NEW YORK--(EON: Enhanced Online News)--Kroll Bond Rating Agency (KBRA) affirmed all of its outstanding ratings for seven classes of FREMF 2012-K711 mortgage pass-through certificates and four classes of Freddie Mac structured pass-through certificates (SPCs), Series K-711, a $1.4 billion CMBS multi-borrower transaction. The transaction is collateralized by 76 fixed-rate commercial mortgage loans that are secured by 76 multifamily properties originated in conjunction with the Federal Home Loan Mortgage Corporation's (Freddie Mac) Capital Markets Execution Program. For individual certificate ratings, please see the list below.
The transaction has exhibited stable performance since issuance. The WA KLTV (114.7%) has increased modestly while the WA KDSC (1.40x) has remained flat since securitization, when they were 113.3% and 1.41x, respectively. The top 10 loans, which comprise 33.6% of the pool, have generally posted stable to improving performance. As of the October 2013 pay-date, there are no loans on the master servicer’s watchlist, no delinquent loans and no loans in special servicing. During our review of the transaction, we did not identify any KBRA Loans of Concern (“K-LOCs”). K-LOCs are loans that are either in default or at heightened risk of default in the near term. The review included an examination of the CREFC Investor Reporting Package files and other information provided by the master servicer.
The review utilized property financial information obtained from the master servicer, Wells Fargo Bank, National Association provided updated financial information for 96.3% of the pool. Of this information, December 2012 data was available for 19 loans (28.4% by balance) and the remaining information was comprised of June 2013 data (50 loans, 67.9%). KBRA generally utilized 12 months of financial information to determine KBRA Net Cash Flow (KNCF). In certain instances, KBRA annualized financial information for loans with partial year financial data. Once KNCF was determined, we conducted our credit modeling using the KBRA Multi-Borrower Model. The modeling produced credit enhancement levels that were compared to the transaction's capital structure, which resulted in the affirmation of all of the transaction's outstanding ratings. For complete details on our analysis, please refer to the surveillance report, as well as links to the publications below.
|Class||Rating||Current Balance (US$)||Rating Action|
1 Freddie Mac provides a payment guarantee with respect to
these underlying certificates. Freddie Mac purchased such classes and
deposited them into a separate trust in exchange for the structured
pass-through certificates (“SPCs”).
2 KBRA’s rating of this class was assigned without taking the Freddie Mac payment guarantee into account.
3 Notional class
Related Publications (available at https://www.krollbondratings.com):
CMBS Presale Report: FREMF 2012-K711
U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012
CMBS Property Evaluation Guidelines, published June 10, 2011