Class A-1 at
Class A-2 at
Class X1 at
All trends are Stable.
The Class X1 balances are notional.
With regard to the Coronavirus Disease (COVID-19) pandemic, the magnitude and extent of performance stress posed to global structured finance transactions remain highly uncertain. This considers the fiscal and monetary policy measures and statutory law changes that have already been implemented or will be implemented to soften the impact of the crisis on global economies. Some regions, jurisdictions, and asset classes are, however, feeling more immediate effects. DBRS Morningstar continues to monitor the ongoing coronavirus pandemic and its impact on both the commercial real estate sector and the global fixed-income markets. Accordingly, DBRS Morningstar may apply additional short-term stresses to its rating analysis, for example by front-loading default expectations and/or assessing the liquidity position of a structured finance transaction with more stressful operational risk and/or cash flow timing considerations.
The collateral consists of 55 fixed-rate loans secured by 45 garden-style, midrise, or townhome multifamily properties, seven manufactured housing community properties, one co-op property, one student housing property, and one assisted-living facility. All loans within the transaction are structured with 10-year loan terms, except for
In response to the ongoing coronavirus pandemic,
The pool has a weighted average (WA) expected loss of 2.29%, which is below the WA expected loss of 2.66%, 2.53%, 2.86%, 2.86%, and 2.91% exhibited by FREMF 2020-K117, FREMF 2020-K115, FREMF 2020-K114, FREMF 2020-K113, and FREMF 2020-K112, respectively, all of which were previously rated by DBRS Morningstar. The loans in the transactions benefit from more experienced and financially strong borrowers compared with those of typical CMBS multifamily loans, as evidenced by 51 loans (representing 85.9% of the cut-off date pool balance) receiving Strong DBRS Morningstar sponsor strength scores. Additionally, many of the borrowers are repeat clients of
The deal has favorable overall credit metrics as evidenced by a WA DBRS Morningstar Issuance and Balloon Loan to Value (LTV) of 69.4% and 63.4%, respectively. These metrics are comparable with the FREMF 2020-K117 transaction WA DBRS Morningstar Issuance LTV of 70.0% and WA DBRS Morningstar Balloon LTV of 62.6% as well as the FREMF 2020-K114 WA DBRS Morningstar Issuance LTV of 73.9% and WA DBRS Morningstar Balloon LTV of 68.1%, FREMF 2020-K113 WA DBRS Morningstar Issuance LTV of 69.9% and WA DBRS Morningstar Balloon LTV of 64.5%, and the FREMF 2020-K112 WA DBRS Morningstar Issuance LTV of 70.1% and WA DBRS Morningstar Balloon LTV of 64.9%. Additionally, the DBRS Morningstar Term DSCR of 2.00x is substantially higher than FREMF 2020-K117 at 1.78x, FREMF 2020-K114 at 1.52x, FREMF 2020-K113 at 1.64x and FREMF 2020-K112 at 1.58x. Forty-four loans, representing 79.7% of the pool by balance, are structured with an upfront debt service reserve designed to mitigate any potential impact of the ongoing Coronavirus Disease (COVID-19) pandemic.
Individual loan information provided generally included monthly collection reports through
Fourteen loans, representing 12.1% of the pool, are secured by properties in DBRS
Sixteen loans, representing 41.2% of the pool, are structured with full-term interest-only (IO) payments, and an additional 34 loans, representing 50.8% of the pool, have partial-IO periods ranging from 12 to 96 months. Only five loans, representing 8.0% of the pool, have full-term amortizing payments, two of which are in the top 15. For partial IO loans, the probability of default (POD) is calculated using a DSCR that includes amortizing debt service. Furthermore, the DBRS Morningstar POD factors in loan balloon LTVs and, in cases where the loan lacks amortization, the balloon LTV will be penalized with a higher POD. Lastly, partial-IO loans are penalized in the model.
The pool contains 11 loans, representing 20.3% of the cut-off date pool balance, that were not structured with a coronavirus DSR. Only one of these loans was originated pre-pandemic in
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.
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.
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:
Eagle Rock At Woodbury (9.6% of the pool)
The Porter
Arzano (4.2% of the pool)
Folio (4.2% of the pool)
Casa Del Monte MHP (3.5% of the pool)
The Reserve At Gwinnett (2.9% of the pool)
Waters Edge Phase 2 (2.5% of the pool)
Lakeside MHP (1.3% of the pool)
Medley MHP (1.2% of the pool)
Grove At Seabrook (0.8% of the pool)
The Lux (0.5% of the pool)
Dalewood Townhomes (0.5% of the pool)
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 (
For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.
For more information regarding structured finance methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.
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. +1 312 696-6293
Ratings
Date Issued Debt Rated Action Rating Trend Issued
i
US =
CA = Canada Issued, NRSRO
EU = EU Issued, NRSRO
E = EU endorsed
Unsolicited Participating With Access
Unsolicited Participating Without Access
Unsolicited Non-Participating
19-Oct-20 Multifamily Mortgage Pass-Through Certificates, Series K-118, Class A-1 Provis.-NewAAA (sf) Stb US
19-Oct-20 Multifamily Mortgage Pass-Through Certificates, Series K-118, Class A-2 Provis.-NewAAA (sf) Stb US
19-Oct-20 Multifamily Mortgage Pass-Through Certificates, Series K-118, Class X1 Provis.-NewAAA (sf) Stb US
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