DBRS Morningstar Confirms Ratings on GAM Re-REMIC Trust 2021-FRR1

DBRS Limited (DBRS Morningstar) confirmed its ratings on the following classes of Multifamily Mortgage Certificate-Backed Certificates, Series 2021-FRR1 (the Certificates) issued by GAM Re-REMIC Trust 2021-FRR1:

-- Class 1A at BBB (low) (sf)
-- Class 1B at BB (low) (sf)
-- Class 1C at B (high) (sf)
-- Class 1D at B (low) (sf)
-- Class 2A at BBB (low) (sf)
-- Class 2B at BB (low) (sf)
-- Class 2C at B (low) (sf)

All trends are Stable.

This transaction is a resecuritization collateralized by the beneficial interests in two commercial mortgage-backed pass-through certificates from two underlying transactions: FREMF 2017-K66 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2017-K66, which was securitized in 2017, and FREMF 2018-K72 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2018-K72, which was securitized in 2018. The ratings are dependent on the performance of the underlying transactions.

The rating confirmations reflect the transactions’ overall stable performance, which has generally remained in line with DBRS Morningstar’s expectations at issuance. As of the February 2022 remittance, the FREMF 2017-K66 transaction has experienced a collateral reduction of 1.6% since issuance with defeasance collateral totalling 7.3% of the current pool balance. Through the same reporting period, the FREMF 2018-K72 transaction has experienced a collateral reduction of 1.6% since issuance with defeasance collateral totalling 6.6% of the current pool balance. The weighted average (WA) debt service coverage ratios of these underlying transactions are 1.86 times (x) and 1.96x, respectively, with WA debt yields at 9.0% and 8.9%, respectively, as of February 2022 reporting.

Both of the underlying commercial mortgage-backed security transactions contribute the most junior certificates to the rated Re-REMIC structure.

ESG CONSIDERATIONS
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/373262.

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

The DBRS Viewpoint platform provides additional information on this transaction and underlying loans including DBRS Morningstar metrics, commentary, servicer-reported cash flows, and other performance-related data.

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 info@dbrsmorningstar.com.

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 info@dbrsmorningstar.com.

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