DBRS Morningstar Takes Rating Actions on 16 Freddie Mac-Issued CMBS Transactions and One ReREMIC Transaction

DBRS Limited (DBRS Morningstar) conducted its surveillance review of 68 classes from eight Freddie Mac commercial mortgage-backed security (CMBS) transactions, 40 classes from eight Freddie Mac Structured Pass-Through Certificate transactions, and 17 classes from one ReREMIC transaction collateralized by underlying Freddie Mac CMBS transactions. DBRS Morningstar confirmed its ratings on 119 classes across the 17 transactions and upgraded six classes in the ReREMIC transaction. The rating confirmations reflect the overall stable performances of the transactions, which have generally remained in line with DBRS Morningstar’s expectations at issuance. The rating upgrades reflect the increase in credit support in two of the ReREMIC underlying transactions as a result of loan payoffs and defeasance in the last year. All trends are Stable.

The full listing of the ratings of the classes in these transactions can be found at the end of this press release.

There are 510 loans secured across the 16 Freddie Mac CMBS transactions with an aggregate outstanding balance of $10.4 billion as of the June 2022 reporting. There is one loan, totalling $6.2 million in special servicing and 51 loans, comprising $873.2 million (8.4% of the aggregate outstanding balance) that are fully defeased. Additionally, 39 loans (8.5% of the aggregate outstanding balance) are on the servicers’ watchlists for a variety of reasons, including deferred maintenance, storm and fire damage, declines in debt service coverage ratios, and declines in occupancy rates at the subject properties.

These rating actions addressed one ReREMIC transaction: GAM RE-REMIC TRUST 2021-FRR2. The transaction is a resecuritization collateralized by the beneficial interests in five commercial mortgage-backed pass-through certificates from five underlying transactions: FREMF 2015-K44 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2015-K44; FREMF 2015-K49 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2015-K49; FREMF 2018-K730 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2018-K730; FREMF 2018-K74 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2018-K74; and FREMF 2018-K78 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2018-K78. The ratings are dependent on the performance of the underlying transactions.

For a summary of the transaction-level commentary, please see the press release appendix.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

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

The principal methodology is North American CMBS Surveillance Methodology (March 4, 2022), 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.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at [email protected].

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.

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

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