DBRS Morningstar Confirms All Ratings of Five BX Commercial Mortgage Trust Transactions

DBRS Limited (DBRS Morningstar) has affirmed all ratings of the Commercial Mortgage Transfer Certificates (the Certificates) out of five BX Commercial Mortgage Trust operations as follows.

BX Commercial Mortgage Trust 2020-VIV:

Class D to BBB (sf)

Class E to BBB (low) (sf)

BX Commercial Mortgage Trust 2020-VIV2:

Class C to A (sf)

BX Commercial Mortgage Trust 2020-VIV3:

Class B to AA (low) (sf)

BX Commercial Mortgage Trust 2020-VIV4 (BX 2020-VIV4):

Class A to AAA (fs)

Class X to AAA (fs)

BX Commercial Mortgage Trust 2021-VIV5 (BX 2021-VIV5):

Class A to AAA (fs)

Class X to AAA (fs)

All trends are stable.

The guarantee for these transactions, whose closing dates were between May 2020 and October 2021are some components of a $3.0 billion first mortgage loan encumbering both MGM Grand and Mandalay Bay (MGM/Mandalay) properties to Vegas. The issuer elected to issue components of the entire loan on these five transactions due to market volatility caused by the coronavirus disease (COVID-19) pandemic. For a description of receivables by transaction, please see the press release of the October 18, 2021for the BX 2021-VIV5 transaction on the DBRS Morningstar website at www.dbrsmorningstar.com.

Rating confirmations reflect stable overall performance since DBRS Morningstar’s previous review. The loan is interest only (IO) for the first 10 years of its 12-year term. The godfathers, Blackstone Real Estate Income Trust and MGP operating partnershipwith certain other parties, have formed a joint venture (JV) to acquire the MGM/Mandalay Properties for an aggregate purchase price of $4.6 billion ($471,892 per room). borrowers, Mandalay PropCo, LLC and MGM Grand PropCo, LLC (which are subsidiaries of the JV), then signed a 30-year triple net head lease with two 10-year renewal options with the MGM/Mandalay Tenant, a wholly owned subsidiary of MGM Resorts.

Upon DBRS Morningstar’s preliminary review of the transaction, operating cash flow and occupancy rates for MGM/Mandalay properties had remained significantly below their 2019 levels due to the continued effect of the coronavirus pandemic, which led to the activation of a cash trap. Since then, the hotel market in Vegas saw a strong recovery according to the LVCVA summary report, showing a 5.7% year-over-year increase in total visitor volume for July 2022. While visitor volume remains approximately 5.3% below pre-pandemic levels, the average daily rate and revenue per available room come in at the end of the 12-month period (T-12) July 31, 2022exceeded the level of 2019. According to the completed T-12 March 31, 2022finance, the MGM/The Mandalay properties recorded a consolidated occupancy rate and net cash flow (NCF) of 80.2% and $173.3 million (reflecting a debt service coverage ratio (DSCR) of 1.60 times (x)), respectively a substantial improvement in YE2020 figures of 54.2% and –$354.1 million (reflecting a DSCR of -3.26x). Although cash flow remains depressed relative to DBRS Morningstar’s NCF of $440.5 million (reflecting a DSCR of 4.38x), properties show a recovery with the end of the T-12 March 31, 2022with consolidated chamber revenues showing a 129.8% increase over their YE2020 figure, and other departmental revenues showing a 118.7% increase over their YE2020 figure.

According to a February 17, 2022site inspection, the properties, in total, have approximately $40.5 million investments in progress and about $55.0 million expected in the next 12 months.

DBRS Morningstar believes that the mortgage that serves as collateral for the certificates benefits from unique structural features that provide additional protection for bondholders. In particular, the structure of the master agreement protects the mortgage loan from direct exposure to the volatility of the operating cash flows of the properties. The terms of the head lease require that MGM/The Mandalay tenant will make an initial head lease payment of $292 million per year, with these payments to increase by 2.0% until the anniversary date of the 15th anniversary of the lease. Lease payments increase by the greater of 2.0% and CPI (with CPI capped at 3.0%) for the remainder of the lease term. The transaction also benefits from a guarantee provided by MGM Resortswhich covers the payment and execution of MGM/Mandalay Monetary obligations of the tenant and certain other obligations under the head lease agreement. In addition to the payment and performance guarantee, MGM Resorts also executed a loss of profit guarantee.

DBRS Morningstar’s LTV of 65.97%, based on a cap rate of 9.69% and a concluded valuation of $4.54 billion, represents a prudent leverage point with the ability to withstand a substantial realized decline in market value prior to mortgage write-down. In addition, the sponsors contributed a combined sum $1.6 million in cash to secure the properties, suggesting that there is massive incentive to continue to support the loan through what should be a temporary decline in the performance of the underlying hotel properties.


No environmental/social/governance factor had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors in the DBRS Morningstar Analytical Framework is available in DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/396929> (May 172022).

Class X in transaction BX 2020-VIV4 and class X in transaction BX 2021-VIV5 are IO certificates that reference a single scored slice or multiple scored slices. The IO rating reflects the lowest rated applicable benchmark obligation tranche adjusted up one notch if senior in the cascade.

All ratings are subject to monitoring, which could result in ratings being upgraded, downgraded, revised, confirmed or discontinued by DBRS Morningstar.

DBRS Morningstar provides updated analysis and in-depth commentary on the DBRS Viewpoint platform for this transaction.

The DBRS Viewpoint platform provides additional information about this transaction and the underlying loans, including DBRS Morningstar metrics, commentary, servicing agent reported cash flow, and other performance-related data. For free access to this content, please register with the DBRS Viewpoint platform at www.viewpoint.dbrsmorningstar.com.


All figures are in WE dollars unless otherwise specified.

The primary methodology is the North American CMBS Monitoring Methodology (October 3, 2022), which can be found on dbrsmorningstar.com under Methodologies and Criteria. For a list of structured finance related methodologies that may be used during the rating process, please see the DBRS Morningstar Global Structured Finance Related Methodologies document, which can be found on dbrsmorningstar.com in the Commentary tab under Regulatory Affairs. Please note that not all related methodologies listed in a Principal Structured Finance Asset Class Methodology can be used to rate or monitor an individual Structured Finance or Debt Security.

DBRS Sovereign Morningstar group publishes reference macroeconomic scenarios for rated sovereigns. DBRS Morningstar’s analysis considered impacts consistent with baseline scenarios as set out in the following report: https://www.dbrsmorningstar.com/research/384482>.

Related regulatory information pursuant to National Instrument 25-101 Designated Rating Organizations is incorporated by reference and can be found by clicking the link under Related Documents or by contacting us at info@dbrsmorningstar.com’ >info@dbrsmorningstar. com.

The rated entity or its related entities participated in the rating process for this rating metric. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the relevant appendix for more information on the sensitivity of the assumptions used in the rating process.

For more information about this credit or this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com’ >info@dbrsmorningstar.com.

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