Class A-1 at
Class A-2 at
Class X1 at
All trends are Stable.
The Class X1 balance is notional.
The collateral consists of 51 fixed-rate loans secured by 51 multifamily properties, including 34 garden-style multifamily properties, eight mid-rise apartment complexes, three age-restricted properties, two manufactured housing communities (MHCs), one military property, one townhome property, one student housing, and one MHC age-restricted property. All of the loans in the trust have 10-year loan terms. The transaction is a sequential-pay pass-through structure. DBRS Morningstar analyzed the pool to determine the provisional ratings, reflecting the long-term probability of loan default within the term, and its liquidity and maturity. When the cutoff date balances were measured against DBRS Morningstar's net cash flow (NCF) and their respective actual constants, 12 loans, representing 31.0% of the pool, had a DBRS Morningstar term debt service coverage ratio (DSCR) at or above 1.75 times (x), a threshold indicative of a lower likelihood of midterm default.
Classes A-1, A-2, A-M, X1, XAM, and X3 of the FREMF 2022-
Given the pool's overall credit metrics, property quality, and sponsor strength, the pool has a weighted-average (WA) expected loss (EL) of 2.6%, which is in line with the EL seen in recent
The average haircut was -7.5% across the 32 loans that DBRS Morningstar sampled, representing 74.0% of the pool. The sampled average NCF variance is in line with the recent
The pool exhibits a favorable DBRS Morningstar WA Term DSCR of 1.60x. Furthermore, approximately 31.0% of the total pool balance exhibits a DBRS Morningstar DSCR at or above 1.75x. The high DSCR is credit positive in the DBRS Morningstar model.
DBRS Morningstar considered nine loans, comprising 28.2% of the pool, to be of Average + property quality based on physical attributes and/or a desirable location within their respective markets. Four of these loans (
In response to the ongoing Coronavirus Disease (COVID-19) pandemic,
The pool is concentrated by property type as multifamily properties represent 97.0% of the pool balance. One property, Isl 1220, representing 0.4% of the pool, is student housing, and three loans, representing 0.6% of the pool, are MHCs (including one age-restricted MHC). DBRS Morningstar observed Pointe at Stafford, comprising 2.0% of the pool, to have a high military tenant concentration. Compared with other property types, multifamily assets generally benefit from staggered lease rollover and lower expense ratios. While revenue is quick to decline in a downturn because of the short-term nature of the leases, it is also quick to respond when the market improves. Forty-nine loans, representing 97.3% of the pool, exhibited a recent occupancy rate of more than 90.0% and 42 loans, representing 81.9% of the pool, exhibited a recent occupancy rate at or above 95.0%.
Twenty-three loans, representing 60.3% of the pool balance, are secured by properties with DBRS
Eleven loans, representing 29.5% of the pool balance, are full-term interest-only (IO) loans. An additional 37 loans, representing 67.7% of the pool balance, are partial IO loans, ranging between 24 and 84 months of IO payments. Three loans, representing 2.9% of the pool balance, are scheduled to pay principal for the entire loan term.
Because of health and safety constraints associated with the ongoing coronavirus pandemic, DBRS Morningstar was unable to perform site inspections on any of the properties in the pool. As a result, DBRS Morningstar relied more heavily on third-party reports, online data sources, and information provided by the Issuer to determine the overall DBRS Morningstar property quality score for each loan. The Issuer provided recent third-party reports for all loans that contained property quality commentary and photos.
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.
Class X1 is an IO certificate that references 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.
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
With regard to due diligence services, DBRS Morningstar was provided with the Form ABS Due Diligence-15E (Form-15E), which contains a description of the information that a third party reviewed in conducting the due diligence services and a summary of the findings and conclusions. While due diligence services outlined in Form-15E do not constitute part of DBRS Morningstar's methodology, DBRS Morningstar used the data file outlined in the independent accountant's report in its analysis to determine the ratings referenced herein.
The principal methodology is North American CMBS Multi-Borrower Rating Methodology (
The DBRS
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.
Tel. +1 212 806-3277
Ratings
Date Issued Debt Rated Action Rating Trend Attributesi
US = Lead Analyst based in USA
CA = Lead Analyst based in
E =
U =
Unsolicited Participating With Access
Unsolicited Participating Without Access
Unsolicited Non-participating
16-May-22 Structured Pass-Through Certificates, Series K-144, Class A-1 Provis.-NewAAA (sf) Stb US
16-May-22 Structured Pass-Through Certificates, Series K-144, Class A-2 Provis.-NewAAA (sf) Stb US
16-May-22 Structured Pass-Through Certificates, Series K-144, Class X1 Provis.-NewAAA (sf) Stb US
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