Kroll Bond Rating Agency Affirms FREMF Multifamily Mortgage Pass Through Certificates, Series 2012-K23 Ratings

NEW YORK--()--Kroll Bond Rating Agency (KBRA) affirmed all of its outstanding ratings for seven classes of FREMF 2012-K23 mortgage pass-through certificates and three classes of Freddie Mac structured pass-through certificates (SPCs), Series K-23, 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 (113.9%) has improved since closing, when it was 114.1% and KDSC has remained flat since closing at 1.33x. The top 10 loans, which comprise 34.6% of the pool, have generally posted stable to improving performance. As of the November 2013 pay-date, there are no specially serviced assets or delinquent loans. There is one loan on the master servicer’s watchlist (0.8% of pool). Village Crossing Apartments is a 189-unit, garden-style apartment complex located in West Palm Beach, Florida. The loan was placed on the master servicer’s watchlist in November 2013 due to decline in DSC from 1.27x at securitization to 1.06x based on annualized six month financial data for the period ending June 2013. Additional details surrounding this are contained in the FREMF 2012-K23 surveillance report.

The review utilized property financial information obtained from the master servicer, Wells Fargo Bank, National Association (Wells Fargo). Wells Fargo provided updated financial information for 90.7% of the pool. Of this information, September 2013 data was available for 11 loans (15.8% by balance), June 2013 data was available for 56 loans (70.5% by balance), March 2013 data was available for one loan (0.6% by balance) and the remaining information was comprised of December 2012 data (three loans, 3.7%). 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
A-1(1)(2)       AAA(sf)       $197,032,131       Affirmed
A-2(1)(2)       AAA(sf)       $944,939,000       Affirmed
X1(1)(2)(3)       AAA(sf)       $1,141,971,131       Affirmed
X2-A(3)       AAA(sf)       $1,141,971,131       Affirmed
X2-B(3)       AAA(sf)       $222,566,927       Affirmed
B       A(sf)       $85,602,000       Affirmed
C       BBB+(sf)       $34,241,000       Affirmed
 

(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

17g-7 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 at http://www.krollbondratings.com/regulatory/17g-7.

Related Publications (available at https://www.krollbondratings.com):

CMBS Presale Report: FREMF 2012-K23

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

CMBS Property Evaluation Guidelines, published June 10, 2011

Contacts

Analytical:
Kroll Bond Rating Agency
Allison Werry, 646-731-2335
awerry@kbra.com
or
Adam Greenspan Haya, 646-731-2339
ahaya@kbra.com
or
Michael Haas, 215-882-5859
mhaas@kbra.com
or
Sarah Woo, 646-731-2361
swoo@kbra.com

Sharing

Contacts

Analytical:
Kroll Bond Rating Agency
Allison Werry, 646-731-2335
awerry@kbra.com
or
Adam Greenspan Haya, 646-731-2339
ahaya@kbra.com
or
Michael Haas, 215-882-5859
mhaas@kbra.com
or
Sarah Woo, 646-731-2361
swoo@kbra.com