NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to seven classes of FREMF 2015-K721 mortgage pass-through certificates and three classes of Freddie Mac structured pass-through certificates (SPCs), Series K-721, a $1.09 billion CMBS multi-borrower transaction (see our ratings listed below).
The transaction is collateralized by 48 fixed-rate multifamily mortgage loans. The loans have principal balances that range from $2.5 million to $127.0 million for the largest loan, which is secured by the fee simple interest in The Gramercy At Metropolitan Park (11.6%), a 399-unit, Class-A, high-rise multifamily complex located in Arlington, Virginia. The top five loans represent 31.4% of the cut-off date balance and also include Stewart Village Apartment Homes (5.9%), The Abbey At Enclave (5.5%), Berkshire Aspen Grove (4.5%), and Regency Pointe (3.8%). The assets are located in 16 states, with the three largest concentrations in Texas (28.8%), California (16.2%), and Virginia (14.7%).
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 3.2% 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 41.6% less than third party appraisal values. The weighted average KBRA capitalization rate for the transaction is 8.57%. 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-K721, 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.
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Preliminary Ratings Assigned: FREMF 2015-K721 |
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| Class | Class Balance (US$) | Expected Rating | ||
| A-1 | $68,500,000 | AAA(sf) | ||
| A-2 | $799,020,000 | AAA(sf) | ||
| X1 | $867,520,000* | AAA(sf) | ||
| X2-A | $867,520,000* | AAA(sf) | ||
| X2-B | $225,423,727* | AAA(sf) | ||
| B | $116,120,000 | BBB+(sf) | ||
| C | $27,330,000 | BBB-(sf) | ||
| X3 | $225,423,727* | NR | ||
| D | $81,973,727 | NR | ||
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*Notional balance |
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Preliminary Ratings Assigned: Freddie Mac Structured Pass-Through Certificates, Series K-721 |
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| Class | Class Balance (US$) | Expected Rating | ||
| A-1 | $68,500,000 | AAA(sf) | ||
| A-2 | $799,020,000 | AAA(sf) | ||
| X1 | $867,520,000* | AAA(sf) | ||
| X3 | $225,423,727* | NR | ||
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*Notional balance |
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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-K721 Representations & Warranties Disclosure Report.
Related publications (available at www.kbra.com):
FREMF
2015-K721 Presale Report
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).
