Morningstar DBRS Confirms Credit Ratings on 29 Freddie Mac CMBS Transactions, One LIHTC Transaction, and 30 Freddie Mac SPC Transactions

DBRS, Inc. (Morningstar DBRS) conducted its surveillance review of 115 classes from 29 Freddie Mac commercial mortgage-backed securities (CMBS) transactions and 11 classes from one low-income housing tax credit (LIHTC) transaction: Impact Funding Affordable Multifamily Housing Mortgage Loan Trust 2014-1 (IMPF 2014-1 or the LIHTC transaction). This review also covered 91 classes from 30 Freddie Mac Structured Pass-Through Certificate (SPC) transactions. Classes from the Freddie Mac CMBS transactions and the LIHTC transaction were conveyed into the corresponding SPC transactions at the respective issuance dates. Morningstar DBRS confirmed its credit ratings on all 217 classes with Stable trends. All 29 of the Freddie Mac CMBS transactions consist of classes that have Morningstar DBRS credit ratings of AAA (sf). The IMPF 2014-1 transaction has classes with Morningstar DBRS credit ratings between AAA (sf) and B (sf). The credit 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, 1,514 loans are secured across the 30 CMBS transactions with an aggregate outstanding balance of $35.7 billion as of the September 2024 remittance dates. The pools reported a weighted-average (WA) debt service coverage ratio (DSCR) of approximately 2.51 times, based on the most recent year-end financials available. Since September 2023, just one loan has been repaid and relatively minimal new defeasance has been reported across the 35 transactions in the last year. The transactions report a WA collateral reduction from issuance of 0.88% and a WA defeasance concentration of 1.1%. The WA servicer's watchlist concentration is 7.4% and there is just one loan in special servicing (representing less than 1.0% of the holding transaction) across the 35 deals. The watchlisted loans are being monitored for a variety of reasons, including declines in DSCR, declines in occupancy at some of the collateral properties, and deferred maintenance and casualty claims ongoing.

The full listing of the credit ratings for the individual classes, along with the transaction-level performance metrics for these deals, is found at the end of this press release.

For more information on the performance metrics for each deal, please refer to the document at the end of this press release.

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.

A summary of these credit rating actions, along with the credit rating action for each class, can be found by clicking the following link: https://www.dbrsmorningstar.com/research/441514.

A summary of the performance metrics for each of the affected transactions can be found by clicking the following link: https://www.dbrsmorningstar.com/research/441515.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

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

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (August 13, 2024), at https://dbrs.morningstar.com/research/437781.

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

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

The principal methodology is North American CMBS Surveillance Methodology (March 1, 2024),
https://dbrs.morningstar.com/research/428798

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

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.

Morningstar DBRS 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.

The conditions that lead to the assignment of a Negative or Positive trend are generally resolved within a 12-month period. Morningstar DBRS' outlooks and credit ratings are monitored.

DBRS, Inc.
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Chicago, IL 60602 USA
Tel. +1 312 332-3429

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

-- North American CMBS Multi-Borrower Rating Methodology (March 1, 2024)/North American CMBS Insight Model v 1.2.0.0, https://dbrs.morningstar.com/research/428797
-- Rating North American CMBS Interest-Only Certificates (June 28, 2024), https://dbrs.morningstar.com/research/435294
-- North American Commercial Mortgage Servicer Rankings (August 23, 2024), https://dbrs.morningstar.com/research/438283
-- Legal Criteria for U.S. Structured Finance (April 15, 2024), https://dbrs.morningstar.com/research/431205
-- Morningstar DBRS North American Commercial Real Estate Property Analysis Criteria (September 19, 2024), https://dbrs.morningstar.com/research/439702

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.