Press Release

DBRS Morningstar Confirms Ratings on 38 Freddie Mac-Issued CMBS Transactions

CMBS
September 18, 2020

DBRS, Inc. (DBRS Morningstar) conducted its surveillance review of 161 classes from 19 Freddie Mac commercial mortgage-backed security (CMBS) transactions and 95 classes from 19 Freddie Mac Structured Pass-Through Certificate transactions. DBRS Morningstar confirmed its ratings on all 256 classes with Stable trends. The rating confirmations reflect the transactions’ overall stable performance, which has generally remained in line with DBRS Morningstar’s expectations at issuance.

Overall, there are 1,145 loans secured across the 38 transactions with an aggregate outstanding balance of $26.1 billion as of August 2020. In addition, there are no loans in special servicing and no loans that have defeased. As of August 2020, 94.7% of the loans were performing while 5.3% were on the servicer’s watchlist because of deferred maintenance, forbearance granted for Coronavirus Disease (COVID-19)-related mortgage relief requests, and debt service coverage ratio and occupancy declines at some of the subject properties.

As of August 2020, 86 loans were on the servicer’s watchlist, 19 of which (representing 1.2% of the outstanding balance across the 38 transactions) have been flagged for forbearance requests. Generally, Freddie Mac initially granted a three-month forbearance for borrowers experiencing hardships related to the coronavirus, but extended the forbearance period. Given the overall strengths and strong historical performance of the 38 individual transactions, DBRS Morningstar considered the forbearance requests to have minimal credit impact on each transaction.

As of June 2020, DBRS Morningstar developed a baseline rating scenario and sensitivity analyses for its rated conduit and agency multiborrower transactions to reflect the concerns and conditions surrounding the coronavirus pandemic. As a result, DBRS Morningstar identified that none of the 38 transactions had higher concentrations of ongoing or baseline scenario risk factors. For more information, please see the commentary entitled “CMBS Conduit Exposure to Coronavirus Disease (COVID-19) Implications” published on June 29, 2020.

For a summary of the rating actions, please click the following link: <a href="https://www.dbrsmorningstar.com/research/366819/" target="_blank">Freddie Mac Rating Actions</a>.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Classes that are interest-only (IO) certificates 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 are subject to surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by DBRS Morningstar.

DBRS Morningstar provides updated analysis and in-depth commentary for these transactions, particularly at issuance, in the DBRS Viewpoint platform.

For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrsmorningstar.com. The platform includes loan-level 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:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is North American CMBS Surveillance Methodology (March 6, 2020), which can be found on dbrsmorningstar.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 dbrsmorningstar.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.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

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.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

DBRS, Inc.
22 West Washington Street
Chicago, IL 60602
Tel. +1 312 696-6293

Ratings

FREMF 2018-K74 Mortgage Trust, Series 2018-K74
FREMF 2018-K75 Mortgage Trust, Series 2018-K75
FREMF 2018-K77 Mortgage Trust, Series 2018-K77
FREMF 2018-K78 Mortgage Trust, Series 2018-K78
FREMF 2018-K79 Mortgage Trust, Series 2018-K79
FREMF 2018-K81 Mortgage Trust, Series 2018-K81
FREMF 2018-K82 Mortgage Trust, Series 2018-K82
FREMF 2018-K84 Mortgage Trust, Series 2018-K84
FREMF 2018-K86 Mortgage Trust, Series 2018-K86
FREMF 2019-K100 Mortgage Trust, Series 2019-K100
FREMF 2019-K734 Mortgage Trust, Series 2019-K734
FREMF 2019-K735 Mortgage Trust, Series 2019-K735
FREMF 2019-K736 Mortgage Trust, Series 2019-K736
FREMF 2019-K88 Mortgage Trust, Series 2019-K88
FREMF 2019-K89 Mortgage Trust, Series 2019-K89
FREMF 2019-K90 Mortgage Trust, Series 2019-K90
FREMF 2019-K92 Mortgage Trust, Series 2019-K92
FREMF 2019-K93 Mortgage Trust, Series 2019-K93
FREMF 2019-K98 Mortgage Trust, Series 2019-K98
Freddie Mac Structured Pass-Through Certificates, Series K-074
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  • 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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