DBRS Morningstar Confirms All Classes of Eight Freddie Mac-Issued CMBS Transactions

DBRS Limited (DBRS Morningstar) conducted its surveillance review of 29 classes from four Freddie Mac commercial mortgage-backed security (CMBS) transactions, and 15 classes from four Freddie Mac Structured Pass-Through Certificate transactions. DBRS Morningstar confirmed its ratings on all classes across the eight transactions. All trends are Stable. The rating confirmations reflect the overall stable performances of the transactions, which have generally remained in line with DBRS Morningstar’s expectations since issuance.

The full listing of the ratings of the classes in these transactions can be found at the end of this press release.

There are 284 loans secured across the eight Freddie Mac CMBS transactions with an aggregate outstanding balance of $4.7 billion as of the July 2022 reporting. There are 93 loans, comprising $1.4 billion (31.1% of the aggregate outstanding balance) that are fully defeased. No loans are in special servicing or are delinquent; however, there are 21 loans, comprising $323.1 million (6.9% of the aggregate outstanding balance), on the servicers’ watchlists for a variety of reasons, including deferred maintenance, declines in debt service coverage ratios, borrower-affiliated lawsuits, and/or declines in occupancy.

For a summary of the transaction-level commentary, please see the press release appendix.

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

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/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

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 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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