Kroll Bond Rating Agency Assigns Preliminary Ratings to FREMF 2015-K49 and Freddie Mac Structured Pass-Through Certificates

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to seven classes of FREMF 2015-K49 mortgage pass-through certificates and three classes of Freddie Mac structured pass-through certificates (SPCs), Series K-049, a $1.6 billion CMBS multi-borrower transaction (see our ratings listed below).

The transaction is collateralized by 96 fixed-rate multifamily mortgage loans. The loans have principal balances that range from $1.3 million to $52.0 million for the largest loan, which is secured by the fee simple interest in Oasis Townhome Apartments (3.3%), a 414-unit, Class-B, garden-style multifamily complex located in Loma Linda, California. The top five loans represent 15.5% of the cut-off date balance, and also include Excelsior II Apartments (3.3%), Kirby Place Apartment Homes (3.1%), Environs (3.0%), and The Parc At Cherry Creek (2.9%). The assets are located in 31 states, with the three largest concentrations in Texas (12.4%), California (11.7%), and Arizona (7.3%).

KBRA’s analysis of the transaction incorporated our U.S. CMBS multi-borrower rating process that begins with our analysts' evaluation of the underlying collateral properties' financial and operating performance, which is used to determine KBRA’s estimate of sustainable net cash flow (KNCF) and KBRA value using our CMBS Property Evaluation Guidelines. KBRA’s weighted average KNCF for the portfolio is 2.6% less than the issuer’s NCF. KBRA capitalization rates were applied to each asset’s KNCF to derive individual property values that, on an aggregate basis, were 38.4% less than third party appraisal values. The weighted average KBRA capitalization rate for the transaction is 8.72%. The KBRA credit model deploys rent and occupancy stresses, probability of default regressions, and loss-given default calculations to determine losses for each collateral loan, which are then used to assign our credit ratings.

For complete details of the analysis, please see our Presale Report, FREMF 2015-K49, published today at www.krollbondratings.com. The report includes our new KBRA Comparative Analytic Tool (KCAT). KCAT is an easy to use, Excel based workbook that provides the following information:

  • KBRA Deal Tape – contains KBRA loan level details for every loan in the pool, and the ability for users to input adjustments to KNCF and KBRA Cap Rates and see the related impact on key deal metrics.
  • KBRA Credit Metrics Comparison Tool – Enables the user to compare the subject transaction to a user-defined transaction comp set.
  • Excel based property cash flow statements for the top 20 loans.

Preliminary Ratings Assigned: FREMF 2015-K49

Class       Class Balance (US$)       Expected Rating
A-1       $180,400,000       AAA(sf)
A-2       $1,109,093,000       AAA(sf)
X1       $1,289,493,000*       AAA(sf)
X2-A       $1,289,493,000*       AAA(sf)
X2-B       $283,059,795*       AAA(sf)
B       $125,804,000       A-(sf)
C       $39,314,000       BBB(sf)
X3       $283,059,795*       NR
D       $117,941,795       NR

* Notional balance

Preliminary Ratings Assigned: Freddie Mac Structured Pass-Through Certificates, Series K-049

Class       Class Balance (US$)       Expected Rating
A-1       $180,400,000       AAA(sf)
A-2       $1,109,093,000       AAA(sf)
X1       $1,289,493,000       AAA(sf)
X3       $283,059,795       NR

* Notional balance

Representations & Warranties Disclosure

All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report entitled FREMF 2015-K49 Representations & Warranties Disclosure Report.

Related publications (available at www.kbra.com):

FREMF 2015-K49 Presale Report

CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012

CMBS Property Evaluation Guidelines, published March 3, 2015

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About Kroll Bond Rating Agency

KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).

Contacts

Kroll Bond Rating Agency
Analytical Contacts:
Erika Hinman, Senior Analyst
ehinman@kbra.com, (646) 731-2418
or
Yee Cent Wong, Managing Director
ywong@kbra.com, (646) 731-2374
or
Patrick McQuinn, Associate
pmcquinn@kbra.com, (646) 731-2445
or
Dayna Volpe, Director
dvolpe@kbra.com, (646) 731-2391

Contacts

Kroll Bond Rating Agency
Analytical Contacts:
Erika Hinman, Senior Analyst
ehinman@kbra.com, (646) 731-2418
or
Yee Cent Wong, Managing Director
ywong@kbra.com, (646) 731-2374
or
Patrick McQuinn, Associate
pmcquinn@kbra.com, (646) 731-2445
or
Dayna Volpe, Director
dvolpe@kbra.com, (646) 731-2391