UNITED STATES |
SECURITIES AND EXCHANGE COMMISSION |
Washington, D.C. 20549 |
FORM
ABS-15G
ASSET-BACKED SECURITIZER
REPORT PURSUANT TO SECTION 15G OF
THE SECURITIES EXCHANGE ACT OF 1934
Check the appropriate box to indicate the filing obligation to which this form is intended to satisfy:
____ Rule 15Ga-1 under the Exchange Act (17 CFR 240.15Ga-1) for the reporting period
____________________ to ____________________
Date of Report (Date of earliest event reported) ____________________
Commission File Number of securitizer: ____________________
Central Index Key Number of securitizer: ____________________
Name and telephone number, including area code, of the person to |
contact in connection with this filing. |
Indicate by check mark whether the securitizer has no activity to report for the initial period pursuant to Rule 15Ga-1(c)(1) [ ]
Indicate by check mark whether the securitizer has no activity to report for the quarterly period pursuant to Rule 15Ga-1(c)(2)(i) [ ]
Indicate by check mark whether the securitizer has no activity to report for the annual period pursuant to Rule 15Ga-1(c)(2)(ii) [ ]
X Rule 15Ga-2 under the Exchange Act (17 CFR 240.15Ga-2)
Central Index Key Number of depositor: 0001013454
CAMB 2021-CX2 Mortgage Trust |
(Exact name of issuing entity as specified in its charter) |
Central Index Key Number of issuing entity (if applicable): N/A
Central Index Key Number of underwriter (if applicable): N/A
Helaine M. Kaplan, (212) 250-5270 |
Name and telephone number, including area code, of the person to |
contact in connection with this filing |
INFORMATION TO BE INCLUDED IN THE REPORT
PART II: FINDINGS AND CONCLUSIONS OF THIRD-PARTY DUE DILIGENCE REPORTS
Item 2.01 Findings and Conclusions of a Third Party Due Diligence Report Obtained by the Issuer
Attached as Exhibit 99.1 hereto is an agreed-upon procedures report, dated October 15, 2021, of KPMG LLP, obtained by the depositor, which report sets forth the findings and conclusions, as applicable, of KPMG LLP with respect to certain agreed-upon procedures performed by KPMG LLP.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the reporting entity has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
Deutsche
Mortgage & Asset Receiving Corporation
(Depositor)
Date: October 15, 2021
/s/ Helaine Kaplan
By:
Helaine Kaplan, Managing Director
(senior officer in charge of securitization of the depositor)
/s/ Matt Smith
By:
Matt Smith, Director
(senior officer in charge of securitization of the depositor)
EXHIBIT INDEX
Exhibit Number | Description |
Exhibit 99.1 | Report of Independent Accountants on Applying Agreed-Upon Procedures, dated October 15, 2021, of KPMG LLP. |
Exhibit 99.1
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KPMG LLP Suite 900 8350 Broad Street McLean, VA 22102 |
Independent Accountants’ Report on Applying Agreed-Upon Procedures
German American Capital Corporation (the “Company”)
Deutsche Mortgage & Asset Receiving Corporation
Deutsche Bank Securities Inc.
JPMorgan Chase Bank, National Association
J.P. Morgan Securities LLC
Bank of America, National Association
BofA Securities,
Inc.
3650 Cal Bridge Lending, LLC
(together, the “Specified Parties”):
Re: CAMB 2021-CX2 Mortgage Trust – Data File Procedures
We have performed the procedures described below on the specified attributes in an electronic data file entitled “CAMB 2021-CX2_Tape Final.xlsx” provided by the Company on October 15, 2021, containing information on one mortgage loan and two related mortgaged properties as of November 6, 2021 (the “Data File”), which we were informed are intended to be included as collateral in the offering by CAMB 2021-CX2 Mortgage Trust. The Company is responsible for the specified attributes identified by the Company in the Data File.
The Specified Parties have agreed to and acknowledged that the procedures performed are appropriate to meet their intended purpose of assisting specified parties in evaluating the accuracy of the specified attributes in the Data File. This report may not be suitable for any other purpose. No other parties have agreed to or acknowledged the appropriateness of these procedures for the intended purpose or any other purpose.
The procedures performed may not address all the items of interest to a specified party of this report and may not meet the needs of all specified parties of this report and, as such, specified parties are responsible for determining whether the procedures performed are appropriate for their purposes. We make no representation regarding the appropriateness of the procedures either for the intended purpose or for any other purpose.
Unless otherwise stated, the following definitions have been adopted in presenting our procedures and findings:
· | The term “compared” means compared to the information shown and found it to be in agreement, unless otherwise stated. Such compared information was deemed to be in agreement if differences were within the reporting threshold. |
· | The term “recomputed” means recalculated and compared the result to the information shown and found it to be in agreement, unless otherwise stated. Such recomputed information was deemed to be in agreement if differences were within the reporting threshold. |
· | The term “reporting threshold” means that dollar amounts and percentages were within $1.00 and 0.1%, respectively. |
· | The term “Loan Files” means the copies of source documents provided by the Company and listed in Attachment A. We make no representation regarding the validity or accuracy of these documents. |
· | The term “Compared Attributes” means the list of fields in the Data File which were selected by the Company for us to perform comparison procedures for and are listed in Attachment A. |
KPMG LLP, a Delaware limited liability partnership and a member firm of the KPMG global organization of independent member firms affiliated with KPMG International Limited, a private English company limited by guarantee. |
· | The term “Recomputed Attributes” means the list of fields in the Data File which were selected by the Company for us to perform recomputation procedures for and are listed in Attachment B. |
· | The term “Calculation Methodology” means the formula listed in the Calculation Methodology field of Attachment B containing the calculation methodology for the Recomputed Attributes provided by the Company. |
· | The term “Instructions” means the instructions provided by the Company pertaining to a procedure, attribute, or methodology, as described in Attachment C. |
· | The term “Provided Information” means the Loan Files, Calculation Methodology, and Instructions. |
Prior to being provided the Data File, we received one or more earlier versions of the data file on which to perform our procedures. In performing those procedures, we identified differences which were communicated to the Specified Parties. The Data File represents the revised information reflecting resolution of differences communicated as determined appropriate by the Specified Parties. We performed the procedures on the Data File, and the results of those procedures are reflected herein.
The procedures we were instructed by the Company to perform and the associated findings are as follows:
A. | We compared the Compared Attributes in the Data File to the corresponding information set forth in the Loan Files, utilizing the Instructions, as applicable. The Specified Parties indicated that the absence of any of the information in the Loan Files or the inability to agree the indicated information from the Data File to the Loan Files for each of the attributes identified, utilizing the Instructions as applicable, constituted an exception. The document priority is the order provided by the Company, which is listed in the “Source Document(s)” column in Attachment A, with the highest priority document listed first. |
B. | We recomputed the Recomputed Attributes in the Data File using (i) the corresponding information contained in the Data File, (ii) the Calculation Methodology, and (iii) the Instructions. |
We were engaged by the Company to perform this agreed-upon procedures engagement and conducted our engagement in accordance with attestation standards established by the American Institute of Certified Public Accountants, which involves us performing the specific procedures agreed to and acknowledged above and reporting on findings based on performing those procedures. We were not engaged to, and did not, conduct an examination or review, the objective of which would be the expression of an opinion or conclusion, respectively, on the specified attributes in the Data File. Accordingly, we do not express such an opinion or conclusion. Had we performed additional procedures, other matters might have come to our attention that would have been reported.
We are required to be independent of the Company and to meet our other ethical responsibilities, in accordance with the relevant ethical requirements related to our agreed-upon procedures engagement.
The procedures performed were applied based on the information included in the Data File and Provided Information, without verification or evaluation of such information by us; therefore, we express no opinion or any other form of assurance regarding (i) the reasonableness of the information provided to us by the Company, (ii) the physical existence of the mortgage loan and related mortgaged properties, (iii) the reliability or accuracy of the Provided Information which was used in our procedures, or (iv) matters of legal interpretation.
The procedures performed were not intended to address, nor did they address: (i) the conformity of the origination of the mortgage loan to stated underwriting or credit extension guidelines, standards, criteria or other requirements, (ii) the value of collateral securing any such mortgage loan being securitized, (iii) the compliance of the originator of the mortgage loan with federal, state, and local laws and regulations, or (iv) any other factor or characteristic of the mortgage loan or related mortgaged properties that would be material to the likelihood that the issuer of the certificates will pay interest and principal in accordance with applicable terms
and conditions. The procedures performed were not intended to satisfy any criteria for due diligence published by the nationally recognized statistical rating organizations (“NRSROs”).
The terms of our engagement are such that we have no responsibility to update this report because of events and circumstances that may subsequently occur.
This report is intended solely for the information and use of the Specified Parties. It is not intended to be and should not be used by any other person or entity, including investors or the NRSROs, who are not identified in the report as the Specified Parties but may have access to this report as required by law or regulation.
/s/ KPMG LLP
McLean, Virginia
October 15, 2021
COMPARED ATTRIBUTES
Attribute | Source Document(s) |
Mortgage Loan Originator | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Properties per Loan | Appraisal, Engineering Report |
Address | Appraisal, Engineering Report |
City | Appraisal, Engineering Report |
County | Appraisal, Engineering Report |
State | Appraisal, Engineering Report |
Zip Code | Appraisal, Engineering Report |
Property Type | Appraisal, Engineering Report |
Property Sub-Type | Appraisal, Engineering Report |
Year Built | Appraisal, Engineering Report |
Year Renovated | Appraisal, Engineering Report |
Units/Rentable Square Ft. | Underwritten Rent Roll |
Collateral Square Ft. | Underwritten Rent Roll |
Primary Unit of Measure | Underwritten Rent Roll |
Original First Mortgage Balance | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Cut-off Date | Provided by the Company |
Cut-off First Mortgage Balance | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Cut-off A Note Balance | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Cut-off B Note Balance | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Cut-off Trust Loan Amount | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Cut-off Trust A Note Balance | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Cut-off Trust B Note Balance | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Cut-off Companion Loan Amount | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
First Mortgage Maturity Balance | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Appraisal Value | Appraisal |
Attribute | Source Document(s) |
Date of Valuation | Appraisal |
Appraisal Value As Is/ Stabilized | Appraisal |
FIRREA Eligible (Yes/No) | Appraisal |
Note Date | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
First Payment Date | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
First Mortgage Interest Rate | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
A Note Interest Rate | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
B Note Interest Rate | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Weighted Average Trust Interest Rate | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Interest Calculation (30/360 / Actual/360) | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Grace Period (Default) | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Grace Period (Late Fee) | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Payment Day | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Original Amort. Term (Months) | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Original Interest Only Period (Months) | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
ARD Date | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Maturity Date | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
ARD (Yes/No) | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
LockBox Type | Loan Agreement, Cash Management Agreement |
Cash Management | Loan Agreement, Cash Management Agreement |
Excess Cash Trap Trigger | Loan Agreement, Cash Management Agreement |
Prepayment Provision | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Lockout Expiration Date | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Amortization Type | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Lien Position | Title Policy |
Ownership Interest | Title Policy |
Attribute | Source Document(s) |
Ground Lease Expiration Date | Ground Lease |
Ground Lease Extension Options | Ground Lease |
Existing Additional Debt (Yes/No) | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Existing Additional Debt Amount | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Existing Additional Debt Description | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Senior Mezzanine Debt Interest Rate | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Junior Mezzanine Debt Interest Rate | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Future Additional Debt Permitted (Yes/No) | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Future Additional Debt Type | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Future Additional Debt Description | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Partial Prepay Allowed (Yes/No) | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Partial Prepayment Description | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Most Recent Physical Occupancy | Underwritten Rent Roll |
Most Recent Rent Roll Date | Underwritten Rent Roll |
Major Tenant Name # 1 | Underwritten Rent Roll |
Major Tenant Sq. Ft. # 1 | Underwritten Rent Roll |
Major Tenant Lease Expiration Date # 1 | Underwritten Rent Roll |
Major Tenant Name # 2 | Underwritten Rent Roll |
Major Tenant Sq. Ft. # 2 | Underwritten Rent Roll |
Major Tenant Lease Expiration Date # 2 | Underwritten Rent Roll |
Major Tenant Name # 3 | Underwritten Rent Roll |
Major Tenant Sq. Ft. # 3 | Underwritten Rent Roll |
Major Tenant Lease Expiration Date # 3 | Underwritten Rent Roll |
Major Tenant Name # 4 | Underwritten Rent Roll |
Major Tenant Sq. Ft. # 4 | Underwritten Rent Roll |
Major Tenant Lease Expiration Date # 4 | Underwritten Rent Roll |
Major Tenant Name # 5 | Underwritten Rent Roll |
Attribute | Source Document(s) |
Major Tenant Sq. Ft. # 5 | Underwritten Rent Roll |
Major Tenant Lease Expiration Date # 5 | Underwritten Rent Roll |
2020 EGI | Underwritten Cash Flow Statement |
2020 Expenses | Underwritten Cash Flow Statement |
2020 Replacement Reserves | Underwritten Cash Flow Statement |
2020 TI/LC | Underwritten Cash Flow Statement |
UW EGI | Underwritten Cash Flow Statement |
UW Expenses | Underwritten Cash Flow Statement |
UW Replacement Reserves | Underwritten Cash Flow Statement |
UW TI/LC | Underwritten Cash Flow Statement |
UW Vacancy | Underwritten Cash Flow Statement |
Replacement Reserve taken at Closing | Settlement Statement, Loan Agreement |
Monthly Replacement Reserve | Settlement Statement, Loan Agreement |
TI/LC taken at Closing | Settlement Statement, Loan Agreement |
Monthly TI/LC | Settlement Statement, Loan Agreement |
Tax at Closing | Settlement Statement, Loan Agreement |
Monthly Tax Constant / Escrow | Settlement Statement, Loan Agreement |
Insurance at Closing | Settlement Statement, Loan Agreement |
Monthly Insurance Constant / Escrow | Settlement Statement, Loan Agreement |
Engineering Reserve taken at Closing | Settlement Statement, Loan Agreement |
Other Reserve | Settlement Statement, Loan Agreement |
Description Other Reserve | Settlement Statement, Loan Agreement |
Borrower | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Related Principal | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Sponsor | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Earthquake Insurance (Y/N) | Insurance Certificate |
Terrorism Insurance (Y/N) | Insurance Certificate |
Attribute | Source Document(s) |
Windstorm Insurance (Y/N) | Insurance Certificate |
Environmental Insurance (Y/N) | Insurance Certificate |
Date of Engineering Report | Engineering Report |
Date of Phase I Report | Environmental Phase I Report |
Date of Phase II Report (if applicable) |
Environmental Phase II Report |
Date of Seismic Report | Seismic Report |
PML (%) | Seismic Report |
SPE | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Single Tenant (Yes/No) | Underwritten Rent Roll |
Guarantor | Guaranty of Recourse Obligations |
Property Manager | Loan Agreement, Property Management Agreement |
TIC | Loan Agreement, Tenancy In Common Agreement |
Loan Purpose | Settlement Statement |
Assumption Fee | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Letter of Credit | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Earnout/Holdback | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
Earnout/Holdback Description | Loan Agreement, Promissory Note, Mortgage, Deed of Trust |
RE Tax | Loan Agreement |
Insurance | Loan Agreement |
Replacement Reserves | Loan Agreement |
TI/LC | Loan Agreement |
Immediate Repairs | Loan Agreement |
Other Escrows | Loan Agreement |
RECOMPUTED ATTRIBUTES
Attribute | Calculation Methodology |
Cut-off Balance per Unit | Cut-off First Mortgage Balance divided by Collateral Square Ft. |
% of Total Cut-off Date Pool Balance | Provided by the Company |
LTV at Cut-off | Cut-off First Mortgage Balance divided by Appraisal Value |
LTV at Maturity | First Mortgage Maturity Balance divided by Appraisal Value |
U/W NOI Debt Yield | UW NOI divided by Cut-off First Mortgage Balance |
U/W NCF Debt Yield | UW NCF divided by Cut-off First Mortgage Balance |
Average Monthly Debt Service Payment | Cut-off First Mortgage Balance multiplied by First Mortgage Interest Rate multiplied by 365/360, then divided by 12 |
Original Balloon Term (Months) | Number of payments between and including the First Payment Date and the Maturity Date |
Seasoning as of Cut-off Date (Months) | Number of payments between and including the First Payment Date and the Cut-off Date |
Remaining Term to Maturity (Months) | Number of payments between the Cut-off Date and the Maturity Date |
Remaining Term to Amortization (Months) | Original Amort. Term (Months) minus Seasoning as of Cut- off Date (Months) |
Rem IO Period | Original Interest Only Period (Months) minus Seasoning as of Cut-off Date (Months) |
Major % of Sq. Ft. # 1 | Major Tenant Sq. Ft. # 1 divided by Collateral Square Ft. |
Major % of Sq. Ft. # 2 | Major Tenant Sq. Ft. # 2 divided by Collateral Square Ft. |
Major % of Sq. Ft. # 3 | Major Tenant Sq. Ft. # 3 divided by Collateral Square Ft. |
Major % of Sq. Ft. # 4 | Major Tenant Sq. Ft. # 4 divided by Collateral Square Ft. |
Major % of Sq. Ft. # 5 | Major Tenant Sq. Ft. # 5 divided by Collateral Square Ft. |
2020 NOI | 2020 EGI minus 2020 Expenses |
2020 NCF |
2020 NOI minus 2020 Replacement Reserves minus 2020 TI/LC |
UW NCF DSCR (Current) |
UW NCF divided by 12 times the Average Monthly Debt Service Payment |
Attribute | Calculation Methodology |
UW NCF DSCR (After IO Period) |
UW NCF divided by 12 times the Average Monthly Debt Service Payment |
UW NOI DSCR (Current) |
UW NOI divided by 12 times the Average Monthly Debt Service Payment |
UW NOI DSCR (After IO Period) |
UW NOI divided by 12 times the Average Monthly Debt Service Payment |
UW NOI | UW EGI minus UW Expenses |
UW NCF |
UW NOI minus UW Replacement Reserves minus UW TI/LC |
INSTRUCTIONS
1. | For those Compared Attributes with the Source Document indicated as “Provided by the Company”, we were instructed by the Company to assume the attribute is accurate and not to perform any procedure. |
2. | We were instructed by the Company to follow the instructions listed below pertaining to the applicable Collateral Interest and Compared Attribute(s) or Recomputed Attribute(s): |
Compared Attribute(s) | Company Instruction |
Directs Investment (Borrower or Lender) | Provided by the Company |