New York, August 31, 2020 — Moody’s Investors Service, (“Moody’s”) has affirmed the ratings on seven classes in COMM 2016-COR1 Mortgage Trust as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Oct 12, 2018 Affirmed Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Oct 12, 2018 Affirmed Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Oct 12, 2018 Affirmed Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Oct 12, 2018 Affirmed Aaa (sf)
Cl. A-M, Affirmed Aa3 (sf); previously on Oct 12, 2018 Affirmed Aa3 (sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Oct 12, 2018 Affirmed Aaa (sf)
Cl. X-A*, Affirmed Aa1 (sf); previously on Oct 12, 2018 Affirmed Aa1 (sf)
The rating on the interest-only (IO) class was affirmed based on the credit quality of the referenced classes.
Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool’s share of defeasance or an improvement in pool performance.
As of the August 12, 2020 distribution date, the transaction's aggregate certificate balance has decreased by 3.4% to $860.0 million from $890.7 million at securitization. The certificates are collateralized by 41 mortgage loans ranging in size from less than 1% to 9.5% of the pool, with the top ten loans (excluding defeasance) constituting 55.5% of the pool. Two loans, constituting 4.0% of the pool, have investment-grade structured credit assessments. Two loans, constituting 1.9% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 22, compared to 24 at the last review.
As of the August 2020 remittance report, loans representing 92% were current or within their grace period on their debt service payments, 6% were between 30 — 59 days delinquent and 2% were between 60 — 89 days delinquent.
Thirteen loans, constituting 29.2% of the pool, are on the master servicer's watchlist, of which six loans, representing 15.9% of the pool, indicate the borrower has requested relief in relation to coronavirus impact on the property and have not been cancelled. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. One loan has been liquidated from the pool, resulting in an aggregate realized loss of $3.9 million (for an average loss severity of 59%). Two loans, constituting 2.3% of the pool, are currently in special servicing. Both loans have transferred to special servicing since March 2020. The largest specially serviced loan is the Greenwich Portfolio Loan ($13.8 million -- 1.6% of the pool), which is secured by a mixed-use portfolio consisting of 10 buildings located in Greenwich, Connecticut. The properties include residential, office, retail, and restaurant space. As of May 2020, the property was 100% occupied. The loan transferred to special servicing in May 2020 due to imminent default and the borrower has requested forbearance in relation to the coronavirus outbreak. The discussion for resolution is currently ongoing and Moody's estimates a moderate loss for the loan. The remaining specially serviced loan is secured by a single-tenant retail property located in Austin, Texas. The borrower is expected to bring the loan current on payments by September 2020. Moody's has also assumed a high default probability for four poorly performing loans, constituting 7.3% of the pool and has estimated an aggregate loss of $18.1 million (an 24% expected loss on average) from these specially serviced and troubled loans. The largest troubled loan is the Brea Portfolio Loan ($22.0 million -- 2.6% of the pool), which is secured by three retail properties for a combined total of approximately 48,400 square feet (SF) located in Brea, California. The loan has been on the watchlist since May 2020 and is being monitored for a decrease of 33% in revenue since 2018. The second largest troubled loan is the ACME Hotel Loan ($18.6 million -- 2.2% of the pool), which is secured by a 130-room limited service hotel located in Chicago, Illinois. The loan has been on the watchlist since May 2020 and is being monitored due to a significant decrease in DSCR in 2019. Borrower relief was granted due to the coronavirus outbreak and additional relief has been requested. The third largest troubled loan is the Holiday Inn Resort Daytona Beach Oceanfront Loan ($17.8 million -- 2.1% of the pool), which is secured by a 188-room full-service hotel located in Daytona Beach, Florida. The loan has been on the watchlist since May 2020 and borrower relief was granted due to the coronavirus outbreak. There has been a decreasing trend in NOI since 2017 and the loan is being monitored due to the decrease in DSCR. The fourth largest troubled loan is the 217 & 233 West Huron Loan ($4.4 million -- 0.5% of the pool), which is secured by an approximately 13,700 SF retail property located in Chicago, Illinois. The loan has been on the watchlist since September 2019. The property occupancy decreased to 58% in 2019 due to a tenant vacating in November 2018. Moody's received full year 2019 operating results for 97% of the pool, and partial year 2020 operating results for 59% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 122%, compared to 121% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 24% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.8%.
Moody’s actual and stressed conduit DSCRs are 1.64X and 0.89X, respectively, compared to 1.65X and 0.90X at the last review. Moody’s actual DSCR is based on Moody’s NCF and the loan’s actual debt service. Moody’s stressed DSCR is based on Moody’s NCF and a 9.25% stress rate the agency applied to the loan balance.
The largest loan with a structured credit assessment is the Westfield San Francisco Centre Loan ($23.5 million -- 2.7% of the pool), which represents a pari-passu portion of a $433.1 million mortgage loan. The asset is also encumbered by subordinate debt of $124.9 million. The loan is secured by a fee simple and leasehold interest in an approximately 795,000 SF component of a 1.4 million SF super-regional mall and office development located in San Francisco, California. The property is the dominant retail center in the highly built-out and competitive Union Square submarket of San Francisco. The non-collateral retail anchor tenants are Bloomingdales and Nordstrom and the collateral anchor tenant is a nine-screen Century Theatre (7% of net rentable area (NRA)). The largest office tenants include San Francisco State University (16% of NRA) and Crunchyroll (9% of NRA). As of December 2019, the collateral was 90% occupied and the total property was 95% occupied compared to collateral occupancy of 92% in 2018 and 96% at securitization. The property's reported 2019 NOI has declined from securitization due to both lower rental revenue and higher operating expenses. The loan is interest-only through its entire term and Moody's structured credit assessment and stressed DSCR are baa2 (sca.pd) and 1.11X, respectively. The second loan with a structured credit assessment is the Grant and Geary Center Loan ($11.2 million -- 1.3% of the pool), which is secured by an approximately 121,100 SF mixed-use property located in San Francisco, California. The property consists of approximately 97,400 SF of office space and 23,700 SF of retail space. As of December 2019, the property was 84% occupied, unchanged from 2018 and compared to 100% in 2017. The loan has amortized 35% since securitization. Moody's structured credit assessment and stressed DSR are aa2 (sca.pd) and 2.91X, respectively. The top three conduit loans represent 25.8% of the pool balance. The largest loan is the Glendale Fashion Center Loan ($82.0 million -- 9.5% of the pool), which is secured by a fee simple and leasehold interest in an approximately 263,900 SF power center located in Glendale, California. The property was also encumbered by a $4.0 million mezzanine at closing. The three largest tenants are Ralph's Supermarket (19% of NRA), Nordstrom (14% of NRA), and Ross Dress for Less (12% of NRA). As of July 2020, the property was 92% occupied, unchanged from 2018 and compared to 100% at securitization. The loan is interest-only through its term and Moody's LTV and stressed DSCR are 127% and 0.76X, respectively, the same as at the last review. The second largest loan is the Champion Station Loan ($80.0 million -- 9.3% of the pool), which is secured by an approximately 287,400 SF, Class A, office property located in San Jose, California. The property consists of three, two-story buildings occupied by two tenants. The largest tenant, Itron, Inc. (67% of NRA), has a lease expiration in September 2026 and the second largest tenant, ForeScout Technologies, Inc. (33% of NRA), has a lease expiration in October 2026. As of June 2020, the property was 100% occupied, unchanged since securitization. Moody's value incorporates a lit/dark analysis to account for lease rollover risks associated with the concentrated rent roll. The loan is interest-only through its term and Moody's LTV and stressed DSCR are 122% and 0.89X, respectively, the same as at the last review. The third largest loan is the 286 Madison Avenue Loan ($60.0 million -- 7.0% of the pool), which is secured by an approximately 128,200 SF, Class B, office property located in the Midtown area of New York, New York. The property has a diverse and granular tenancy with the largest tenant, Certified Moving & Storage, accounting for 6% of NRA and the remaining tenants each accounting for less than 5% of NRA. As of March 2020, the property was 94% occupied, compared to 96% in 2019 and 87% at securitization. The loan is interest-only through its term and Moody's LTV and stressed DSCR are 143% and 0.66X, respectively, the same as at the last review.
For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody's Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004. The analysis includes an assessment of collateral characteristics and performance to determine the expected collateral loss or a range of expected collateral losses or cash flows to the rated instruments. As a second step, Moody's estimates expected collateral losses or cash flows using a quantitative tool that takes into account credit enhancement, loss allocation and other structural features, to derive the expected loss for each rated instrument.
Moody’s did not use any stress scenario simulations in its analysis.
For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com. For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.
The ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.
These ratings are solicited. Please refer to Moody’s Policy for Designating and Assigning Unsolicited Credit Ratings available on its website www.moodys.com.
Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.
Moody's general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1133569.
At least one ESG consideration was material to the credit rating action(s) announced and described above.
The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the EU and is endorsed by Moody's Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322, Germany, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody's office that issued the credit rating is available on www.moodys.com.
Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody’s legal entity that has issued the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.
Amy Wang Associate Lead Analyst Structured Finance Group Moody's Investors Service, Inc. 250 Greenwich Street New York, NY 10007 U.S.A. JOURNALISTS: 1 212 553 0376 Client Service: 1 212 553 1653 Romina Padhi VP - Senior Credit Officer Structured Finance Group JOURNALISTS: 1 212 553 0376 Client Service: 1 212 553 1653 Releasing Office: Moody's Investors Service, Inc. 250 Greenwich Street New York, NY 10007 U.S.A. JOURNALISTS: 1 212 553 0376 Client Service: 1 212 553 1653
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