Press Release

Morningstar DBRS Assigns Provisional Credit Ratings to Freddie Mac MSCR Trust MN11

CMBS
July 07, 2025

DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of Freddie Mac Multifamily Structured Credit Risk Notes, Series 2025-MN11 (the Notes) to be issued by Freddie Mac MSCR Trust MN11 (the Trust):

-- Class M-1 at (P) BBB (low) (sf)
-- Class M-2 at (P) BB (low) (sf)
-- Class B-1 at (P) B (low) (sf)

All trends are Stable.

The Notes are subject to the credit and principal payment risk of a certain reference pool (the Reference Pool) of commercial mortgage loans held in various Federal Home Loan Mortgage Corporation (Freddie Mac or the Company)-guaranteed mortgage-backed securities, and loans owned by Freddie Mac. The transaction consists of the applicable Reference Obligation Percentage of each of 308 fixed-rate mortgage loans, 32 floating-rate mortgage loans, and 35 hybrid adjustable-rate mortgage loans, which have a fixed rate for an initial period and an adjustable rate thereafter, secured by 398 multifamily properties. All commentary in this report will refer to the pool as a 370-loan pool as Morningstar DBRS rolled up five loans as these loans had a first-lien and second lien mortgage loans or a TEL or taxable tail, thus Morningstar DBRS treated them as one loan. The aggregate pool balance is approximately $10,382,333,254. The pool consists of underlying mortgage loans secured by one or more multifamily properties originated through Freddie Mac's Multi PC, K-Series Structured Pass-Through Certificates (SPCs), or small balance (SB) programs. Two hundred and thirty-three loans, representing 75.5% of the total pool balance, were originated through Multi PC; 75 loans, representing 23.1% of the total pool balance, were originated through the K-Series SPCs; and 62 loans, representing 1.5% of the total pool balance, were originated through SB. Morningstar DBRS estimates that Freddie Mac originated the mortgage loans between May 23, 2018, and March 31, 2025.

On the Closing Date, the Trust will enter into a Collateral Administration Agreement and a Capital Contribution Agreement with Freddie Mac. Freddie Mac, as the credit protection buyer, will be required to pay to the Trust any Transfer Amount, Return Reimbursement Amount, and Capital Contribution Amount. The Trust is expected to use the aggregate proceeds realized from the sale of the Notes to purchase certain eligible investments to be held in a custodian account. The eligible investments are restricted to highly rated, short-term investments. Cash flow from the Reference Pool will not be used to make any payments; instead, on each payment date, the Trust is expected to pay interest on the Notes from the investment earnings on the Eligible Investments.

Freddie Mac has strong origination practices, and its programs exhibit strong historical loan performance. Freddie Mac maintains solid approval and monitoring procedures and focused lender quality and loan quality control processes for its counterparties to effectively manage the credit risk and performance of its portfolio. Loans on Freddie Mac's balance sheet, which it originates according to the same policies as those for securitization, had an extremely low delinquency rate of 0.46% as of May 2025. This compares favorably with the delinquency rate of approximately 6.57% for commercial mortgage-backed security (CMBS) multifamily loans over the same period.

There are 77 loans, representing 21.5% of the pool, in a Morningstar DBRS Metropolitan Statistiscal Area (MSA Group 3, which is the best-performing group in terms of historic CMBS default rates among the top 25 MSAs. The MSA Group 3 historical default rate is considerably lower than the overall CMBS historical default rate.

The subject pool is diverse based on loan count and size, with an average cut-off date balance of $28,060,360, a concentration profile equivalent to that of a transaction with 144.6 equal-size loans, and a top 10 loan concentration of 17.7%. Increased pool diversity helps insulate the higher-rated classes from event risk.

The pool exhibits Morningstar DBRS Weighted-Average (WA) Issuance and Balloon Loan-To-Value Ratios (LTVs) of 63.0% and 60.0%, respectively, both of which are in line with recent Morningstar DBRS-rated Freddie Mac transactions. Furthermore, 134 loans, representing 34.7% of the pool balance, exhibit Morningstar DBRS Issuance LTVs of less than 60.9%, resulting in a decreased probability of default.

Given its overall credit metrics, the pool has a WA expected loss of 0.9%, which is lower than the expected loss seen in Morningstar DBRS-rated Fredie Mac transactions throughout 2023 and 2024. The pool's WA expected loss is substantially lower than that of the general multiborrower CMBS universe.

Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes.

Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, Morningstar DBRS' credit ratings do not address nonpayment risk associated with Prepayment Premiums.

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 at (May 16, 2025) at https://dbrs.morningstar.com/research/454196.

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 Multi-Borrower Rating Methodology (April 9, 2025) https://dbrs.morningstar.com/research/451739.

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

With regard to due diligence services, Morningstar DBRS was not provided with the Form ABS Due Diligence-15E (Form-15E), which contains a description of the information that a third party reviewed in conducting the due diligence services and a summary of the findings and conclusions.

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.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of final credit ratings on the above-mentioned securities is subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalize the credit ratings.

Please see the 17g-7 disclosure report and/or the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

DBRS, Inc.
22 West Washington Street
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 Commercial Mortgage Servicer Rankings (August 23, 2024)
https://dbrs.morningstar.com/research/438283
-- Morningstar DBRS North American Commercial Real Estate Property Analysis Criteria (September 19, 2024)
https://dbrs.morningstar.com/research/439702
-- Legal Criteria for U.S. Structured Finance (December 3, 2024)
https://dbrs.morningstar.com/research/444064
-- Interest Rate Stresses for U.S. Structured Finance Transactions (March 27, 2025)
https://dbrs.morningstar.com/research/450750
-- North American CMBS Insight Model v 1.3.0.0 https://dbrs.morningstar.com/research/451739

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

Ratings

Freddie Mac Multifamily Structured Credit Risk (MSCR) Notes, Series 2025-MN11
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.