone guarantor is not required to maintain a minimum net worth or liquid assets and full recourse is only triggered by bankruptcy events.

STABILIZING FACTORS – DBRS Morningstar accounted for the high non-room revenue risk by utilizing a capitalization rate of 11% on income attributable to casino operations. With respect to F&B, the associated revenue is well-diversified among approximately 29 different outlets across multiple price points. – The master lease includes a pledge of all the fixtures and furniture at the Bellagio, including all gaming equipment and hotel furniture, fixtures, and equipment, as well as all property-level intellectual property. Using the Year 1 lease rent payment of $245 million, the Bellagio’s EBITDAR covered the rent expense every year since 2008, including during the severe downturn of the Great Recession trough year of 2010. Using the ten-year average lease payment versus the DBRS Morningstar concluded NCF, the coverage ratio would be 1.60x. – While the cap is a material limitation of the powerful economic disincentives that would be contained in a CMBS standard bad boy guaranty structure that has no such cap, though 10% of the initial loan balance is still a very substantial $301 million. In addition, MGM Resorts International is also providing a payment guaranty.

February 2020 61 Presale Report | BANK 2020-BNK26

K Street and F Street Office Portfolio Washington, DC Loan Snapshot Seller BANA Ownership Interest Fee Simple Trust Balance ($ Millions) 31.2 Loan PSF/Unit ($) 250 Percentage of the Pool 2.6 Loan Maturity/ARD March 2030 Amortization Interest Only DBRS Morningstar DSCR (x) COLLATERAL SUMMARY 2.08 DBRS Morningstar 1912-1958 / 1981- Office Year Built/Renovated DBRS Morningstar LTV (%) Property Type 2005 63.4 City, State Washington, D.C. Physical Occupancy (%) 92.0 DBRS Morningstar Balloon LTV (%) Units/SF 124,667 Physical Occupancy Date January 2020 63.4 DBRS Morningstar The loan is secured by the borrower’s fee simple interest in a two building office Property Type portfolio located in Washington, D.C. The sponsor acquired both properties in May Office 2019 for a total purchase price of $48.0 million in an all-cash transaction. Loan proceeds DBRS Moringstar Property Quality of $31.2 million will return $29.3 million of borrower equity and cover $1.5 million in Average closing costs. The 10-year loan is IO throughout. Debt Stack ($ Millions) Trust Balance The collateral consists of two Class B office buildings, 1612 K Street NW and 31.2 1319 F Street NW, totaling 124,667 sf of leasable space. The two buildings had a WA Pari Passu ($) occupancy of 92.0% as of January 1, 2020. The buildings were originally constructed in 0.0 1958 (1612 K Street NW) and 1912 (1319 F Street NW), respectively. 1612 K Street NW, B-Note known as The City Building, comprises 72,356 sf and is approximately 87.0% occupied 0.0 by 25 tenants. 1319 F Street NW, known as The International Office Building, comprises Mezz 52,311 sf and is 99.0% occupied by 19 tenants. Each building has one ground-floor retail 0.0 tenant occupancy. Collectively, the two retail tenants comprise 12,711 sf (10.2% NRA) Total Debt and represent approximately 12.7% of the total DBRS Morningstar Base Rent. 31.2 Loan Purpose Recapitalization Equity Contribution/ (Distribution) ($ Millions) (29.3)

February 2020 62 Presale Report | BANK 2020-BNK26

K STREET AND F STREET OFFICE PORTFOLIO – WASHINGTON, DC

TENANT SUMMARY

DBRS % of Total DBRS Morningstar Base Morningstar Lease Tenant SF % of Total NRA Space Type Rent PSF ($) Base Rent Expiry

First Book 15,696 12.4 Office 40.31 12.7 7/2022

Fed Ex Kinkos 5,197 4.1 Retail 60.58 6.3 10/2028

Proper Ventures,LLC 5,818 4.6 Retail 54.89 6.4 2/2026

Green America 5,763 4.5 Office 41.25 4.8 8/2021

Advantage FCU 5,032 4.0 Office 41.36 4.2 10/2023

Subtotal/Wtd. Avg. 37,506 29.6 Various 45.67 34.4 Various

Other Tenants 79,151 62.4 Various 38.28 60.8 Various

Vacant Space 10,220 8.1 Office n/a n/a n/a

Total/Wtd. Avg. 126,877 100 Various 39.27 100 Various

The portfolio’s tenant base consists of predominately non-profit organizations. The largest tenant, First Book, is an organization focused on providing new books, learning materials, and educational resources to children in need. The tenant occupies 15,696 sf (12.4% of NRA) at the 1319 F Street NW building and accounts for 12.7% of the total DBRS Morningstar Base Rent. No other office tenant in the portfolio accounts for more than 5.0% of either NRA or total DBRS Morningstar Base Rent. Given the short-term nature of leases at the property, 39 of 44 tenants in the portfolio, totaling 80.6% of NRA, are scheduled to roll within the first four years of the loan term. However, the average tenure of tenants at 1612 K Street NW and 1319 F Street NW is approximately 15 years and 10 years, respectively. Additionally, the portfolio has a WA occupancy in excess of 97.1% since 2009.

SPONSORSHIP The loan’s sponsor is Mitchell Modell, the CEO of Modell’s Sporting Goods. Mr. Modell has served as a fundamental component of the retailer’s national growth and expanding footprint. Additionally, Mr. Modell has equity interest totaling approximately $91.1 million across 18 commercial assets with a collective market value of approximately $456.4 million. Mr. Modell also serves as the loan’s guarantor, along with the Trust U/A Sixth Will of Michael Modell. The guarantors reported a combined net worth of $259.4 million and liquidity of $2.7 million, as of December 31, 2019.

February 2020 63 Presale Report | BANK 2020-BNK26

K STREET AND F STREET OFFICE PORTFOLIO – WASHINGTON, DC

DBRS MORNINGSTAR ANALYSIS SITE INSPECTION SUMMARY DBRS Morningstar toured the interior and exterior of the properties on Wednesday, January 29, 2020, at approximately 10:00 a.m. Based on the site inspection, DBRS Morningstar found the property quality of the portfolio buildings to be Average.

The buildings are located within one half-mile of one another in downtown Washington, D.C., and each one is within a few blocks from the White House. The portfolio building’s interiors are generally configured with multi-tenant floors characterized by small suites with simplistic buildouts. These suites are well-positioned to cater to its non-profit tenant base that desires proximity to the White House as it aids in securing ongoing funding from government officials to remain in business. Both buildings demonstrated good accessibility, as the sites are proximate to various transit stations, and the collateral exhibited strong locational attributes desired by the predominately funding-dependent tenant base at an affordable rent slightly below market. Specifically, the properties’ WA base rent of approximately $40 is significantly lower than the submarket average rent of $55.41 psf as of Q4 2019, according to Reis, and the appraiser’s market rent of $42.00 psf. The properties are operated in this untraditional manner with short-term leases at below market rents due to no amenities offered and minimalistic suite buildouts with no TI allowances given for spaces under 2,000 sf since 2018. There are 25 office suites under 2,000 sf between the two buildings, accounting for 30,338 sf (28.0% of total office space).

THE CITY BUILDING (1612 K STREET NW) The property is situated in the Washington, D.C. CBD submarket, approximately three blocks north of the White House. Although the building’s facade was very traditional and curb appeal is not a strong point, it was aesthetically comparable with other office buildings on the block. The building’s main entrance featured an overhanging glass and metal canopy with an exterior Bank of America ATM adjacent to the entryway. Management noted that Bank of America previously occupied ground-floor retail space at the property, but elected to discontinue the branch while maintaining a presence at the location. Currently, the building’s lone ground-floor retail suite is occupied by FedEx Office & Print, who is paying $52.00/sf NNN on a lease running through October 2028. DBRS Morningstar was able to tour the office suites of CAIR Coalition (CAIR), Green America, and Grotheer & Co. CAIR Coalition is the largest tenant at the City Building, occupying 8,388 sf across three separate suites on floors two, three, and four on separate leases that are all coterminous in October 2021. CAIR has occupied the 4,190-sf space on the second floor since 2004, and just recently expanded its footprint in 2019 with the two additional spaces. DBRS Morningstar toured CAIR’s 3,173-sf third-floor space, which was fitted out with private offices and a reception lobby area. CAIR’s third-floor expansion space had updated finishes throughout that were funded with a $9,835 TI allowance ($3.10 psf ) in conjunction with CAIR’s five-year expansion lease. Green America, a tenant since 1994, occupies a 5,763-sf suite on the sixth floor that features a central open room with an adjacent large meeting room, as well as glass-walled offices throughout. Grotheer & Co’s 3,609-sf suite had a very basic buildout consisting primarily of an open

February 2020 64 Presale Report | BANK 2020-BNK26

K STREET AND F STREET OFFICE PORTFOLIO – WASHINGTON, DC

floorplan populated by desks and workstations, and some private offices sprinkled throughout the remainder of the space. Overall, the suite buildouts were rather simplistic, but all observed spaces were in adequate condition and commensurate with comparable Class B office in the market.

INTERNATIONAL OFFICE BUILDING (1319 F STREET NW) The property resides in the East End submarket, approximately two blocks east of the White House. While the 10-story building had a traditional exterior that is comparable with other buildings on its block, the subject’s street presence was enhanced by the building’s lone retail tenant, Proper 21, which is an upscale bar/restaurant featuring a sidewalk patio. DBRS Morningstar was able to tour the suites of the building’s three largest office tenants: First Book, Advantage Federal Credit Union, and The Posse Foundation. First Book is the largest tenant at the building, occupying a total of 15,696 sf across four floors. The tenant’s primary entrance and reception area is located at their 10th-floor suite, and the remainder of their space is spread across suites located directly below on the ninth, eighth, and seventh floors. As all four of First Book’s suites are stacked on top of one another within the building, the tenant’s buildout incorporates a private internal staircase allowing easy access across the suites. This staircase is a unique tenant feature, and its walls are decorated with a continuous mural that spans from the seventh to the 10th floor and features imagery that pays tribute to First Book’s donors. Like the majority of the office space at the property, First Book’s buildout consists primarily of multiple private offices across all of their floors. However, First Book’s space also featured a large conference room that is unique in the submarket for comparable multi-tenant office. Advantage Federal Credit Union occupies a 5,032-sf suite on the fifth floor that was configured with a reception desk area, private offices, and a mid-sized meeting room. Advantage signed a five-year lease renewal in 2018 and received a $26,580 ($5.28 psf ) TI allowance that helped maintain the relatively updated finishes observed throughout their space. The Posse Foundation occupies a 4,012-sf suite on the sixth floor that was improved with a large reception area, private offices, and vibrant colors throughout. Overall, the inspected suites showed well and exhibited signs of updated improvements throughout.

DBRS MORNINGSTAR NCF SUMMARY NCF ANALYSIS

DBRS Morningstar T-12 December 2019 Sponsor Budget Issuer NCF NCF ($) NCF Variance (%)

GPR ($) 4,550,063 4,772,757 5,041,206 5,042,231 0.0

Recoveries ($) 87,993 107,257 104,290 104,290 0.0

Other Income ($) 17,372 14,497 14,498 14,497 0.0

Vacancy ($) 0 0 -415,698 -416,724 0.2

EGI ($) 4,655,428 4,894,511 4,744,296 4,744,294 0.0

Expenses ($) 2,139,223 2,323,745 2,146,598 2,472,831 15.2

NOI ($) 2,516,205 2,570,766 2,597,698 2,271,464 -12.6

Capex ($) 0 0 24,933 31,719 27.2

TI/LC ($) 0 0 186,779 358,411 91.9

NCF ($) 2,516,205 2,570,766 2,385,986 1,881,333 -21.2

February 2020 65 Presale Report | BANK 2020-BNK26

K STREET AND F STREET OFFICE PORTFOLIO – WASHINGTON, DC

per year for 1612 K Street and 1319 F Street, respectively. DBRS Morningstar generally based office TI assumptions on recent leasing at approximately $1.38 psf and $0.98 psf per year, respectively, for 1612 K Street and 1319 F Street, respectively.

DBRS MORNINGSTAR VIEWPOINT The collateral consists of a portfolio of two Class B office buildings totaling 124,677 sf located in downtown Washington, D.C. The sponsor acquired the two properties in an all-cash transaction in May 2019 with the subject loan securing long- term debt for the properties and returning equity of $29.3 million to the sponsor. While the portfolio’s occupancy of 92.0%, as of January 2020, is slightly below the occupancy of approximately 97% at the time of acquisition in May 2019, DBRS Morningstar views this decline as a likely short-term event, and primarily the byproduct of the portfolio’s historically granular rent roll. Although the DBRS Morningstar NCF is based on the actual current economic vacancy, DBRS Morningstar does not anticipate long-term or continued occupancy declines given the properties’ strong market fundamentals and their high historical occupancies. Given the portfolio buildings’ locations, both within blocks of the White House, and their smaller office suites at below market rents, the collateral is well positioned to continue to attract non-profit organizations. Throughout the seller’s ownership of the properties, dating back to 1994, both buildings have operated at a WA occupancy of 95.0% or higher, and a WA occupancy of 97.1% since 2009. This level of occupancy has been achieved through below market rents of approximately $40.31 psf, well below the submarket average rent of $51.74 psf for buildings of similar vintage, according to Reis.

DOWNSIDE RISKS – The rent roll is somewhat concentrated by small non-profit tenants who typically operate on shorter lease terms. As such, rollover risk is elevated, as approximately 80.6% of NRA is scheduled to roll within the first four years of the loan term. – The loan is IO for its entire term.

STABILIZING FACTORS – The average tenure of office tenants across the portfolio is 9.3 years, and in-place tenants representing more than 72% of NRA have renewed their leases at least once. The portfolio has also operated at a WA occupancy upwards of 97.1% since 2009. – The loan has a moderate DBRS Morningstar LTV of approximately 63.4%.

February 2020 66 Presale Report | BANK 2020-BNK26

Marriott Richmond Dual Brand Richmond, Virginia

Loan Snapshot Seller WFB Ownership Interest Fee Simple Trust Balance ($ Millions) 29.9 Loan PSF/Unit ($) 142,381 Percentage of the Pool 2.5 Loan Maturity/ARD March 2030 Amortization COLLATERAL SUMMARY 30 Years DBRS Morningstar Limited Service Hotel Year Built/Renovated 2014 DBRS Morningstar DSCR (x) Property Type 2.73 City, State Richmond, VA T-12 RevPAR ($) 128.42 DBRS Morningstar LTV (%) 53.2 Keys 210 T-12 RevPAR Date December 2019 DBRS Morningstar Balloon LTV (%) The loan is secured by the borrower’s fee simple interest in Marriott Richmond 41.5 Dual Brand, a 210-room dual-branded limited-service hotel in Richmond, Virginia. DBRS Morningstar The 10-year fixed-rate loan will fully amortize over a 30-year schedule. Prior to this Property Type financing, the property was unencumbered; therefore, loan proceeds of $29.9 million Limited Service Hotel will be used to return $29.7 million of existing debt and cover closing costs of DBRS Moringstar Property Quality approximately $211,775. Average + Debt Stack ($ Millions) The sponsor, Apple Hospitality REIT, built the six-story subject hotel in 2014. The Trust Balance property is dual-branded with 135 Courtyard by Marriott rooms and 75 Residence Inn 29.9 by Marriott rooms. The hotel is located in the historic Shockoe Slip on East Cary Street Pari Passu ($) within several demand drivers of downtown Richmond. Property-wide amenities 0.0 offered at the hotel include two F&B outlets, two meeting spaces that comprise 2,862 sf, B-Note a fitness center, and complimentary breakfast. The Courtyard by Marriott houses both 0.0 F&B outlets, which comprise a restaurant named The Bistro and a sundry shop. The Mezz guestroom breakdown for the Courtyard consists of 65 double-queen rooms and 0.0 70 queen rooms. The guestroom breakdown for the Residence Inn consists of 65 studio Total Debt rooms and 10 one-bedroom units. 29.9

Loan Purpose The property has a 20-year franchise agreement with Marriott International, Inc., Recapitalization which does not expire until 2032, two years after loan maturity. Demand segmentation Equity Contribution/ (Distribution) ($ Millions) at the property is split between commercial (40%), meeting (40%), leisure (10%), and (29.7) group (10%). Notable top corporate accounts at the subject include Deloitte, United Airlines, and CoStar Group.

February 2020 67 Presale Report | BANK 2020-BNK26

MARRIOTT RICHMOND DUAL BRAND – RICHMOND, VIRGINIA

The appraisal identified six properties in the local market that compete with the subject property. For more information, please refer to the table below.

COMPETITIVE SET

Year Built/ 2018 2018 2018 Property Keys Renovated Occupancy ADR RevPAR

Homewood Suites by Hilton Richmond Downtown 100 2016 78.0 145.00 113.10

Hampton Inn Richmond Downtown 144 2016 67.0 136.00 91.12

Delta Hotel Richmond Downtown 298 1986 64.0 150.00 96.00

Omni Richmond Hotel 359 1987 60.0 152.00 91.20

Hilton Richmond Downtown 250 2009 68.0 163.00 110.84

Holiday Inn Express Richmond Downtown 100 2000 65.0 136.00 88.40

Total/Wtd. Avg. Comp. Set 257 Various 65.2 150.04 97.79

Courtyard & Residence Inn Richmond - Subject 210 2014 80.3 159.89 128.42

Source: Comp Set data from Appraisal. Subject data from YE 2019 historicals.

SPONSORSHIP The loan’s sponsor and carveout guarantor is Apple Hospitality REIT, a publicly traded REIT that owns 235 hotel properties totaling over 30,000 rooms across the United States and across the Marriott, Hilton, and Hyatt brands. The sponsor reported a $3.7 billion equity market cap in September 2019. The REIT is a repeat sponsor with Wells Fargo, having securitized seven loans since 2012 totaling $144.0 million in proceeds. The property will be managed by White Lodging Services, a third-party manager, for a contractual fee of 3.0%.

DBRS MORNINGSTAR ANALYSIS SITE INSPECTION SUMMARY DBRS Morningstar toured the interior and exterior of the property on February 5, 2020, around 1:00 p.m. Based on the site inspection, DBRS Morningstar found the property quality to be Average (+).

The subject is a 210-key dual-branded hotel located in Richmond, Virginia, in the historic Shockoe Slip district. The subject hotel is conveniently within walking distance various demand drivers in downtown Richmond and well located near other local amenities, retail drivers, and major thoroughfares. The historic neighborhood has seen an urban revival over the while

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MARRIOTT RICHMOND DUAL BRAND – RICHMOND, VIRGINIA

also undergoing historic preservation. The subject is well located near the Virginia State Capitol and the VCU School of Medicine. The hotel is located in the heart of downtown Richmond and enjoys great access near major highways, including I-64, I-95, and I-195, which serve the local area and the state of Virginia. I-95 is a major north-south freeway that leads north toward Washington D.C.

The exterior of the property is constructed of masonry walls with a brown-colored exterior finish. The property’s appearance fits well with the surrounding area and appeared consistent with a recently built franchised hotel. The first floor of both hotels contains the lobby area with the reception, administrative offices, fitness center, business center, and both meeting spaces. The upper floors contain guestrooms and various hotel amenities. The subject hotel features a total of 210 guestrooms split between 65 studios, 10 one-bedroom units, 65 double-queen rooms, and 70 king rooms.

The lobbies of both hotels were found to be spacious and in good condition. The meeting space is also located on the first floor. The hotel contains 2,862 sf of meeting space, which, at the time of inspection, was fully booked with meetings. The hotel’s atrium provides complimentary breakfast. The subject is connected to the Valentine First Freedom Center (FFC), a 2,200-sf museum that commemorates Thomas Jefferson’s Virginia Statute for Religious Freedom. The museum is a public space and includes statues of Thomas Jefferson and James Madison. DBRS Morningstar inspected two rooms at the hotel: a Residence Inn one-bedroom unit and a Courtyard by Marriott double-queen unit. The Residence Inn one-bedroom unit contained a kitchenette with a fridge, microwave, and stovetop typical of an extended stay product. Both rooms were found to be spacious. Overall, the property was found in good condition with no deferred maintenance visible.

DBRS MORNINGSTAR NCF SUMMARY NCF ANALYSIS

DBRS T-12 December Morningstar NCF 2017 2018 2019 Issuer NCF NCF ($) Variance (%)

Occupancy (%) 81.6 79.1 80.3 80.3 75.0 -6.6

ADR ($) 162.17 162.52 159.89 159.89 159.89 0.0

RevPAR ($) 132.37 128.58 128.42 128.42 119.92 -6.6

Total Departmental Revenue ($) 11,202,700 11,153,270 11,113,477 11,180,053 10,439,929 -6.6

Total Deparmental Expense ($) 2,918,333 3,010,487 3,046,319 3,095,161 2,890,260 -6.6

Total Departmental Profit ($) 8,284,367 8,142,783 8,067,158 8,084,892 7,549,668 -6.6

Total Undistributed Expense ($) 2,734,757 2,682,293 2,805,445 2,874,197 2,678,713 -6.8

Total Fixed Expense ($) 427,050 414,100 408,284 416,752 416,752 0.0

NOI ($) 5,122,560 5,046,390 4,853,428 4,793,943 4,454,203 -7.1

FF&E ($) 0 0 0 447,202 417,597 -6.6

NCF ($) 5,122,560 5,046,390 4,853,428 4,346,741 4,036,606 -7.1

The DBRS Morningstar NCF is based on the DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria. The resulting DBRS Morningstar NCF was $4,036,606, a -7.1% variance from the issuer’s NCF. The main driver of the variance is room revenue driven by an occupancy cap of 75.0%. The Issuer applied occupancy and ADR figures of 80.3% and $159.89, respectively, which both reflect the YE 2019 historical figures. DBRS Morningstar capped the occupancy at 75.0% and estimated ADR at the T-12 level of $159.89, which resulted in a RevPAR of $119.92. The occupancy cap took into consideration the limited-service and extended-service nature of the asset and new supply in the market.

February 2020 69 Presale Report | BANK 2020-BNK26

MARRIOTT RICHMOND DUAL BRAND – RICHMOND, VIRGINIA

DBRS MORNINGSTAR VIEWPOINT The subject property is a dual-branded, recently built, limited- and extended-service hotel in downtown Richmond, Virginia. The hotel enjoys an ideal location in the city’s Shockoe Slip district with proximity to local amenities, retail outlets, and major thoroughfares. The property is also well situated near the Virginia State Capitol and the VCU’s School of Medicine, as well as a strong office corridor in Richmond, which has fared well with the subject’s corporate demand which account for approximately 40% of the demand segmentation. Recently constructed by the sponsor in 2014, the hotel has posted stable operating figures with a 80.3% occupancy rate as of the YE 2019 figures and historically has trended in the upper 70% occupancy range, not having dipped below 77% since 2016. The hotel shows average curb appeal with nice exterior, interior, and common areas as well as amenity improvements, which have ultimately made the asset attractive throughout. The STR report noted six hotels that compete with the hotel; however, all of the competitors post weaker occupancy figures compared with the subject. The hotel benefits greatly from the Marriott brand, Marriott Hotels reservation system, and Marriott Bonvoy loyalty program, which help propel strong historical occupancy figures as well as strong RevPAR penetration figures in excess of 100%. The subject loan is an equity recapitalization with which $29.0 million of the $29.9 million loan is being returned to the sponsor. Based on the sponsor’s total cost basis of $36.0 million, the sponsor will still have approximately $6.1 million of cash equity remaining in the subject. In addition, the loan has a low LTV of 53.2%, which will pay down to 41.5% by maturity, significantly reducing refinance risk.

DOWNSIDE RISKS – The appraiser has identified two new hotels in the area, the AC Hotel by Marriott and MOXY by Marriott, that are set to open over the next two years. Additionally, a 127-room, extended-stay Residence Inn is planned in Richmond.

STABILIZING FACTORS – Although the two hotels are expected to open in the next two years, the appraiser notes that they are only considered to be 50% competitive to the subject hotel. More importantly, both hotels are not extended-stay, from which the subject hotel commands about 40% of its demand. The newly planned Residence Inn sits in a different neighborhood of Richmond and sits approximately 4.0 miles to the west of the subject. Additionally, the subject hotel has posted stable historical occupancy figures since it opened in 2014, including a 80.8% occupancy based on the YE 2019 historical figures.

February 2020 70 Presale Report | BANK 2020-BNK26

Steeples Apartments Houston, Texas

Loan Snapshot Seller MSMCH Ownership Interest Fee Simple Trust Balance ($ Millions) 28.3 Loan PSF/Unit ($) 69,193 Percentage of the Pool 2.4 Loan Maturity/ARD January 2030 Amortization COLLATERAL SUMMARY Interest Only DBRS Morningstar Multifamily Year Built/Renovated 1982/2017 DBRS Morningstar DSCR (x) Property Type 1.85 City, State Houston, TX Physical Occupancy (%) 88.8 DBRS Morningstar LTV (%) 69.7 Units/SF 409 Physical Occupancy Date November 2019 DBRS Morningstar Balloon LTV (%) This loan is secured by the borrower’s fee interest in Steeples Apartments, a 409-unit 69.7 garden-style multifamily community located in the Westside neighborhood of Houston, DBRS Morningstar approximately 17 miles west of the downtown area. Originally constructed in 1982 and Property Type most recently renovated in 2017, the property is located in a low-density residential Multifamily area in a pocket of apartment complexes surrounded by single-family homes. Whole DBRS Moringstar Property Quality loan proceeds of $28.3 million refinanced $23.4 million in existing debt on the subject Average - property, funded a $3.5 million cash equity distribution and covered $704,000 in Debt Stack ($ Millions) closing costs. The 10-year loan is IO for the entire term and represents a 69.7% LTV. Trust Balance The sponsor’s reported cost basis in the property is $30.1 million. 28.3 Pari Passu ($) The collateral comprises 36 two-story buildings on a 11.35-acre lot, which includes 0.0 530 parking spaces with a mixture of surface, covered, and garage spaces available. B-Note Common amenities across the property include two outdoor pools, a clubhouse, and a 0.0 gym. The collateral’s unit mix comprises 250 one-bedroom units (with an average unit Mezz size of 654 sf ) and 159 two-bedroom units (with an average unit size of 1,030 sf ). Per the 0.0 November 2019 rent roll, the subject’s one- and two-bedroom units achieved average Total Debt monthly rental rates of $725 and $935 per unit, respectively. Unit amenities include 28.3 granite countertops, stainless-steel appliances, a screened patio or balcony area, and Loan Purpose laminate flooring. None of the units have in-unit washers and dryers, but some of the Refinance competitive properties do offer them. At the time of DBRS Morningstar’s inspection Equity Contribution/ (Distribution) ($ Millions) in January 2020, management indicated that the collateral had an occupancy level (3.5) around 85.0%.

February 2020 71 Presale Report | BANK 2020-BNK26

STEEPLES APARTMENTS – HOUSTON, TEXAS

COMPETITIVE SET

Avg. Rental Distance from Year Built/ Occupancy Rate Per Avg. Unit Property Location Subject (Miles) Units Renovated (%) Unit ($) Size (SF)

The Edison Apartment Homes Houston, TX 0.4 272 1978 96.0 762-940 796

Eden Pointe at Wilcrest Houston, TX 1.2 198 1976 96.0 937-1,445 1,078

The Aubrey Houston, TX 0.3 436 1977 86.0 870-1,515 955

The Abbey At Briar Forest Houston, TX 0.3 680 1977 89.3 750-1,178 849

Total/Wtd. Avg. Comp. Set Houston, TX Various 1,586 Various 90.4 n/a 898

Steeples Apartments - Subject Houston, TX n/a 409 1982/2017 88.5 643-1,040 800

Source: Appraisal, except the Subject figures are based on the rent roll dated December 5, 2019.

The appraiser identified four properties within the local market that compete with the subject. These identified competitive properties ranged in occupancy from 86.0% to 96.0% and were generally constructed between 1976 and 1977, but have received renovations similar to the subject. During the site inspection, management indicated the collateral’s lack of in-unit laundry was a significant competitive disadvantage. Per Reis, the collateral is located within the Briar Forest submarket, which exhibited an average asking rent and vacancy rate of $1,120 and 7.5%, respectively, as of Q4 2019. Reis reported a lower submarket rental rate of $889 for properties of similar vintage to the collateral.

SPONSORSHIP The property’s sponsor, Nitya Capital, LLC, is a privately held investment firm specialized in acquisition and management of opportunistic and value-add multifamily properties. Since inception, Nitya has acquired over 16,300 units and 400,000 sf of commercial office throughout Texas. Nitya has a fully owned and operated property management company, Karya Property Management, which allows for full control and monitoring of on-site activities. Since inception, Karya has grown its portfolio to 16,170 units with 12,303 in the Houston MSA. Karya manages 56 multifamily properties, including 41 within the Houston MSA, with a total asset value of approximately $1.6 billion.

DBRS MORNINGSTAR ANALYSIS SITE INSPECTION SUMMARY DBRS Morningstar toured the interior and exterior of the property on Monday, January 27, 2019, at approximately 10:30 a.m. Based on the site inspection, DBRS Morningstar found the property quality to be Average (-).

February 2020 72 Presale Report | BANK 2020-BNK26

STEEPLES APARTMENTS – HOUSTON, TEXAS

The property is located northeast of the South Kirkwood Road and Waldemar Drive intersection, approximately 17 miles west of the Huston CBD and 35 miles southwest of the George Bush International Airport. Per management, the collateral’s location near Westheimer Road and the Sam Houston and Westpark Tollways is beneficial as these serves as primary commercial corridors to the region, offering a variety of retail, dining, and entertainment options. The collateral’s immediate surrounding area was predominantly suburban low-density residential in nature. The subject is accessible and visible from South Kirkwood Road, Waldemar Drive, and Bentworth Drive; however, it had generally below average curb appeal with multiple signs of deferred maintenance at the time of the DBRS Morningstar inspection, including sidewalks, landscaping, and screen patio doors in some units that appeared to be in need of immediate attention.

Per management, the subject property was about 85.0% occupied at the time of the DBRS Morningstar inspection, and a concession package of one free month on a 12-month lease was being offered. The property has two-story buildings with tan-vinyl siding exterior facades and red-painted brick accents. A row of garages bisects the property into halves with similar layouts, each offering a pool and two laundry facilities. However, there is only one gym for the whole complex and an on-site leasing and management office is located at the center of the complex. There are no other common area amenities. Unit interiors reflected the recent renovations, generally featuring base-level stainless-steel appliances, tub showers, walk-in closets, granite counters, and vinyl flooring. Although the property appeared to be maintained overall, it would benefit from on-going investment from the sponsor to take advantage of the steady demand for workforce housing.

DBRS MORNINGSTAR NCF SUMMARY NCF ANALYSIS

DBRS T-12 October Morningstar NCF Variance 2018 2019 Sponsor Budget Issuer NCF NCF ($) (%)

GPR ($) 3,849,612 3,964,991 4,341,004 3,963,528 3,963,528 0.0

Other Income ($) 416,503 434,305 527,210 434,305 434,305 0.0

Vacancy & -444,580 -620,350 -390,690 -618,886 -618,881 0.0 Concessions ($)

EGI ($) 3,821,535 3,778,947 4,477,524 3,778,947 3,778,952 0.0

Expenses ($) 1,664,878 1,577,830 1,539,469 1,604,885 1,758,434 9.6

NOI ($) 2,156,658 2,201,117 2,938,055 2,174,062 2,020,518 -7.1

Capex ($) 0 0 0 109,203 123,109 12.7

NCF ($) 2,156,658 2,201,117 2,938,055 2,064,859 1,897,409 -8.1

The DBRS Morningstar NCF is based on the DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria. The resulting DBRS Morningstar NCF was $1,897,409, representing a -8.1% variance from the Issuer’s NCF of $2,064,859. The primary drivers of the variance included operating expenses and management fee. DBRS Morningstar based operating expenses on the T-12 level inflated by 3.0% and included an expense plug to achieve a total expense ratio in line with comparable properties.

DBRS MORNINGSTAR VIEWPOINT The collateral for this transaction is generally well located near the Westheimer Road development corridor in a suburban submarket that offers proximity to several regional arterial roadways, and a variety of commercial and retail offerings. Per Reis, the Briar Forest submarket has a minimal supply growth forecast of 0.6% through December 2024, which should lead to lower vacancy. Per management, the collateral has historically operated at about 85.0% occupancy since its acquisition by the sponsor in 2016. The loan was securitized previously in USBB 2012-C4 and was watch-listed in April 2016 for deferred maintenance items. While the sponsor has apparently remedied the most immediate concerns, the property will require

February 2020 73 Presale Report | BANK 2020-BNK26

STEEPLES APARTMENTS – HOUSTON, TEXAS

ongoing investment to remain competitive. However, the property benefits from a locally experienced sponsorship and management team that reported management interest in over 56 multifamily complexes nationally, including 41 multifamily complexes managed with the Houston MSA as of loan closing.

DOWNSIDE RISKS – The loan is structured with a $3.5 million equity distribution to the sponsor, which only leaves $1.8 million in sponsor equity remaining.

STABILIZING FACTORS – With an issuance LTV ratio of 69.7% based on the appraised value, the loan represents relatively moderate leverage. In addition, the DBRS Morningstar break-even occupancy is 65.4%, which is well below the submarket and the property’s historical levels.

February 2020 74 Presale Report | BANK 2020-BNK26

Coral Sky Plaza West Palm Beach, Florida

Loan Snapshot Seller MSMCH Ownership Interest Fee Simple Trust Balance ($ Millions) 26.1 Loan PSF/Unit ($) 112 Percentage of the Pool 2.2 Loan Maturity/ARD February 2030 Amortization COLLATERAL SUMMARY Interest Only DBRS Morningstar Retail Year Built/Renovated 1999-2001 DBRS Morningstar DSCR (x) Property Type 2.47 City, State Royal Palm Beach, FL Physical Occupancy (%) 95.6 DBRS Morningstar LTV (%) 65.6 Units/SF 232,727 Physical Occupancy Date September 2019 DBRS Morningstar Balloon LTV (%) The loan is secured by the borrower’s fee-simple interest in Coral Sky Plaza, a 232,727-sf 65.6 anchored retail complex in West Palm Beach, Florida. Loan proceeds of $26.1 million DBRS Morningstar along with $14.8 million of sponsor equity will be used to purchase the property for a Property Type price of $39.5 million, fund a reserve of $465,735, and cover closing costs of $994,176. Retail The 10-year loan is IO in its entirety. DBRS Moringstar Property Quality Average The anchored retail center was constructed between 1999 and 2001 and includes Debt Stack ($ Millions) two multi-tenant buildings and 1,180 parking spaces situated on a 25.07 acre site. Trust Balance Additionally, the retail center includes three non-collateral retail outparcels, which are 26.1 occupied by a Wendy’s, TGI Fridays, and a gas station. As of the September 16, 2019, Pari Passu ($) rent roll, the collateral was 95.6% leased by 10 tenants. The largest tenant by NRA is 0.0 BJ’s Wholesale (BJ’s; rated B+ by S&P), a national wholesale supplier of electronics, B-Note furniture, fitness, home decor, and grocery products. Sales reported at this location of 0.0 $65.0 million ($613 psf ) are in line with Florida’s state average of $620 psf but less Mezz than the national average of $668 psf. BJ’s recently exercised its first of four five-year 0.0 renewal options in December of 2018, extending its lease through January 31, 2025. Total Debt Ross Dress For Less is the second-largest tenant by NRA at the property and has been a 26.1 tenant since 2001, most recently exercising its second of four five-year renewal options Loan Purpose in August 2015 to extend its lease through January 31, 2022. Reporting January 2019 Acquisition T-12 sales of $9.9 million ($326 psf ), this location outperforms the national average in Equity Contribution/ (Distribution) ($ Millions) terms of store sales ($9.0 million) but underperforms in terms of sales psf ($422). The 14.8 third-largest tenant by NRA is Bed Bath & Beyond, which took occupancy of its space when the property was built in 2001. Buy Buy Baby, at 23,034 sf, and Five Below, at 9,933 sf, round out the top five tenants by NRA, representing a combined 86.7% of the property’s total NRA.

February 2020 75 Presale Report | BANK 2020-BNK26

CORAL SKY PLAZA – WEST PALM BEACH, FLORIDA

The subject has been historically well occupied with an average occupancy rate of 98.1% since 2013 and was previously securitized in 2003 as part of the WBCMT 2003-C6 transaction, having performed as agreed over the 10-year term. Rollover is heavy over the course of the loan but is concentrated in 2022–25 as there are seven leases, representing 88.3% of the DBRS Morningstar gross rent, rolling in those years. Per the September 16, 2019, rent roll, only 4.4% of the total NRA is occupied by tenants with leases extending beyond the loan term. For more information on tenant rent roll, please see the table below.

TENANT SUMMARY

DBRS Morningstar % of Total DBRS Base Rent PSF Morningstar Tenant SF % of Total NRA (%) ($) Base Rent (%) Lease Expiry

BJ'S Wholesale Club 108,532 46.6 10.20 39.3 1/2025

Ross Dress for Less 30,187 13.0 12.50 13.4 1/2022

Bed Bath & Beyond 30,000 12.9 10.75 11.4 1/2022

buybuy BABY 23,034 9.9 10.25 8.4 1/2023

Five Below 9,933 4.3 24.20 8.5 1/2027

Famous Footwear 8,869 3.8 20.00 6.3 7/2021

IHOP Restaurants 4,500 1.9 27.78 4.4 5/2026

CJR Fine Arts 3,875 1.7 27.32 3.8 2/2022

Subtotal/Wtd. Avg. 218,930 94.1 12.29 95.6 Various

Other Tenants 3,560 1.5 35.14 4.4 Various

Vacant Space 10,237 4.4 n/a n/a n/a

Total/Wtd. Avg. 232,727 100.0 12.66 100.0 Various

SPONSORSHIP The loan is sponsored by Kenneth R. Silverman, a commercial real estate owner and investor specializing in property acquisitions and management with other 30 years of experience. Primarily focused on retail properties in South Florida, Mr. Silverman’s portfolio is valued at $65.9 million. Mr. Silverman has served as sponsor and guarantor on two securitized CMBS loans, both of which have performed without any reported issues.

Non-borrower affiliated JLL manages the property for a contractual fee of 3.0% of EGI.

February 2020 76 Presale Report | BANK 2020-BNK26

CORAL SKY PLAZA – WEST PALM BEACH, FLORIDA

DBRS MORNINGSTAR ANALYSIS SITE INSPECTION SUMMARY DBRS Morningstar toured the interior and exterior of the property on Tuesday, February 4, 2020 at 9:00 a.m. Based on the site inspection, DBRS Morningstar found the property quality to be Average.

The property benefits from an infill location just north of the intersection of North State Road 7 and Southern Boulevard, two major thoroughfares in West Palm Beach. The retail center is approximately 12 miles west of Downtown West Palm Beach. The immediate surrounding area consists of retail centers of similar vintage and quality along North State Road 7 to the north and south, light industrial properties to west, and residential subdivisions made up of single family homes to the west. The property’s facade was well maintained and visually appealing, consisting of light beige concrete, blue tile roofs, and white trim and accents. The parking lot and paved surfaces around the property were in good condition, with freshly painted curbs and traffic lines, and with minimal cracks and holes noted. Although the site inspection was not performed during prime business hours, the property’s 1,180 surface parking spaces appeared to be more than sufficient to accommodate large amounts traffic at the subject. A two-lane service road runs along the eastern perimeter of the property providing amble space for large trucks to access the subject’s seven loading docks. There are three outparcels (Wendy’s, TGI Fridays, and Marathon Gas Station) adjacent to the property that are not part of the collateral but are all well maintained and seemed to attract a fair amount of business to the retail center. Landscaping at the subject was noticeably well-maintained and added to the overall atmosphere consisting of palm trees, neatly trimmed hedges, bushes, and flower beds. Multiple large street lights and security cameras were apparent throughout the property.

All of the tenants at the property appeared to be operating under normal business hours and generally busy, given the time of inspection. The retail tenant’s spaces all appeared to be tidy, well stocked, adequately staffed, and overall well maintained. The parcel of small in-line tenants on the southwest corner of the property was receiving a fair amount of foot traffic driven by IHOP during breakfast hours. While the two vacant spaces with frontage to North State Road 7 offer more favorable marketing opportunities than the northward facing space adjacent to IHOP, all three vacant spaces appeared to be in good marketable condition. Overall, the property offered good visibility and accessibility to major roads in the submarket and tenant spaces observed appeared to be on par with their respective chain’s latest buildouts.

February 2020 77 Presale Report | BANK 2020-BNK26

CORAL SKY PLAZA – WEST PALM BEACH, FLORIDA

DBRS MORNINGSTAR NCF SUMMARY NCF ANALYSIS

DBRS T-12 October Sponsor Morningstar NCF Variance 2018 2019 2019 Budget Issuer NCF NCF ($) (%)

GPR ($) 2,986,414 2,988,197 2,955,996 3,198,710 3,237,281 3,143,581 -2.9

Recoveries ($) 1,025,221 992,068 969,658 1,012,590 1,137,739 1,193,161 4.9

Other Income ($) 441 360 2,627 0 0 0 0.0

Vacancy ($) 0 0 0 -195,966 -317,479 -386,042 21.6

EGI ($) 4,012,076 3,980,625 3,928,281 4,015,334 4,057,541 3,950,700 -2.6

Expenses ($) 1,225,988 1,222,252 1,226,747 1,203,113 1,354,011 1,388,452 2.5

NOI ($) 2,786,088 2,758,373 2,701,534 2,812,221 2,703,530 2,562,248 -5.2

Capex ($) 0 0 0 0 37,267 46,545 24.9

TI/LC ($) 0 0 0 0 230,608 230,582 0.0

NCF ($) 2,786,088 2,758,373 2,701,534 2,812,221 2,435,655 2,285,120 -6.2

DBRS Morningstar based its NCF on the DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria. The resulting DBRS Morningstar NCF for the subject was $2,285,120, representing a -6.2% variance from the Issuer’s NCF of $2,435,655.

The primary drivers of the variance include base rent and management fee. DBRS Morningstar used the in-place rent roll with vacant units grossed up at the appraiser’s market rent for each unit type and accepted contractual rent steps through March of 2021. A 4.0% management fee was utilized by DBRS Morningstar where the Issuer concluded to a 3.0% management fee.

DBRS MORNINGSTAR VIEWPOINT The anchored retail center benefits from its high visibility and accessible location to both North State Road 7 and Southern Boulevard in a commercial corridor or West Palm Beach, Florida. The property is surrounded by large national retailers including Walmart, Home Depot, Stop & Shop, and Target, but the subject’s tenant roster includes national tenants of their own, which have been in occupancy since the property was built between 1999 and 2001. The property is anchored by BJ’s, which was in good condition and seemed to be driving traffic throughout the center even given the time of inspection on a Tuesday morning. The property was 95.6% occupied as of the September 16, 2019, rent roll, which outperforms the Reis submarket vacancy of 10.0%. Furthermore, BJ’s has been in occupancy since 1999, having recently executed a five-year renewal option in December of 2018. The loan exhibits a moderate LTV of 65.6% based on a loan amount of $26.1 million and an appraised value of $39.8 million.

DOWNSIDE RISKS – Seven tenants, accounting for 84.9% of the NRA, will roll by 2025, with the anchor tenant (46.6% of NRA) rolling in that same year. – Five tenants have co-tenancy clauses, mostly connected to the major tenants at the property. Tenants with co-tenancy clauses make up 43.8% of the property’s total NRA. – The ten-year loan is fully IO, which elevates refinance risk.

February 2020 78 Presale Report | BANK 2020-BNK26

CORAL SKY PLAZA – WEST PALM BEACH, FLORIDA

STABILIZING FACTORS – The sponsor contributed $14.3 million to the acquisition of the property, indicating strong commitment to the performance of the property. – The property has shown strong historical occupancy levels with anchor tenants in occupancy at the subject since it was constructed in 2001. Moreover, reported tenant sales levels are strong, which is key indicator in a tenant’s ability to renew its lease term. – Real Capital Analytics reports 11 sales on retail centers in the West Palm Beach market in the last 24 months with an average price of $212 psf. This figure is 89.0% above the loan amount of $112 psf.

February 2020 79 Presale Report | BANK 2020-BNK26

Embassy Suites – Charlotte Charlotte, North Carolina

Loan Snapshot Seller BANA Ownership Interest Fee Simple Trust Balance ($ Millions) 25.5 Loan PSF/Unit ($) 93,066 Percentage of the Pool 2.1 Loan Maturity/ARD January 2030 Amortization COLLATERAL SUMMARY Interest Only DBRS MCR Property Limited Service Year Built/Renovated 1989/2016 DBRS Morningstar DSCR (x) Type Hotel 4.96 City, State Charlotte, NC T-12 RevPAR ($) 108.97 DBRS Morningstar LTV (%) 47.2 Keys 274 T-12 RevPAR Date December 2019 DBRS Morningstar Balloon LTV (%) This loan is secured by the borrower’s fee-simple interest in Embassy Suites – 47.2 Charlotte, a 274-key limited service hotel located in the Charlotte I-77 & Southpark DBRS Morningstar submarket, approximately four miles southeast of the Downtown CBD in Charlotte, Property Type North Carolina. The property was originally developed in 1989 and acquired by the Limited Service Hotel sponsor for this transaction in 2015 at a reported acquisition basis of $32.5 million. DBRS Moringstar Property Quality Following the acquisition, the collateral benefited from nearly $7.4 million in Average capital investment, bringing the sponsor’s pre-closing cost basis to approximately Debt Stack ($ Millions) $40.2 million. Loan proceeds of $25.5 million refinanced $23.9 million of existing debt Trust Balance at the property, returned nearly $1.1 million in cash equity to the borrower, and covered 25.5 $351,507 of closing costs associated with the transaction. The ten-year loan is full-term Pari Passu ($) IO and represents a 47.2% LTV ratio based on the November 2019 appraised value of 0.0 $54.0 million. However, the loan represents a higher loan-to-cost ratio of 63.1% based B-Note on the borrower’s post-closing cost basis of $40.4 million. 0.0 Mezz The hotel carries Hilton Worldwide’s upper-scale Embassy Suites flag under a franchise 0.0 agreement scheduled to expire in May of 2031. Property amenities include a restaurant Total Debt and bar located in the atrium of the main floor, an indoor pool with an attached outdoor 25.5 seating area, a fitness center, a complimentary breakfast area, an evening reception Loan Purpose area, guest laundry facilities, a business center, a sundry shop, approximately 14,831 sf Refinance of dedicated meeting space, and a 132-space parking garage. The subject’s guest room Equity Contribution/ (Distribution) ($ Millions) composition includes 164 king rooms and 110 queen/queen rooms; all standard guest (1.1) rooms are generally two-room suites featuring a work desk, a flat-screen television, a small kitchenette area with mini refrigerator and microwave, and a separate living area with a pull-out sofa. As part of the sponsor’s 2015–16 renovation, the collateral benefited from new soft and case goods as well as renovations to the atrium and public spaces.

February 2020 80 Presale Report | BANK 2020-BNK26

EMBASSY SUITES – CHARLOTTE – CHARLOTTE, NORTH CAROLINA

COMPETITIVE SET

Distance T-12 Year Built/ from Subject Occupancy T-12 Property Keys Renovated (Miles) (%) T-12 ADR ($) RevPAR ($)

Crown Plaza Charlotte Executive Park 300 1983 2.0 65 - 70 125 - 130 85 - 90

Hilton Charlotte Executive Park 181 1988 2.0 70 - 75 140 - 145 100 - 105

Renaissance Charlotte Suites Hotel 275 1999 2.0 70 - 75 135 - 140 100 - 105

Sheraton Charlotte Airport Hotel 222 1985 5.5 70 - 75 130 - 135 95 - 100

Embassy Suites Charlotte 274 1989 n/a 76.1 144.64 110.10

Total/Avg. 1,252 Various n/a 72.3 136.88 98.93

The appraisal identified four hotel properties in the STR REPORT SUMMARY1 local market that directly compete with the subject Occupancy (%) ADR ($) RevPAR ($) collateral. Management identified the Renaissance Charlotte Suites Hotel and Crown Plaza Charlotte Subject 79.9 144.00 115.06 Executive Park to be most competitive with the Competitive Set 74.3 133.28 98.98 subject collateral, indicating that both properties Index 107.6 108.00 116.20 offered more meeting space but have an inferior 1. All figures per T-12 period ending September 2019. overall product. Per management, the Crown Plaza Charlotte Executive Park’s recent market entrance had brought down market rates, placing downward pressure on rates at the subject collateral to remain competitive. Management additionally indicated that the nearby Renaissance Charlotte Suites Hotel (originally constructed as an Embassy Suites) was undergoing a $15.0 million to $20.0 million transformation that would likely improve the quality of its product offering over the subject collateral. With rates becoming more competitive in the subject’s submarket, management indicted that the collateral was becoming increasingly reliant on group travel in recent history, but stated corporate demand still accounts for nearly half of annual room nights at the subject property. Per the September 2019 STR report, the collateral averaged occupancy, ADR, and RevPAR penetration rates of 104.6%, 107.9%, and 112.9%, respectfully, between 2017 and the T-12 period ending September 2019, with evidence of generally stable and/ or increasing penetration trends.

SPONSORSHIP The sponsor for this transaction is SREE Hospitality, a Charlotte-based hospitality ownership, development, and management group reporting ownership interests in 24 hotel properties across North Carolina, South Carolina, and Ohio. The firm’s portfolio totals 3,252 keys with an estimated market value of $563.8 million reported as of loan closing. Equity ownership in the Borrower (SREE Billy Graham Hotel) is shared across three LLCs (with a combined 47.5% equity interest) and 21 individuals/entities (none of which maintain more than 5.0% interest in the Borrower). The guarantors for this transaction are Vinay Patel (President and CEO of SREE Hospitality) and Parag Patel (CFO and Chief Director of Operations). Vinay and Parag Patel each maintain 1.5% indirect ownership in the borrowing entity for this transaction. Based on personal financials dated January 2019 and August 2019, the guarantors reported a combined net worth and liquidity of $24.4 million and $1.4 million, respectfully.

Property management services are provided by SREE Hotels, LLC, a borrower-related management entity, for a contractual rate equal to 4.0% of gross receipts. All management fees exceeding 3.0% of gross receipts are subordinate to the mortgage. As of loan closing, SREE Hotels managed 24 hotel properties including 13 assets in the Charlotte MSA.

February 2020 81 Presale Report | BANK 2020-BNK26

EMBASSY SUITES – CHARLOTTE – CHARLOTTE, NORTH CAROLINA

DBRS MORNINGSTAR ANALYSIS SITE INSPECTION SUMMARY DBRS Morningstar toured Embassy Suites – Charlotte on Wednesday, January 29, 2020. Based on the guided management tour, DBRS Morningstar found the property quality to be Average.

The collateral is an eight-story, 274-key limited service hotel located approximately four miles southeast of the Downtown CBD in Charlotte. The property is conveniently situated along South Tyron Street within close proximity of I-77, which provides easy access to the nearby Downtown Charlotte CBD. The collateral additionally benefits from the fact that it is located about seven miles southeast of the Charlotte Douglas International Airport. The subject’s immediate surrounding area appeared to be predominantly commercial in nature, inclusive of several alternative hotel product offerings. The subject appeared to be the tallest of its neighbors, providing favorable visibility despite the asset’s relatively dated exterior demeanor. Management indicated that hotel demand in the area is predominantly corporate driven with several hotels sharing corporate accounts, but indicated a growing trend of logistics-related demand attracted by the area’s proximity to Charlotte Douglas International Airport. Per management, development in the area has historically staggered behind the neighboring Charlotte CBD, but has picked up in recent years, in correlation to the continued build-out of Charlotte’s surrounding infrastructure.

The collateral generally features a brand-standard two-tone beigeexterior facade with a flat roof and rounded accents. A covered drive-up area allows for passenger pick-up and drop-off to the subject’s main lobby entrance, with parking available via an asphalt surface lot surrounding the building and a covered parking garage at the property’s rear. The primary entrance opens to a double-height lobby with hanging chandelier fixtures, guest reception desks, and a small sundry shop. Beyond the lobby is an expansive covered atrium area open to all eight stories with a skylight above. The atrium is furnished by a plethora of modern seating arrangements surrounding a central bar area that management indicated is generally open for lunch and dinner service. Several meeting spaces surround the open atrium area, though management indicated the property lacked substantial break-out space for smaller group meetings. The atrium also hosted a complimentary breakfast seating area and small business station. From the atrium, guests have access to an indoor pool area with outdoor seating and a fitness center. Guest rooms are generally spread from floors two through eight, with interior corridors wrapping the open atrium that forms the focal/central point of the collateral. All guest rooms were generally structured as two-room suites with a bedroom area, a separate living area with a pull-out couch, and a small kitchenette with a mini refrigerator, microwave, and coffee maker. Select rooms featured larger seating areas with elongated dining tables. Though certain case goods showed minor signs of wear, the rooms appeared modernly furnished and the collateral as a whole showed well at the time of DBRS Morningstar inspection.

February 2020 82 Presale Report | BANK 2020-BNK26

EMBASSY SUITES – CHARLOTTE – CHARLOTTE, NORTH CAROLINA

DBRS MORNINGSTAR NCF SUMMARY NCF ANALYSIS

T-12 DBRS September Morningstar NCF 2018 2019 2019 Issuer NCF NCF ($) Variance (%)

Occupancy (%) 76.1 76.1 79.8 79.2 75.0 -5.3

ADR ($) 144.64 143.19 144.08 143.19 143.19 0.0

RevPAR ($) 110.07 108.97 114.98 113.41 107.39 -5.3

Total Departmental Revenue ($) 13,205,183 14,247,852 14,374,779 14,247,852 13,217,471 -7.2

Total Deparmental Expense ($) 4,337,245 4,576,044 4,548,899 4,576,044 4,330,205 -5.4

Total Departmental Profit ($) 8,867,938 9,671,808 9,825,880 9,671,808 8,887,266 -8.1

Total Undistributed Expense ($) 3,888,607 4,347,856 4,207,858 4,209,322 3,926,306 -6.7

Total Fixed Expense ($) 504,981 480,128 494,136 463,333 491,360 6.0

NOI ($) 4,474,350 4,843,824 5,123,886 4,999,153 4,469,600 -10.6

FF&E ($) 440,430 560,888 552,702 569,914 528,699 -7.2

NCF ($) 4,033,920 4,282,936 4,571,184 4,429,239 3,940,901 -11.0

The DBRS Morningstar NCF is based on the DBRS Morningstar North American Commercial Real Property Analysis Criteria. The resulting DBRS Morningstar NCF was $3,940,901, representing a -11.0% variance from the Issuer’s NCF of $4,429,239. The primary drivers of the variance included occupancy, food and beverage revenue, and insurance. DBRS Morningstar estimated a 75.0% occupancy rate at the collateral compared with the Issuer’s 79.2% occupancy estimate. The DBRS Morningstar occupancy estimate was generally supported by the appraiser’s occupancy estimate of 75.0% and average comparable set occupancy of 74.3% reported for the T-12 period ending September 2019. DBRS Morningstar generally based food and beverage revenue on the average of 2018 and 2019 performance as a percentage of total room revenue, while the Issuer estimated food and beverage revenue based on the solely the collateral’s noticeably improved 2019 performance. DBRS Morningstar lastly estimated insurance based on the appraiser’s stabilized estimate, representing an increase of roughly $28,000 over the Issuer’s estimate.

DBRS MORNINGSTAR VIEWPOINT The collateral is generally well located within proximity of key market drivers including the Downtown Charlotte CBD and Charlotte Douglas International Airport. Per management, while the area’s growth has, historically and generally, staggered behind the Charlotte CBD, the continued outgrowth of the area’s infrastructure has spurred development activity in the subject’s immediate area more recently. With the addition of several mid-tier, lower-price hotel assets and the renovation/transformation of several existing competitive properties, comparable set occupancy rates fell YOY between 2015 and 2018 while ADR has steadily risen. The subject’s comp set has overall exhibited a stable upward RevPAR trend from 2015 through 2019, excluding a moderate dip in 2018 that rebounded to above 2017-levels over the T-12 period ending September 2019. Management forecasted the ongoing transformation of the existing Renaissance Charlotte Suites Hotel to put downward pressures on the collateral’s future performance, but the subject has generally outperformed its identified competitive set with an upward-trending average RevPAR index of 103.5% exhibited between 2017 and the T-12 period ending September of 2019. The collateral itself benefited from $7.4 million in capital improvements between 2015 and 2016, though certain aspects of the property (i.e. the exterior facade) still appeared dated at the time of the DBRS Morningstar site inspection. Fortunately, the collateral benefits from a locally based and experienced sponsorship team with a market portfolio of 13 hotel assets throughout the Charlotte MSA and an experienced management team with nearly two decades of experience operating the property.

February 2020 83 Presale Report | BANK 2020-BNK26

EMBASSY SUITES – CHARLOTTE – CHARLOTTE, NORTH CAROLINA

DOWNSIDE RISKS – The loan is full-term IO and returns approximately $1.6 million of cash equity to the borrower. – The collateral is located in a generally suburban market and with increasing pressure on room rate competitiveness. Per management, the entrance of the Crown Plaza Charlotte Executive Park influenced the dip in comparable set ADR from $133.40 over 2018 to $133.28 over the T-12 period ending September 2019. The ongoing transformation of the Renaissance Charlotte Suites Hotel will further perpetuate market pressures on the subject property. – The subject’s current franchise agreement is currently scheduled to expire in May of 2031, which could pose a challenge to the transaction’s refinancing.

STABILIZING FACTORS – The loan exhibits a favorable LTV of 47.2%, which is generally indicative of low-leverage financing. Additionally, as of loan closing, the borrower retained approximately $14.9 million of cash equity in the transaction. – The DBRS Morningstar NCF represents an Issuance DSCR of 4.41x, which is generally indicative of sustainable financing and, holding all else constant, represents a break-even RevPAR of just $33.55. – The transaction is structured with a Franchise Expiration Sweep that commences 15 months prior to loan maturity and is scheduled to collect a minimum of $10,000 per key for future PIP costs associated with the renewal of the existing franchise agreement. Additionally, the loan becomes full recourse should the collateral lose its franchise flag.

February 2020 84 Presale Report | BANK 2020-BNK26

Prince William Square Woodbridge, Virginia

Loan Snapshot Seller MSMCH Ownership Interest Fee Simple Trust Balance ($ Millions) 25.0 Loan PSF/Unit ($) 107 Percentage of the Pool 2.1 Loan Maturity/ARD February 2027 Amortization COLLATERAL SUMMARY Interest Only DBRS Morningstar Anchored Retail Year Built/Renovated 1986/2008 DBRS Morningstar DSCR (x) Property Type 3.07 City, State Woodbridge, VA Physical Occupancy (%) 88.4 DBRS Morningstar LTV (%) 64.8 Units/SF 232,957 Physical Occupancy Date November 2019 DBRS Morningstar Balloon LTV (%) The loan is secured by the borrower’s fee-simple interest in Prince William Square, 64.8 a 232,957-sf anchored retail center in Woodbridge, Virginia, approximately 25 miles DBRS Morningstar southwest of Washington, D.C. Loan proceeds of $25.0 million along with borrower Property Type equity of approximately $14.5 million will fund the $37.9 million purchase price, cover Retail $1.2 million in closing costs, and escrow reserves of approximately $229,629 for VA ABC DBRS Moringstar Property Quality special leasing, $127,191 for debt service, $80,000 for Harbor special leasing, $38,857 Average for taxes, $20,795 for Dental Care Alliance special leasing and $12,947 of free rent for Debt Stack ($ Millions) tenant VA ABC. The loan has a seven-year term and is IO throughout. Trust Balance 25.0 Originally constructed in 1986 and most recently renovated in 2008, the collateral Pari Passu ($) consists of a 232,957-sf retail center that was 88.4% physically occupied by 25 tenants 0.0 as of November 1, 2019. The property is anchored by four tenants (Ashley Furniture B-Note HomeStore, JOANN Fabrics and Crafts, Ross Dress For Less, and dd’s Discounts) 0.0 accounting for 51.2% of NRA and 50.2% of the total DBRS Morningstar Base Rent. The Mezz remaining 21 tenants account for 36.2% of NRA and 49.8% of the total DBRS Morningstar 0.0 Base Rent. The highest concentrations of tenant rollover are scheduled to occur in Year Total Debt 4 (21.6% of NRA), Year 6 (19.9% of NRA), and Year 7 (10.6% of NRA) of the loan term, 25.0 with one anchor tenant scheduled to expire in each of those years. Ross Dress For Less Loan Purpose is the lone anchor tenant with a lease extending beyond the loan maturity. In total, Acquisition the property currently has 22 tenants, representing 67.8% of the NRA, with leases that Equity Contribution/ (Distribution) ($ Millions) expire during the loan term. 14.5

February 2020 85 Presale Report | BANK 2020-BNK26

PRINCE WILLIAM SQUARE – WOODBRIDGE, VIRGINIA

TENANT SUMMARY

% of Total DBRS DBRS Morningstar Morningstar Base Tenant SF % of Total NRA Base Rent PSF ($) Rent Lease Expiry

Ashley Furniture Homestore 38,453 16.5 17.29 17.5 9/30/2023

JOANN Fabrics and Crafts 23,890 10.3 16.68 10.5 1/31/2025

Ross Dress For Less 32,120 13.8 13.80 11.6 1/31/2030

dd's Discounts 24,784 10.6 16.33 10.6 1/31/2027

Super Beauty 14,840 6.4 17.08 6.7 8/31/2027

Subtotal/Wtd. Avg. 134,087 57.6 16.14 56.9 Various

Other Tenants 69,586 29.9 23.58 43.1 n/a

Vacant Space 29,284 12.6 n/a n/a n/a

Total/Wtd. Avg. 232,957 100.0 16.34 100.0 Various

SPONSORSHIP The loan sponsor and guarantor is ALTO Fund III Holding, LP (ALTO), a real estate investment firm with a focus on the acquisition of both stabilized and value-add retail assets in primary across markets across the U.S. Since its founding in 2010, ALTO has invested in upwards of 12.0 million sf of retail space across 60 properties with a combined value of $1.1 billion. The sponsor has securitized three loans since 2018 with a collective balance of $55.0 million, all of which are performing. As of December 31, 2018, the guarantor had a reported net worth and liquidity of $51.7 million and $7.5 million. The property is managed by a third-party firm for a contractual fee of 3.5% of EGI.

DBRS MORNINGSTAR ANALYSIS SITE INSPECTION SUMMARY DBRS Morningstar toured the interior and exterior of the property on Wednesday, January 29, 2020, at 12:00 p.m. Based on the site inspection, DBRS Morningstar found the property quality to be Average.

The collateral consists of a 232,957-sf anchored shopping center located in Woodbridge, Virginia, approximately 25 miles southwest of Washington, D.C. Given the suburban location, the property’s surrounding area is predominantly characterized by residential communities and an above-average population density, with 239,829 residents living within a five-mile radius. The subject’s immediate surrounding area is a major retail corridor with Potomac Mills Mall located directly across the street serving as the focal point of the corridor. The 1.5 million sf mall features numerous national retailer anchor

February 2020 86 Presale Report | BANK 2020-BNK26

PRINCE WILLIAM SQUARE – WOODBRIDGE, VIRGINIA

tenants, including Costco, Bloomingdales, JCPenny, H&M, Marshalls, T.J. Maxx, and AMC Theatres, among many others. The streets surrounding the mall were aligned with other retail strips further bolstering the national retail presence within the corridor with tenants such as Home Depot, Aldi, Sam’s Club, IKEA, Dick’s Sporting Goods, and Best Buy. Additionally, the property’s displayed strong access to I-95, which contributes to making the retail corridor the most desirable in the southern portion of the Washington, D.C. MSA.

Positioned at the intersection of Smoketown Road and Gideon Drive at the southwest corner of the retail corridor, the shopping center demonstrated strong street exposure with the two streets drawing approximately 62,311 vehicles per day. The property has one outparcel, occupied by a Bob Evans, that is positioned at the eastern end of the site next to the intersection. The four anchor spaces were positioned in the middle of the shopping center, resulting in unimpeded visibility from Smoketown Road but lacking visibility from Gideon Drive. Signage was present along both roads and represents all anchor tenants, which helped to provide some degree of street presence for those tenants from Gideon Drive. None of the anchor spaces were immediately adjacent to one another with at least one junior anchor space in between. Junior anchor tenants spaces ranged from 7,080 sf to 15,000 sf and complimented the anchor tenants well. Junior anchor tenants include Harbor Freight Tools, Super Beauty, MOM’s Organic Market, and Rainbow Shops. Inline spaces populated the wings of the of the shopping center building, while Dunkin’ occupied the highly desirable endcap space along Smoketown Road and benefited from very strong visibility from both directions. Overall, the site was well-maintained and the inspected tenant interior spaces showed well, with slight variations in finish quality depending on the footprint of the particular tenants.

DBRS MORNINGSTAR NCF SUMMARY NCF ANALYSIS

DBRS Morningstar NCF Variance 2018 2019 Sponsor Budget Issuer NCF NCF ($) (%)

GPR ($) 2,618,974 2,487,141 3,585,000 3,664,086 3,633,283 -0.8

Recoveries ($) 737,157 529,863 909,592 920,758 909,755 -1.2

Other Income ($) 22,118 -10,181 0 0 0 0.0

Vacancy ($) 0 0 -638,003 -616,264 -737,384 19.7

EGI ($) 3,378,249 3,006,822 3,856,589 3,968,580 3,805,654 -4.1

Expenses ($) 886,000 851,532 1,020,114 1,027,741 1,067,792 3.9

NOI ($) 2,492,249 2,155,290 2,836,475 2,940,839 2,737,861 -6.9

Capex ($) 0 0 0 39,603 46,591 17.6

TI/LC ($) 0 0 0 249,264 314,365 26.1

NCF ($) 2,492,249 2,155,290 2,836,475 2,651,972 2,376,905 -10.4

The DBRS Morningstar NCF is based on the DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria. The resulting DBRS Morningstar NCF for the subject was $2,376,905, representing a -10.4% variance from the Issuer’s underwritten figure of $2,651,972. The primary drivers of the variance were vacancy, rental rate markdowns, and TI/LCs. DBRS Morningstar’s economic vacancy of 18.1% on the gross potential base rent is greater than the Issuer’s 15.8% figure because DBRS Morningstar marked one month-to-month tenant, WFC Christian Books & Gifts, as vacant. DBRS Morningstar applied mark-to-market rental rate reductions based on 110% of the appraiser’s concluded base rental rates by space type. DBRS Morningstar based TI/LCs on the appraiser’s market estimates for each space type. Anchor and junior anchor tenant TIs of $20 psf for new leases and $2 psf for renewals were applied, with market lease term estimate of 10 years. Inline and endcap tenants also were analyzed: TIs of $20 psf for new leases and $2 psf for renewals were applied, but on shorter a market lease term estimate of five years. LCs of 6.0% for new leases and 3.0% for renewals were applied for all tenant space types.

February 2020 87 Presale Report | BANK 2020-BNK26

PRINCE WILLIAM SQUARE – WOODBRIDGE, VIRGINIA

DBRS MORNINGSTAR VIEWPOINT The 232,957-sf anchored retail center serving as collateral for the loan is very well-positioned in a major retail corridor approximately 25 miles southwest of the Washington, D.C. CBD. While the property’s current occupancy of 89.1% indicates a slight underperformance, relative to the Prince William County submarket vacancy of 5.8% as of Q4 2019, according to Reis, its location directly across from Potomac Mills Mall provides a consistent traffic draw for the subject and for other ancillary retail strip centers surrounding the mall. The demand for retail space in the corridor is further evidenced by the strong performance of Potomac Mills Mall, which had a reported occupancy of approximately 99% and sales of approximately $502 psf as of February 2019, according to the Greenstreet Mall Database. The subject is currently 89.1% occupied by 25 tenants, including four anchor tenants (51.2% of NRA), four junior anchor tenants (21.1% of NRA), and 17 inline tenants (16.8% of NRA). Demand for anchor and junior anchor space near Potomac Mills Mall is clearly evident as both space types are 100.0% occupied. However, the subject’s inline space is only 60.7% occupied. The subject’s 11 vacant spaces indicate that leasing efforts for this space type will need to be a focus going forward while working toward retaining anchor and junior anchor tenants that are scheduled to roll during the loan term.

DOWNSIDE RISKS – There is no warm-body non-recourse carveout guarantor for this loan. Additionally, the seven-year loan is IO throughout its entire term. – Three of the four anchor tenants at the property, representing 37.4% of NRA and 38.6% of the total DBRS Morningstar Base Rent, are scheduled to roll during the loan term. One expiring tenant, JOANN Fabrics and Crafts, has low reported 2018 sales of $3.2 million ($134 psf ), equating to a high occupancy cost of 14.9%. Additionally, anchor tenant dd’s Discounts (10.6% of NRA) has a lease termination option if it does not achieve sales of at least $6.5 million during Year 3 of the loan term (2022).

STABILIZING FACTORS – The loan is modestly leveraged with a DBRS Morningstar LTV of approximately 64.8%. – Three of the four anchor tenants have achieved sales equating to an occupancy cost below 5.0% with reported 2018 sales figures of $13.3 million ($345 psf ) for Ashley’s Furniture HomeStore, $10.4 million ($324 psf ) for Ross Dress For Less, and $9.1 million ($367 psf ) for dd’s Discounts, which is well above the $6.5 million sales threshold to trigger its lease termination option in Year 3 of the loan term. Additionally, JOANN Fabrics and Crafts has occupied its space since 2009 and has renewed its lease once. – The guarantor has a net worth of $51.7 million and liquidity of $7.5 million, which is over twice as much as the loan’s required net worth and liquidity of $25.0 million and $2.5 million, respectively. Also, the borrower contributed approximately $14 million of equity as part of this transaction to acquire the asset, which represents 36.8% of the purchase price. The loan psf of $107 is well below the appraiser’s identified sales comps average of $184 psf, suggesting the property can weather a performance decline without significantly increasing the probability of default.

February 2020 88 Presale Report | BANK 2020-BNK26

Transaction Structural Features

Credit Risk Retention: The risk-retention interest (RR Interest) represents the eligible vertical interest to meet the risk- retention requirements of Section 15G of the Securities Exchange Act of 1934. Morgan Stanley Bank, N.A. (rated A (high) with a Stable trend by DBRS Morningstar) is acting as the retaining sponsor under the credit risk-retention rules. Morgan Stanley Bank, N.A. will be permitted to offset the amount of its required risk retention by the portions of the RR Interest acquired by each of Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS Morningstar) and Bank of America, N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) as originators of one or more of the securitized assets.

Operating Advisor: This transaction has an operating advisor that will have consultation rights with the special servicer on major decisions during the period when a control termination event has occurred and is continuing (see definitions below in the Directing Certificateholder/Controlling Class Rights section). In addition, the operating advisor will be required to review certain operational activities related to specially serviced loans in general and on a platform-level basis. Furthermore, during these periods, the operating advisor will be required to complete an annual report assessing the special servicer’s performance. The report is to be delivered to the rating agencies, the trustee, and the certificate administrator, which will be required to make the report available through its website. After the occurrence and continuance of a consultation termination event (see definitions below in the Directing Certificateholder/Controlling Class Rights section), if the operating advisor determines that the special servicer is not performing its duties as required under the pooling and servicing agreement (PSA) or is otherwise not acting in accordance with the servicing standard, the operating advisor may recommend the replacement of the special servicer. The operating advisor is entitled to an upfront fee of $5,000 on the closing date. The operating advisor is entitled to a fee of 0.00108% per annum (p.a.) with respect to each mortgage loan and any successor REO loan. The operating advisor is also entitled to a $10,000 fee with respect to each major decision on which it is required to consult, but it is payable only to the extent that it is paid by the related borrower. Other expenses incurred by the operating advisor will be payable from funds on deposit in the collection account out of amounts otherwise available to make distributions on the certificates.

Appraisal Reduction/Realized Loss: Any interest that is not advanced on as part of the appraisal-reduction mechanism will not be recovered as part of the loan waterfall upon realization of the collateral. Interest not advanced on because of an appraisal reduction will likely have permanent interest impairment if the net proceeds of the loan in question do not exceed the outstanding principal (plus fees) at the time of liquidation. The special servicer shall attempt to obtain the appraisal to be used for appraisal-reduction purposes within 60 days of an appraisal-reduction event. The time frame for an appraisal to be used for appraisal-reduction purposes is no fewer than 12 months.

Pari Passu Loan Combinations: The 200 West 57th Street whole loan will be serviced pursuant to the PSA for this transaction. The Bravern Office Commons whole loan, the 560 Mission Street whole loan, the 545 Washington Boulevard whole loan, the 55 Hudson Yards whole loan, the 1633 Broadway whole loan, the Bellagio Hotel and Casino whole loan, and the Giant Anchored Portfolio whole loan combinations will be serviced according to the PSAs for the BAMLL 2020-BOC, Benchmark 2020-B16, BANK 2020-BNK25, Hudson Yards 2019-55HY, BWAY 2019-1633, BX 2019-OC11, and CGCMT 2019-C7 transactions, respectively.

Directing Certificateholder/Controlling Class Rights: The transaction’s most subordinate bonds are controlled by the most subordinate bondholders. The controlling class certificateholder (or its representative) will be the controlling class certificateholder selected by more than a specified percentage of the controlling class certificateholders (by certificate balance, as certified by the certificate registrar from time to time as provided for in the PSA). The controlling class is the most subordinate of the Class F, G and H certificates (the Control Eligible Certificates) then outstanding, which has a principal amount (net of appraisal-reduction amounts) that is at least 25.0% of the initial certificate amount of such class. For as long as at least one of the Control Eligible Certificates has a principal amount (net of appraisal-reduction amounts) that is at least 25.0% of the initial certificate amount of the respective certificates, the directing holder may terminate the

February 2020 89 Presale Report | BANK 2020-BNK26

special servicer without cause. A consultation termination event will occur at such time as none of the Class F, G, or H certificates have a certificate balance at least equal to 25.0% of the initial certificate balance (without regard to appraisal reductions). Prior to a consultation termination event, but after a control termination event, the special servicer cannot be replaced, except for cause, and is subject to a vote by all bondholders. As of the closing date, the controlling class will be the Class H certificates.

Excluded Loan: If the special servicer becomes a borrower party with respect to any mortgage loan, it will be required to resign. The directing certificateholder (prior to the occurrence and continuance of a control termination event) will be entitled to appoint a special servicer that is not a borrower party with respect to such loan; however, if the controlling class representative or any majority controlling class certificateholder is a borrower party of such loan, the largest controlling class certificateholder (by certificate balance) that is not a borrower party will be entitled to appoint the special servicer for such loan. This mechanism is in place to mitigate conflicts of interest that can arise between the special servicer and/or controlling class representative in their respective roles within the trust and their roles as borrower parties.

Special-Servicing Fees: The liquidation fee is equal to 1.0% of the net liquidation proceeds. The workout fee is 1.0% of all payments of P&I received on each corrected loan so long as it remains a corrected loan. Both fees are subject to a minimum fee of $25,000. The special-servicer fee is equal to the greater of 0.25% or the p.a. rate that would result in a special- servicing fee of (1) $3,500 or (2) for any mortgage loan, with respect to which the risk-retention consultation party is entitled to consult with the special servicer, for as long as the related mortgage loan is a specially serviced loan during the occurrence and continuance of a consultation termination event ($5,000 in each case) for the related month.

Disclosable Special-Servicing Fees: For each collection period, the special servicer is required to provide the certificate administrator with an itemized report of all disclosable special-servicing fees. These fees are defined as any compensation or remuneration (including, but not limited to, commissions, brokerage fees, rebates, and any fee-sharing arrangement) received or retained by the special servicer or any of its affiliates that is paid in connection with the disposition or workout of the trust mortgage loan (or REO property, in the event of default and foreclosure on the subject property).

Rating Agency Confirmations (RACs): This transaction contemplates waivers of RACs. It is DBRS Morningstar’s intent to waive loan-level RACs, yet to receive notice upon their occurrence. DBRS Morningstar will review relevant loan-level changes as part of its surveillance. DBRS Morningstar will not waive RACs that affect any party involved in the operational risk of the transaction (i.e., replacement of special servicer, master servicer, etc.).

February 2020 90 Presale Report | BANK 2020-BNK26

Methodologies

The following are the methodologies DBRS Morningstar applied to assign ratings to this transaction. These methodologies can be found on www.dbrs.com under the heading Methodologies & Criteria. Alternatively, please contact [email protected] or contact the primary analysts whose information is listed in this report. • North American CMBS Multi-borrower Rating Methodology • DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria • Rating North American CMBS Interest-Only Certificates • North American CMBS Surveillance Methodology

Operational Risk Reviews DBRS Morningstar reviews loan originators, servicers, and operating advisors apart from transaction analytics and determines whether they are acceptable parties.

Surveillance

DBRS Morningstar will perform surveillance subject to North American CMBS Surveillance Methodology.

Notes: All figures are in U.S. dollars unless otherwise noted.

This report is based on information as of February 26, 2020. Subsequent information may result in material changes to the rating assigned herein and/or the contents of this report.

The DBRS group of companies consists of DBRS, Inc. (Delaware, U.S.)(NRSRO, DRO affiliate); DBRS Limited (Ontario, Canada)(DRO, NRSRO affiliate); DBRS Ratings GmbH (Frankfurt, Germany)(CRA, NRSRO affiliate, DRO affiliate); and DBRS Ratings Limited (England and Wales)(CRA, NRSRO affiliate, DRO affiliate). Morningstar Credit Ratings, LLC is a NRSRO affiliate of DBRS, Inc.

For more information on regulatory registrations, recognitions and approvals of the DBRS group of companies and Morningstar Credit Ratings, LLC, please see: http://www.dbrs.com/ research/highlights.pdf.

The DBRS group and Morningstar Credit Ratings, LLC are wholly-owned subsidiaries of Morningstar, Inc.

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February 2020 91 Glossary

ADR average daily rate IO interest only P&I principal and interest ARA appraisal-reduction amount LC leasing commission POD probability of default ASER appraisal subordinate entitlement reduction LGD loss severity given default PIP property improvement plan BOV broker’s opinion of value LOC letter of credit PILOT property in lieu of taxes CAM common area maintenance LOI letter of intent PSA pooling and servicing agreement capex capital expenditures LS Hotel limited-service hotel psf per square foot CBD central business district LTC loan-to-cost R&M repairs and maintenance CBRE CB Richard Ellis LTCT long-term credit tenant REIT real estate investment trust CMBS commercial mortgage-backed securities LTV loan-to-value REO real estate owned CoStar CoStar Group, Inc. MHC manufactured housing community RevPAR revenue per available room CREFC CRE Finance Council MTM month to month sf square foot/square feet DPO discounted payoff MSA metropolitan statistical area STR Smith Travel Research DSCR debt service coverage ratio n.a. not available SPE special-purpose entity EGI effective gross income n/a not applicable TI tenant improvement EOD event of default NCF net cash flow TIC tenants in common F&B food & beverage NNN triple net T-12 trailing 12 months FF&E furniture, fixtures and equipment NOI net operating income UW underwriting FS Hotel full-service hotel NRA net rentable area WA weighted average G&A general and administrative NRI net rental income WAC weighted-average coupon GLA gross leasable area NR – PIF not rated – paid in full x times GPR gross potential rent OSAR operating statement analysis report YE year end HVAC heating, ventilation and air conditioning PCR property condition report YTD year to date

Definitions

Capital Expenditure (Capex) NNN (Triple Net) Costs incurred in the improvement of a property that will have a life of more than A lease that requires the tenant to pay operating expenses such as property taxes, one year. insurance and maintenance, in addition to the rent.

DBRS Morningstar Refi DSCR Net Operating Income (NOI) A measure that divides the DBRS Morningstar stabilized NCF by the product of the The revenues earned by a property’s ongoing operations less the expenses loan’s maturity balance and a stressed refinance debt constant. associated with such operations but before mortgage payments, tenant improvements, replacement reserves and leasing commissions. DBRS Morningstar Term DSCR A measure that divides the DBRS Morningstar stabilized NCF by the actual debt Net Rentable Area (NRA) service payment The area (sf) for which rent can be charged. NRA includes the tenant’s premises plus an allocation of the common area directly benefiting the tenant, such as Debt Service Coverage Ratio (DSCR) common corridors and restrooms. A measure of a mortgaged property’s ability to cover monthly debt service payments, defined as the ratio of net operating income or net cash flow to the debt Revenue Per Available Room (RevPAR) service payments. A measure that divides revenue by the number of available rooms, not the number of occupied rooms. It is a measure of how well the hotel has been able to fill rooms Effective Gross Income (EGI) in the off-season, when demand is low even if rates are also low, and how well it fills Rental revenue minus vacancies plus miscellaneous income. the rooms and maximizes the rate in the high season, when there is high demand for hotel rooms. Issuer UW Issuer underwritten from Annex A or servicer reports. Tenant Improvements (TIs) The expense to physically improve the property or space, such as new Loan-to-Value (LTV) improvements or remodelling, paid by the borrower. The ratio between the principal amount of the mortgage balance, at origination or thereafter, and the most recent appraised value of the underlying real estate Weighted Average (WA) collateral, generally from origination. Calculation is weighted by the size of each mortgage in the pool.

Net Cash Flow (NCF) Weighted-Average Coupon (WAC) The revenues earned by a property’s ongoing operations less the expenses The average coupon or interest payment on a set of mortgages, weighted by the associated with such operations and the capital costs of tenant improvements, leasing size of each mortgage in the pool. commissions and capital expenditures (or reserves). Moreover, NCF is net operating income less tenant improvements, leasing commissions and capital expenditures.