Press Release

DBRS Morningstar Takes Rating Actions on 44 Freddie Mac-Issued CMBS Transactions

CMBS
November 25, 2020

DBRS, Inc. (DBRS Morningstar) conducted its surveillance review of 116 classes from 22 Freddie Mac commercial mortgage-backed security (CMBS) transactions, 48 classes from 18 Freddie Mac Structured Pass-Through Certificate transactions, and 13 classes from four ReREMIC transactions collateralized by underlying Freddie Mac CMBS transactions. Of the 177 classes reviewed, DBRS Morningstar confirmed its ratings on 151 classes with Stable trends and confirmed its ratings on three classes with Positive trends. The rating confirmations reflect the transactions’ overall stable performance, which has generally remained in line with DBRS Morningstar’s expectations at issuance.

In addition, DBRS Morningstar upgraded its ratings on 21 classes, 16 with Stable trends and five with Positive trends. The rating upgrades reflect positive performance trends for the underlying loans and/or increases in credit support for these bonds, which is sufficient to withstand stresses at their new rating levels.

DBRS Morningstar also discontinued its ratings on two classes following full repayment.

These rating actions addressed four ReREMIC transactions: BAMLL Re-REMIC Trust 2013-FRR1 (BAMLL 2013-FRR1); Series RR 2014-1 Trust (Series RR 2014-1); BAMLL Re-REMIC Trust 2016-FRR13 (BAMLL 2016-FRR13); and BAMLL Re-REMIC Trust 2016-FRR14 (BAMLL 2016-FRR14). A brief description of the underlying collateral for each ReREMIC transaction is outlined below, followed by an overview of the 22 Freddie Mac CMBS transactions.

BAMLL 2013-FRR1 is a resecuritization collateralized by the beneficial interest in one commercial mortgage-backed pass-through certificate from the DBRS Morningstar-rated FREMF 2011-K11 Mortgage Trust, Series 2011-K11 transaction. The ReREMIC ratings depend on the performance of this underlying transaction.

Series RR 2014-1 is a resecuritization collateralized by the beneficial interest in one commercial mortgage-backed pass-through certificate from the DBRS Morningstar-rated FREMF 2014-K38 Mortgage Trust, Series 2014-K38 transaction. The ReREMIC ratings depend on the performance of this underlying transaction.

BAMLL 2016-FRR13 is a resecuritization collateralized by the beneficial interest in one commercial mortgage-backed pass-through certificate from the DBRS Morningstar-rated FREMF 2011-K13 Mortgage Trust, Series 2011-K13 transaction. The ReREMIC ratings depend on the performance of this underlying transaction.

BAMLL 2016-FRR14 is a resecuritization collateralized by the beneficial interest in one commercial mortgage-backed pass-through certificate from the DBRS Morningstar-rated FREMF 2012-K21 Mortgage Trust, Series 2012-K21 transaction. The ReREMIC ratings depend on the performance of this underlying transaction.

There are 1,626 loans secured across the 22 Freddie Mac CMBS transactions with an aggregate outstanding balance of $24.7 billion as of October 2020. There is large concentration of defeasance across the deal set as 49.7% of the loans are fully defeased. Excluding defeased loans, 7.9% of the remaining loans by outstanding loan balance across the 22 transactions are on the servicer’s watchlist because of deferred maintenance, forbearance granted for Coronavirus Disease (COVID-19)-related mortgage-relief requests, and/or debt service coverage ratio and occupancy declines. Eighteen loans, representing 2.5% of the outstanding loan balance, have been watchlisted for forbearance requests. Two of these loans, The Lofts 640 (Prospectus ID#3; 4.3% of the DBRS Morningstar-rated FREMF 2012-K18 Mortgage Trust, Series 2012-K18 outstanding trust balance) and The Quad (Prospectus ID#5; 2.6% of the FREMF 2014-K38 Mortgage Trust, Series 2014-K38 outstanding trust balance) were originally granted three months of forbearance, but are now listed as 90+-days delinquent following Freddie Mac’s denial of subsequent forbearance requests. Freddie Mac initially granted a three-month forbearance for borrowers experiencing hardship related to the coronavirus and generally extended the forbearance period by an additional three months as the effects of the pandemic lingered. Given the overall strengths of the Freddie Mac program and strong historical performance of the 22 individual transactions, DBRS Morningstar considered the forbearance requests to have minimal credit impact on each transaction.

As of October 2020, there are three loans in special servicing: Apex At Kutztown (Prospectus ID#13; 2.1% of the DBRS Morningstar-rated FREMF 2011-K16 Mortgage Trust, Series 2011-K16 outstanding trust balance); The Reserve on Frankford (Prospectus ID#52; 0.8% of the DBRS Morningstar-rated FREMF 2013-K26 Mortgage Trust, Series 2013-K26 outstanding trust balance); and Agape At Harbison (Prospectus ID#57; 0.7% of the DBRS Morningstar-rated FREMF 2014-K37 Mortgage Trust, Series 2014-K37 outstanding trust balance). The Apex at Kutztown loan is secured by a student housing property in Kutztown, Pennsylvania, which transferred to special servicing in January 2019 for imminent monetary default. The loan is now 90+-days delinquent with a workout strategy of foreclosure. Per the of January 2020 appraisal, the property was valued at $14.1 million ($25,588/room), well below the issuance appraisal of $32.4 million ($58,695/room), reflecting a value reduction of 56.5%. The Agape At Harbison is secured by an assisted-living property in Irmo, South Carolina, which transferred to special servicing in September 2019 for payment default. The loan is now 90+-days delinquent and has been real estate owned since May 2020. Per the July 2020 appraisal, the property was valued at $6.3 million ($100,000/room), down from $13.2 million ($209,523/room) at issuance, reflecting a value reduction of 52.2%. Given the sizable value reductions since issuance, among other considerations, DBRS Morningstar assumes that both loans will incur significant loss upon resolution.

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 of that analysis, DBRS Morningstar identified that none of the 22 Freddie Mac CMBS 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: https://www.dbrsmorningstar.com/research/370503.

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.

As per the CMBS surveillance methodology, DBRS Morningstar recalculates the tranche credit enhancement multiple at the time of its surveillance review and compares this level with the multiple level upon issuance and may make adjustments to original assumptions or run a new model based on periodic checks on performance at various times throughout the life of the transaction. In this case, a new model was not run as performance was deemed to be generally in line with expectations at the last review. As of the previous actions published on December 10, 2019, a material deviation from the predictive model was reported on the five classes across the BAMLL 2016-FRR13 and BAMLL 2016-FRR14 transactions. The material deviations were warranted given the uncertain loan-level event risk.

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 Morningstar 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.

Generally, the conditions that lead to the assignment of a Negative or Positive trend are generally resolved within a 12-month period. DBRS Morningstar’s outlooks and ratings are monitored.

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

BAMLL Re-REMIC Trust 2013-FRR1
BAMLL Re-REMIC Trust 2016-FRR13
BAMLL Re-REMIC Trust 2016-FRR14
FREMF 2011-K11 Mortgage Trust, Series 2011-K11
FREMF 2011-K12 Mortgage Trust, Series 2011-K12
FREMF 2011-K13 Mortgage Trust, Series 2011-K13
FREMF 2011-K15 Mortgage Trust, Series 2011-K15
FREMF 2011-K16 Mortgage Trust, Series 2011-K16
FREMF 2011-KAIV Mortgage Trust, Series 2011-KAIV
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-K21 Mortgage Trust, Series 2012-K21
FREMF 2012-K22 Mortgage Trust, Series 2012-K22
FREMF 2013-K24 Mortgage Trust, Series 2013-K24
FREMF 2013-K26 Mortgage Trust, Series 2013-K26
FREMF 2013-K28 Mortgage Trust, Series 2013-K28
FREMF 2013-K29 Mortgage Trust, Series 2013-K29
FREMF 2013-K31 Mortgage Trust, Series 2013-K31
FREMF 2013-K33 Mortgage Trust, Series 2013-K33
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