BANK 2020-BNK26 - DBRS Morningstar

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BANK 2020-BNK26 - DBRS Morningstar
PRESALE REPORT

BANK 2020-BNK26

FEBRUARY 2020    STRUCTURED FINANCE: CMBS
BANK 2020-BNK26 - DBRS Morningstar
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
jake.noeldner@dbrsmorningstar.com    dan.kastilahn@dbrsmorningstar.com

Kevin Mammoser                       Erin Stafford
Managing Director                    Managing Director
+1 312 332-0136                      +1 312 332-3291
kevin.mammoser@dbrsmorningstar.com   erin.stafford@dbrsmorningstar.com
BANK 2020-BNK26 - DBRS Morningstar
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
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Transaction Summary

 P OOL CHARACTE RI S TI CS

 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.

 PA RTICIPANTS

 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
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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
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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
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DBRS Morningstar Credit Characteristics

 D BRS MO RNINGS TAR D S CR

                                    % 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.

D BRS MO RNINGS TAR LTV ( % )                                                   D B R S MO R N IN G STA R B A L L O O N LT V ( %)

                                    % 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
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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

P R OPERTY DETAI L

                                              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
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DBRS Morningstar Sample

D BRS MO RNINGS TAR S AM PLE RE S U LTS

                                                                           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
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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 earn-
out. 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
                                   (
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.

 PA RI PASSU NO T E S

                                             % 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

 PA RI PASSU NO T E S

                                             % 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

February 2020                                                                                                               13
Presale Report     |   BANK 2020-BNK26

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.

SU BO RDINATE 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.

February 2020                                                                                                                                               14
Presale Report         |   BANK 2020-BNK26

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.

R E SERVE REQ UIRE M E N T                                                        B O R R O W ER ST R U C T U R E

 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                          CO LLATE RA L SU MMA RY
  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
  Multifamily
                                    includes a total of 526 residential units. The 10-year, fixed-rate loan is IO for the
  DBRS Moringstar
                                    entire loan term and represents a 67.3% LTV based on the combined appraised value
  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

February 2020                                                                                                                16
Presale Report    |   BANK 2020-BNK26

 FTERE BRONX PORTFOLIO 3 – BRONX, NEW YORK

T E NANT 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.

February 2020                                                                                                               17
Presale Report   |   BANK 2020-BNK26

 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

February 2020                                                                                                              18
Presale Report     |   BANK 2020-BNK26

 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
N C F 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

February 2020                                                                                                                19
Presale Report   |   BANK 2020-BNK26

 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                          CO LLATE RA L SU MMA RY
  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
  Office
                                    (Tower 2) is 23 stories. At Level 2, the in-line retail steps back providing an exterior
  DBRS Moringstar
                                    overlook plaza which connects the two office towers. The towers development was
  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

February 2020                                                                                                           21
Presale Report    |   BANK 2020-BNK26

 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.

T E NANT 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

February 2020                                                                                                          22
Presale Report     |   BANK 2020-BNK26

 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
N C F 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

February 2020                                                                                                                 23
Presale Report   |   BANK 2020-BNK26

 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                             CO LLATE RA L SU MMA RY
  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 $2.5 million to improve the building’s infrastructure and common
  Pari Passu
                                       areas. Improvements include upgrades to the lobby, plaza furniture, restrooms and
  230.0
                                       shower areas, and garage and bike area. The sponsor has succeeded in leasing and
  B-Note
                                       re-leasing a combined 90,621 sf of leased space since 2014, securing major tenants such
  0.0
                                       as TIAA-CREF (21,661 sf ), Delta Dental (21,698 sf ), and EY (14,525 sf ).
  Mezz
  0.0
  Total Debt                           The collateral benefits from a diversified rent roll with reliable income-producing
  300.0                                tenants. The subject property is 98.4% leased to 13 tenants that come from a wide array
                                       of industries, such as technology, financial services, insurance, law, and consulting. Five
  Loan Purpose
                                       tenants either have investment-grade credit ratings or are ranked b in the AmLaw 100
  Recapitalization
  Equity Contribution/
                                       and occupy approximately 69% of the property’s NRA. The rent roll currently has a
  (Distribution) ($ 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
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