DBRS Morningstar Takes Rating Actions on 12 Freddie Mac-Issued CMBS Transactions

DBRS Inc. (DBRS Morningstar) conducted its surveillance review of 24 classes from six Freddie Mac commercial mortgage-backed security (CMBS) transactions and 18 classes from six Freddie Mac Structured Pass-Through Certificate transactions. DBRS Morningstar confirmed its ratings on all 42 classes across the 12 transactions. The rating confirmations reflect the overall stable performances of the transactions, which have generally remained in line with DBRS Morningstar’s expectations at issuance. All trends are Stable.

There are 328 loans secured across the 12 Freddie Mac CMBS transactions with an aggregate outstanding balance of $7.68 billion as of the March 2022 reporting. No loans are in special servicing, are delinquent, or have defeased. There are 13 loans (2.4% of the aggregate outstanding balance) on the servicers’ watchlists for a variety of reasons, including deferred maintenance, storm and fire damage, declines in debt service coverage ratios, and declines in occupancy rates at the subject properties.

For a summary of the transaction-level commentary, please see: https://www.dbrsmorningstar.com/research/395144.

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.

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 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 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 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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