DBRS Morningstar Confirms Ratings on All Classes of 15 Freddie Mac-Issued CMBS Transactions

DBRS Limited (DBRS Morningstar) conducted its surveillance review of multiple transactions, which included 61 classes from seven Freddie Mac commercial mortgage-backed security (CMBS) transactions, 35 classes from seven Freddie Mac Structured Pass-Through Certificate transactions, and three classes from one ReREMIC transaction collateralized by an underlying Freddie Mac CMBS transaction. The seven Freddie Mac CMBS transactions and seven companion Freddie Mac Structured Pass-Thorugh Certificate Transactions were all closed in 2019. DBRS Morningstar confirmed its ratings with Stable trends on 99 classes across the 15 transactions. 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 full list of ratings on the classes in these transactions can be found at the end of this press release.

According to the June 2022 servicer reporting, there are 396 loans secured across the seven Freddie Mac CMBS transactions with an aggregate outstanding balance of $10.1 billion. There are no loans in special servicing, and there are 33 loans representing 8.3% of the transactions’ aggregate outstanding balance on the respective servicers’ watchlists. Watchlisted loans are generally being monitored for deferred maintenance issues and declines in occupancy and cash flow, resulting in stressed debt service coverage ratios. In addition, 32 loans, representing 8.2% of the transactions’ aggregate outstanding balance have defeased. In evaluating the performance of these transactions, DBRS Morningstar looked for year-over-year changes since its last review including new defeasance, new additions to, or removals from, the servicers’ watchlists, and loan repayments. Given the recent vintage, these changes were generally minimal and, as such, no significant credit events were noted in the analysis.

These rating actions addressed one ReREMIC transaction: NW RE-REMIC 2021-FRR1. The transaction is a resecuritization collateralized by the beneficial interests in one commercial mortgage-backed pass-through certificate from one underlying transaction: FREMF 2019-K88 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2019-K88. The ratings assigned to the ReREMIC is dependent on the performance of the underlying transaction.

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].

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577