Press Release

DBRS Morningstar Finalizes Provisional Ratings on Freddie Mac Structured Pass-Through Certificates, Series K-105

CMBS
March 12, 2020

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following Structured Pass-Through Certificates, Series K-105 issued by Freddie Mac Structured Pass-Through Certificates, Series K-105:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-M at A (high) (sf)
-- Class X-1 at AAA (sf)
-- Class XAM at AA (low) (sf)

All trends are Stable.

Freddie Mac guarantees the (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 that such principal would have been distributed to the underlying Class A-1, Class A-2, and Class A-M certificates; (3) reimbursement of any realized losses and additional trust fund expenses allocated to the Class A-1, Class A-2, and Class A-M certificates; and (4) ultimate payment of principal by the assumed final distribution date for the underlying Class A-1, Class A-2, and Class A-M certificates. All classes will be subject to ongoing surveillance by DBRS Morningstar after the date of issuance. The ratings assigned by DBRS Morningstar at issuance are based exclusively on the credit provided by the transaction structure and underlying assets of FREMF 2020-K105 Mortgage Trust, Series 2020-K105 without regard to the Freddie Mac Guarantee. DBRS Morningstar may take the Freddie Mac Guarantee into consideration for future rating actions.

Classes X-1 and XAM are interest-only (IO) certificates 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.

All ratings will be 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 into www.viewpoint.dbrsmorningstar.com. DBRS Morningstar provides analysis and in-depth commentary in the DBRS Viewpoint platform.

DBRS Morningstar provides updated analysis and in-depth commentary in the DBRS Viewpoint platform for the following loans in the transaction:
-- Prospectus ID#1 - Landmark Student Housing Portfolio (7.2% of the pool)
-- Prospectus ID#1–Landmark Student Housing Portfolio (7.2% of the pool)
-- Prospectus ID#2–NV at Harbor Point (7.2% of the pool)
-- Prospectus ID#3–Tivalli (5.0% of the pool)
-- Prospectus ID#4–Elysian at Flamingo (3.8% of the pool)
-- Prospectus ID#5–Arches at Hidden Creek (3.8% of the pool)
-- Prospectus ID#6–Prominence Apartments Phase I (3.7% of the pool)
-- Prospectus ID#7–Avalon Shelton (3.6% of the pool)
-- Prospectus ID#8–Rancho Hillside (3.5% of the pool)
-- Prospectus ID#9–Aurora at Summerfield (3.5% of the pool)
-- Prospectus ID#10–Sandpiper Apartments (3.4% of the pool)
-- Prospectus ID#11–Country Club West Apartments (2.9% of the pool)
-- Prospectus ID#12–Sterling Village (2.9% of the pool)
-- Prospectus ID#13–Registry at Windsor Parke (2.4% of the pool)
-- Prospectus ID#14–Beckett Farms (2.2% of the pool)
-- Prospectus ID#15–Trailside at Reedy Point (2.2% of the pool)

For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrsmorningstar.com. The platform includes issuer and servicer data for most outstanding CMBS transactions (including non-DBRS Morningstar rated), as well as loan-level and transaction-level commentary for most DBRS Morningstar-rated and -monitored transactions.

Notes:
With regard to due diligence services, DBRS Morningstar was provided with the Form ABS Due Diligence-15E (Form-15E), which contains a description of the information that a third party reviewed in conducting the due diligence services and a summary of the findings and conclusions. While due diligence services outlined in Form-15E do not constitute part of DBRS Morningstar’s methodology, DBRS Morningstar used the data file outlined in the independent accountant’s report in its analysis to determine the ratings referenced herein.

The principal methodology is the North American CMBS Multi-borrower Rating Methodology, which can be found on www.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.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883/dbrs-morningstar-provides-update-on-rating-methodologies-in-light-of-measures-to-contain-coronavirus-disease-covid-19.

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.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at [email protected].

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

DBRS, Inc.
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New York, NY 10005 USA

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.