Class A-1 at
Class A-2 at
Class X1 at
Class X2-A at
All trends are Stable.
The Class X1 and X2-A balances are notional.
The collateral consists of 53 fixed-rate loans secured by 53 commercial properties, including 42 garden-style multifamily properties; four manufactured home communities (MHCs); three high-rise, mid-rise, or townhome properties; and four senior housing properties that are age restricted or offer assisted-living services. The transaction has a sequential-pay pass-through structure. DBRS Morningstar analyzed the conduit pool to determine the provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity.
Classes A-1, A-2, A-M, X1, XAM, and X3 of the FREMF 2021-K132 transaction have been conveyed into a trust by
This transaction represents a change from prior
Given the pool's overall credit metrics, property quality, and sponsor strength, the deal has a weighted-average (WA) expected loss of 2.0%, which is lower than most recent
In response to the ongoing Coronavirus Disease (COVID-19) pandemic,
Seven loans, representing 8.3% of the pool, did not have customary due diligence performed by the mortgage loan seller. This includes an in-person site inspection and the completion of a property condition report. These loans have an average vintage of 1993 with two loans having had renovations in 2019 and 2020. These properties have a low WA DBRS Morningstar Issuance and Balloon LTV of 67.5% and 62.7%, respectively. Additionally, the seven properties demonstrated strong occupancy levels with an average occupancy rate of 95.3% (ranging from 86.7% to 99.5%). DBRS Morningstar also reviewed third-party reports, asset summary reports, and other online information to determine the appropriate property quality score for each remaining property.
Thirty-one loans, representing 58.8% of the total pool balance, are in suburban markets (defined as DBRS
The pool is split between multifamily properties, which encompass 95.7% of the pool; MHC properties representing 2.6% of the pool; and senior housing properties, totaling 1.7% of the pool. Nine properties in the pool, representing 21.9% of the total pool balance, have disclosed a military or student tenant concentration ranging from 1.0% to 15.0%. 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 rebound when the market improves. Forty-two loans, representing 92.8% of the pool, exhibited a recent occupancy rate above 95.0%, while only four loans, representing 5.3% of the pool, exhibited an occupancy rate between 90.0% and 94.9%. Two loans, representing 1.9% of the pool, exhibited an occupancy less than 90.0%.
Twenty-five loans, representing 61.6% of the total pool balance, are full-term IO loans, including 10 in the top 15. An additional 27 loans, representing 37.7% of the pool, are partial IO loans, ranging between three and nine years of IO. Only one loan, representing 0.7% of the pool, is fully amortizing. Based on observed historical performance, partial IO loans receive an increased POD adjustment in the model, with the most severe adjustment applied to loans with 12 to 84 months of IO. Fully amortizing and full-term IO loans receive a decreased POD adjustment.
ESG CONSIDERATIONS
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 X1 and X2-A are 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.
For supporting data and more information on this transaction, please log into www.viewpoint.dbrsmorningstar.com. DBRS Morningstar provides analysis and in-depth commentary in the DBRS Viewpoint platform.
DBRS Morningstar provides updated analysis and in-depth commentary in the DBRS Viewpoint platform for the following loans in the transaction:
Prospectus ID#01 - Park Vista Apartments I (8.9% of the pool)
Prospectus ID#02 - McClurg Court (8.3% of the pool)
Prospectus ID#03 -
Prospectus ID#04 - Green Leaf on Bell (4.6% of the pool)
Prospectus ID#05 - Fairway Vista (3.7% of the pool)
Prospectus ID#06 - The Pavilions (3.4% of the pool)
Prospectus ID#07 -
Prospectus ID#08 -
Prospectus ID#09 -
Prospectus ID#10 -
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.
The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrsmorningstar.com.
For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.
Tel. +1 312 332-3429
Ratings
Date Issued Debt Rated Action Rating Trend Attributesi
US = Lead Analyst based in USA
CA = Lead Analyst based in
EU = Lead Analyst based in EU
E = EU endorsed
U =
Unsolicited Participating With Access
Unsolicited Participating Without Access
Unsolicited Non-participating
14-Oct-21 Multifamily Mortgage Pass-Through Certificates, Series 2021-K132, Class A-1 Provis.-FinalAAA (sf) Stb US
14-Oct-21 Multifamily Mortgage Pass-Through Certificates, Series 2021-K132, Class A-2 Provis.-FinalAAA (sf) Stb US
14-Oct-21 Multifamily Mortgage Pass-Through Certificates, Series 2021-K132, Class X1 Provis.-FinalAAA (sf) Stb US
14-Oct-21 Multifamily Mortgage Pass-Through Certificates, Series 2021-K132, Class X2-A Provis.-FinalAAA (sf) Stb US
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