Kroll Bond Rating Agency Assigns Preliminary Ratings to FREMF 2015-K44 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-K44 mortgage pass-through certificates and three classes of Freddie Mac structured pass-through certificates (SPCs), Series K-044, a $1.63 billion CMBS multi-borrower transaction (see our ratings listed below).

The transaction is collateralized by 74 fixed-rate multifamily mortgage loans. The loans have principal balances that range from $2.7 million to $186.0 million for the largest loan, which is secured by the fee simple interest in Grand Plaza, a 481-unit, Class-A, high-rise multifamily building located in Chicago, Illinois. The top five loans represent 27.2% of the cut-off date balance, and also include The Village Of Chartleytowne (4.7%), The Blake and The Wyatt (4.7%), Mosaic (3.5%), and Village At Voorhees Apartments (2.8%). The properties are located in 28 states and Washington, DC, with the three largest concentrations in Illinois (11.4%), Texas (9.9%), and Maryland (9.0%).

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 3.6% 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 39.1% less than third party appraisal values. The weighted average KBRA capitalization rate for the transaction is 8.64%. 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-K44, published today at www.kbra.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.

The preliminary ratings are based on information known to KBRA at the time of this publication. Information received subsequent to this release could result in the assignment of final ratings that differ from the preliminary ratings.

Preliminary Ratings Assigned: FREMF 2015-K44

        Class       Rating       Balance
        A-1       AAA (sf)       $142,350,000
        A-2       AAA (sf)       $1,185,063,000
        X1*       AAA (sf)       $1,327,413,000
        X2-A*       AAA (sf)       $1,327,413,000
        X2-B*       AAA (sf)       $303,816,679
        B       A-(sf)       $140,693,000
        C       BBB(sf)       $40,781,000
        X3*       NR       $303,816,679
        D       NR       $122,342,679
*Notional Amount
 

Preliminary Ratings Assigned: Freddie Mac Structured Pass-Through Certificates, Series K-044

    Class       Rating       Balance
    A-1       AAA (sf)       $142,350,000
    A-2       AAA (sf)       $1,185,063,000
    X1*       AAA (sf)       $1,327,413,000
    X3*       NR       $303,816,679
*Notional Amount
 

17g-7 Disclosure

All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description regarding the 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-K44 17g-7 Disclosure Report.

Related publications (available at www.kbra.com):
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012
CMBS Property Evaluation Guidelines, published March 3, 2015

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

Analytic:
KBRA
Patrick McQuinn, 646-731-2445
Associate
pmcquinn@kbra.com
or
Yee Cent Wong, 646-731-2374
Managing Director
ywong@kbra.com
or
Dayna Volpe, 646-731-2391
Director
dvolpe@kbra.com
or
Javier Colon, 646-731-2460
Analyst
jcolon@kbra.com

Contacts

Analytic:
KBRA
Patrick McQuinn, 646-731-2445
Associate
pmcquinn@kbra.com
or
Yee Cent Wong, 646-731-2374
Managing Director
ywong@kbra.com
or
Dayna Volpe, 646-731-2391
Director
dvolpe@kbra.com
or
Javier Colon, 646-731-2460
Analyst
jcolon@kbra.com