Press Release

DBRS Publishes Updates to CMBS Multi-borrower Rating Methodology

CMBS
March 29, 2018

DBRS published its “CMBS Multi-borrower Rating Methodology” (the Methodology), updating its approach to rating North American commercial real estate (CRE) diversified pool transactions. Updates to the Methodology, which is applied to large pools of CRE loans, including multi-borrower conduit commercial mortgage-backed securities (CMBS), CRE collateralized loan obligations and Freddie Mac K-Series securitizations, consist of additional clarifications to post-multi-borrower parameter adjustments and updates to data used in the Agency MF property type. The updates to the Methodology published today are not considered to be material; thus, a request for comment period was not required. The changes to the analytical approach applied to CRE pools are summarized below:

-- The addition of examples that may lead to adjustments to the DBRS Multi-borrower Parameters at the loan or pool level.
-- Justification to use strong sponsorship for Agency MF loans.
-- A reduction in the rate spread stress and standard deviation for Agency MF loans.

Accordingly, this update is expected to be slightly credit positive to the Freddie Mac K-Series bonds and may primarily affect seasoned Freddie Mac K-Series bonds that were already showing signs of improved performance. The ratings analysis is expected to be resolved over the next three months as more year-end 2017 cash flows are reported for the properties securing the loans within each transaction. Following this release, DBRS has placed four ratings of two Freddie Mac K-Series bonds Under Review with Positive Implications. If updated loan performance remains strong, in line or better than current performance, DBRS expects one- to two-notch upgrades on the following ratings:

-- FREMF 2012-K19 Mortgage Trust, Series 2012-K19, Multifamily Mortgage Pass-Through Certificates Series 2012-K19, Class B
-- FREMF 2012-K19 Mortgage Trust, Series 2012-K19, Multifamily Mortgage Pass-Through Certificates Series 2012-K19, Class C
--FREMF 2013-K26 Mortgage Trust, Series 2013-K26, Multifamily Mortgage Pass-Through Certificates Series 2013-K26, Class B
--FREMF 2013-K26 Mortgage Trust, Series 2013-K26, Multifamily Mortgage Pass-Through Certificates Series 2013-K26, Class C

All other 83 Freddie Mac K-Series classes rated by DBRS were confirmed with Stable or Positive trends as indicated below. DBRS did not review any of the Freddie Mac Structured Pass-Through Certificates as part of this update because those bonds are a direct reference to the underlying Mortgage Trust certificates that were confirmed as part of this review and also benefit from a guarantee by Freddie Mac.

Classes X1, X2, X2-A, X2-B, XAM 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.

All ratings will be subject to ongoing surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed or discontinued by DBRS.

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

The principal methodology is CMBS North American Surveillance, which can be found on dbrs.com under Methodologies. For a list of the Structured Finance related methodologies that may be used during the rating process, please see the DBRS Global Structured Finance Related Methodologies document on www.dbrs.com. Please note that not every related methodology listed under a principal Structured Finance asset class methodology may be used to rate or monitor an individual structured finance or debt obligation.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

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

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

DBRS rating definitions and the terms of use of such ratings are available at www.dbrs.com.

Ratings

FREMF 2010-K8 Mortgage Trust, Series 2010-k8
FREMF 2011-K11 Mortgage Trust, Series 2011-K11
FREMF 2011-K15 Mortgage Trust, Series 2011-K15
FREMF 2011-K702 Mortgage Trust, Series 2011-K702
FREMF 2012-K17 Mortgage Trust, Series 2012-K17
FREMF 2012-K18 Mortgage Trust, Series 2012-K18
FREMF 2012-K19 Mortgage Trust, Series 2012-K19
FREMF 2012-K22 Mortgage Trust, Series 2012-K22
FREMF 2013-K26 Mortgage Trust, Series 2013-K26
FREMF 2013-K29 Mortgage Trust, Series 2013-K29
FREMF 2013-K33 Mortgage Trust, Series 2013-K33
FREMF 2014-K37 Mortgage Trust, Series 2014-K37
FREMF 2014-K38 Mortgage Trust, Series 2014-K38
FREMF 2015-K51 Mortgage Trust, Series 2015-K51
FREMF 2017-K61 Mortgage Trust, Series 2017-K61
FREMF 2017-K64 Mortgage Trust, Series 2017-K64
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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