DBRS Morningstar Takes Rating Actions on 22 Freddie Mac-Issued CMBS Transactions and One ReREMIC Transaction

DBRS Limited (DBRS Morningstar) conducted its surveillance review of 74 classes from 11 Freddie Mac commercial mortgage-backed security (CMBS) transactions, 34 classes from 11 Freddie Mac Structured Pass-Through Certificate transactions, and seven classes from one ReREMIC transaction collateralized by an underlying Freddie Mac CMBS transaction. DBRS Morningstar confirmed its ratings on 96 classes and upgraded its ratings on 12 classes across the 22 Freddie Mac transactions and upgraded seven classes in the ReREMIC transaction. The rating confirmations reflect the overall stable performances of the transactions, which have generally remained in line with DBRS Morningstar’s expectations from the prior review. The rating upgrades reflect the increase in loan payoffs and defeasance within the Freddie Mac CMBS transactions and the increase in the credit support for the ReREMIC transaction since the prior review. All trends are Stable.

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

There are 798 loans secured across the 11 Freddie Mac CMBS transactions with an aggregate outstanding balance of $12.8 billion as of the August 2022 reporting. There is one loan, totalling $8.0 million, in special servicing and 413 loans, comprising $6.3 billion (49.2% of the aggregate outstanding balance), that are fully defeased. Additionally, 62 loans (6.4% of the aggregate outstanding balance) are 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. In evaluating the performance of these transactions, DBRS Morningstar looked for year-over-year changes since its last review, including new defeasance; new additions to, or removals from, the servicers’ watchlists; and loan repayments.

These rating actions addressed one ReREMIC transaction: Series RR 2014-1 Trust. The transaction is a resecuritization collateralized by the beneficial interests in one commercial mortgage-backed pass-through certificate from one underlying transaction: FREMF 2014-K38 Mortgage Trust, Series 2014-K38. The ratings are dependent on the performance of the underlying transaction.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors 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 (May 17, 2022).

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 in the DBRS Viewpoint platform for these transactions.

The DBRS Viewpoint platform provides additional information on these transactions 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.

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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