DBRS Morningstar Takes Rating Actions on 22 Freddie Mac CMBS Transactions

DBRS Limited (DBRS Morningstar) conducted its surveillance review of 67 classes from 11 Freddie Mac commercial mortgage-backed security (CMBS) transactions and 42 classes from 11 Freddie Mac Structured Pass-Through Certificate transactions. DBRS Morningstar confirmed its ratings on 94 classes across all of the transactions and upgraded its ratings on 11 classes across five transactions. The rating confirmations reflect the transactions’ overall stable performance, which has generally remained in line with DBRS Morningstar’s expectations at issuance. The rating upgrades were primarily the result of increased defeasance, loan payoffs, and amortization since issuance. All trends are Stable.

There are 581 loans secured across the 11 Freddie Mac CMBS transactions with an aggregate outstanding balance of $13.34 billion as of the January 2022 reporting. One loan, totaling $4.27 million, is in special servicing and 112 loans, totaling $1.58 billion (11.9% of the aggregate outstanding balance), have defeased. Additionally, 43 loans (8.6% of the aggregate outstanding balance) were on the servicers’ watchlists for a variety of reasons including upcoming loan maturity, deferred maintenance, storm and fire damage, forbearance granted for Coronavirus Disease (COVID-19)-related mortgage relief requests, and declines in debt service coverage ratios and occupancy rates at the subject properties.

For a summary of the transaction-level commentary, please see: https://www.dbrsmorningstar.com/research/392577.

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.

DBRS Morningstar materially deviated from its North American CMBS Insight Model when determining the ratings assigned to Classes B and C of the FREMF 2017-K729 transaction as the quantitative results suggested a higher rating. The material deviation is warranted, given the uncertain loan level event risk specifically related to Two Sutton Place North (Prospectus ID#1; 11.3% of the pool) and Windsor at Shirlington Village (Prospectus ID#2; 8.0% of the pool).

Classes that are interest-only (IO) certificates that 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 the North American CMBS Surveillance Methodology (March 26, 2021), 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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