DBRS Morningstar Assigns Ratings to Freddie Mac Structured Pass-Through Certificates, Series K-031

DBRS, Inc. (DBRS Morningstar) assigned ratings to the Structured Pass-Through Certificates, Series K-031 (the SPCs) issued by Freddie Mac Structured Pass-Through Certificates, Series K-031 as follows:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class X1 at AAA (sf)

All trends are Stable.

The SPCs represent a pass-through interest in certificates issued by FREMF 2013-K31 Mortgage Trust, Series 2013-K31. For more information regarding the performance of the underlying certificates, please see the DBRS Morningstar press release for FREMF 2013-K31 Mortgage Trust, Series 2013-K31 dated December 10, 2019.

These certificates are currently also rated by DBRS Morningstar’s affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In connection with the ongoing consolidation of DBRS Morningstar and MCR, MCR previously announced that it had placed its outstanding ratings of these certificates Under Review–Analytical Integration Review and that MCR intended to withdraw its outstanding ratings; such withdrawal will occur on or about December 23, 2019. In accordance with MCR’s engagement letter covering these certificates, upon withdrawal of MCR’s outstanding ratings, the DBRS Morningstar ratings will become the successor ratings to the withdrawn MCR ratings. Information about the MCR ratings, including the history of the MCR ratings, can be found at www.morningstarcreditratings.com.

The ratings were determined using DBRS Morningstar’s “North American CMBS Multi-borrower Rating Methodology,” “North American CMBS Surveillance Methodology” and North American CMBS Insight Model. As part of the integration of the analytical teams for DBRS, Inc. and MCR, DBRS Morningstar announced its determination that the aforementioned methodologies and model would be used to assign ratings to the outstanding multi-borrower transactions rated by MCR. For further information on that announcement, please see the press release dated September 12, 2019, on the DBRS Morningstar website at www.dbrs.com.

Freddie Mac guarantees (1) timely payment of interest; (2) payment of related principal on the distribution date following the maturity date of each mortgage loan, to the extent such principal would have been distributed to the Class A-1 and Class A-2 certificates; (3) reimbursement of any realized losses (including as a result of additional trust fund expenses) allocated to each class of the SPCs; and (4) ultimate payment of principal by the assumed final distribution date for the Class A-1 and Class A-2 certificates. The ratings assigned by DBRS Morningstar are based exclusively on the credit provided by the transaction structure and underlying assets of FREMF 2013-K31 Mortgage Trust, Series 2013-K31 without regard to the Freddie Mac Guarantee. DBRS Morningstar may take the Freddie Mac Guarantee into consideration for future rating actions.

DBRS Morningstar will provide detailed loan-level commentary for pivotal loans within the transaction on the DBRS Viewpoint platform within the near term.

Class X1 is an interest-only (IO) certificate that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall.

DBRS Morningstar notes that a legal analysis, which included but was not limited to legal opinions and various transaction documents, was performed by MCR as part of its normal course of assigning new ratings to the transaction on or prior to the closing date. Additionally, DBRS Morningstar notes that the transaction contains and benefits from representations and warranties (R&W) surrounding the origination of the mortgage loans; however, DBRS Morningstar did not separately review the R&W or any of the mortgage exceptions. Lastly, DBRS Morningstar also notes that the transaction is part of a programmatic issuance.

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

For supporting data and more information on this transaction, please log onto www.viewpoint.dbrs.com.

Notes:
The principal methodologies are the North American CMBS Multi-borrower Rating Methodology and North American CMBS Surveillance Methodology, which can be found on dbrs.com under Methodologies & Criteria. For a list of the structured-finance-related methodologies that may be used during the rating process, please see the DBRS Morningstar Global Structured Finance Related Methodologies document, which can be found on www.dbrs.com in the Commentary tab under Regulatory Affairs. 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.

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

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process. Please note a sensitivity analysis is not performed for CMBS bonds rated CCC or lower. The DBRS Morningstar long-term rating scale definition indicates that ratings of CCC or lower are assigned when the bond is highly likely to default or default is imminent, thereby prevailing over a sensitivity analysis.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at [email protected].

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