DBRS Morningstar Confirms Credit Ratings on 32 Freddie Mac-Issued CMBS Transactions

DBRS Limited (DBRS Morningstar) conducted its surveillance review of 135 classes from 32 Freddie Mac commercial mortgage-backed security (CMBS) transactions and 93 classes from 32 Freddie Mac Structured Pass-Through Certificate transactions. DBRS Morningstar confirmed its ratings on all 228 classes with Stable trends. These transactions, with the exception of Impact Funding Affordable Multifamily Housing Mortgage Loan Trust 2014-1, consist of classes that are rated AAA (sf) by DBRS Morningstar. The rating confirmations reflect the overall stable to improved performance of the transactions, evidenced by healthy performance metrics, increased loan payoffs and defeasance, and increased credit support.

Overall, 1,613 loans are secured across the 32 transactions with an aggregate outstanding balance of $36.9 billion as of the September 2023 remittance. Excluding loans that are defeased, these loans reported a weighted-average debt service coverage ratio (DSCR) of nearly 2.50 times, based on the most recent year-end financials available. Since last review, 53 loans, totaling $1.1 billion, have been repaid and 90 loans, comprising $1.3 billion (3.6% of the aggregate outstanding balance), are defeased. Only one loan, totaling $7.9 million (0.02% of the aggregate outstanding balance), is in special servicing, with 119 loans, totaling $1.7 billion (4.8% of the aggregate outstanding balance), on the servicer’s watchlist for a variety of reasons, including deferred maintenance, storm and fire damage, declines in DSCR, and declines in occupancy at some of the subject properties.

While the majority of loans continue to perform as expected, select loans showing performance declines from issuance or otherwise exhibiting increased risks from issuance were analyzed with stressed scenarios, most typically resulting in a probability of default penalty, as applicable, to increase the expected losses. The sole loan in special servicing has been real estate owned since July 2020 and was liquidated as part of the analysis for this review.

A summary of the rating actions, along with the rating action for each class, can be found by clicking the following link: https://www.dbrsmorningstar.com/research/422244

A summary of the performance metrics for each deal in this cohort can be found by clicking the following link: https://www.dbrsmorningstar.com/research/422245

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/416784 (July 4, 2023).

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 credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by DBRS Morningstar.

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

The principal methodology is the North American CMBS Surveillance Methodology (March 16, 2023; https://www.dbrsmorningstar.com/research/410912).

Other methodologies referenced in this transaction are listed at the end of this press release.

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 credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

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

The credit rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

North American CMBS Multi-Borrower Rating Methodology (March 16, 2023)/North American CMBS Insight Model v 1.1.0.0 (https://www.dbrsmorningstar.com/research/410913)

Rating North American CMBS Interest-Only Certificates (December 19, 2022; https://www.dbrsmorningstar.com/research/407577)

DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria (September 22, 2023; https://www.dbrsmorningstar.com/research/420982/)

North American Commercial Mortgage Servicer Rankings (August 23, 2023; https://www.dbrsmorningstar.com/research/419592)

Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023; https://www.dbrsmorningstar.com/research/415687)

Legal Criteria for U.S. Structured Finance (December 7, 2022;
https://www.dbrsmorningstar.com/research/407008)

A description of how DBRS Morningstar analyzes structured finance transactions and how the methodologies are collectively applied can be found at https://www.dbrsmorningstar.com/research/417279.

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