Kroll Bond Rating Agency (KBRA) assigned its final ratings to seven classes of FREMF 2012-K709 mortgage pass-through certificates and three classes of Freddie Mac structured pass-through certificates (SPCs), Series K-709, a $1.24 billion CMBS multi-borrower transaction. Concurrently, we have withdrawn our preliminary ratings on the certificates, which were assigned on May 30, 2012 (see our ratings listed below).
The transaction is collateralized by 54 fixed rate commercial mortgage loans that are secured by 54 multifamily properties across 19 states. The top five loan exposures represent 28.4% of the pool and the top ten represent 41.8%. The properties are located in 19 states, and the two largest state concentrations are Texas (17.7%) and California (12.0%).
KBRA's analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of underlying collateral properties' financial and operating performance, which determine KBRA's estimate of sustainable net cash flow (KNCF) and KBRA value. The analysis included a detailed evaluation of the underlying collateral properties' financial and operating performance using our CMBS Property Evaluation Guidelines to determine Kroll Net Cash Flow (KNCF). The resulting KNCF for the collateral properties was 2.6% below issuer net cash flow on a weighted average basis. KBRA capitalization rates were applied to each asset's KCNF to derive individual property values that, on an aggregate basis, were 33.8% less than third party appraisal values. The weighted average KBRA capitalization rate for the transaction was 8.3%.
The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan that were used by KBRA to assign our credit ratings for this transaction.
Final Ratings Assigned: FREMF 2012-K709 | ||||||||||||
| Â | Â | Â | Â | Â | Â | Â | Â | Â | Â | |||
| Class | Â | Â | Â | Â | Â | Rating | Â | Â | Â | Â | Â | Balance |
| A-1 | Â | Â | Â | Â | Â | AAA (sf) | Â | Â | Â | Â | Â | $104,649,000 |
| A-2 | Â | Â | Â | Â | Â | AAA (sf) | Â | Â | Â | Â | Â | $932,290,000 |
| X1* | Â | Â | Â | Â | Â | AAA (sf) | Â | Â | Â | Â | Â | $1,036,939,000 |
| X2-A* | Â | Â | Â | Â | Â | AAA (sf) | Â | Â | Â | Â | Â | $1,036,939,000 |
| X2-B* | Â | Â | Â | Â | Â | AAA (sf) | Â | Â | Â | Â | Â | $204,904,746 |
| B | Â | Â | Â | Â | Â | A-(sf) | Â | Â | Â | Â | Â | $80,720,000 |
| C | Â | Â | Â | Â | Â | BBB+(sf) | Â | Â | Â | Â | Â | $31,046,000 |
| * Notional Amount | ||||||||||||
Final Ratings Assigned: Freddie Mac Structured Pass-Through Certificates, Series K-709 | ||
| Â | ||
| Class | Rating | Balance |
| X1* | AAA (sf) | $1,036,939,000 |
| A-1 | AAA (sf) | $104,649,000 |
| A-2 | AAA (sf) | $932,290,000 |
| * Notional Amount | ||
Related publications (available at www.krollbondratings.com):
CMBS Presale Report: FREMF 2012-K709, published June 6, 2012
CMBS: FREMF 2012-K709 Disclosure Report, published June 6, 2012
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012
CMBS Property Evaluation Guidelines, published June 10, 2011
About Kroll Bond Rating Agency
Kroll Bond Rating Agency, Inc. (www.krollbondratings.com) is registered with the SEC as a nationally recognized statistical rating organization (NRSRO). Kroll Bond Rating Agency was established in 2010 to restore trust in credit ratings by establishing new standards for assessing risk and by offering accurate, clear, and transparent ratings.
Contacts:
Kroll Bond Rating Agency
Analytic Contacts:
Troy Doll
Senior
Director
646-731-2336
tdoll@krollbondratings.com
or
Mike
Brown
Associate Director
646-731-2307
mbbrown@krollbondratings.com
