Kroll Bond Rating Agency Assigns Preliminary Ratings to FREMF 2012-K23 and
Freddie Mac Structured Pass-Through Certificates
NEW YORK -- December 05, 2012
Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of
preliminary ratings to seven classes of FREMF 2012-K23 mortgage pass-through
certificates and three classes of Freddie Mac structured pass-through
certificates (SPCs), Series K23, a $1.37 billion CMBS multi-borrower
transaction (see our ratings listed below).
The transaction is collateralized by 76 fixed rate multifamily mortgage loans.
The loans have principal balances that range from $2.0 million to $71.1
million for the largest loan, which is secured by the fee simple interest in
Highland Village Townhomes (5.2%), a 1,098-unit townhome style apartment
complex located in Halethorpe, Maryland. The top five loans represent 21.1% of
the pool cut-off balance, and include Archstone Legacy Place in Dedham, MA
(4.4%), Mansion At Bala in Philadelphia, PA (4.2%), Stonelake Apartments in
Elk Grove, CA (3.8%) and Gwynn Oaks Landing in Gwynn Oak, MD (3.6%). The
properties are located in 26 states, with the two largest concentrations in
California (18.3%) and Florida (12.5%). The majority of the properties are
garden-style apartment projects (59 properties, 72.7%). The properties range
in size from 15 to 1,098 units.
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 are used to
determine KBRA’s estimate of sustainable net cash flow (KNCF) and KBRA value.
The analysis incorporates a detailed evaluation of the underlying collateral
properties’ financial and operating performance using our CMBS Property
Evaluation Guidelines to determine Kroll Net Cash Flow (KNCF), which is a key
input used in our credit modeling process. KBRA’s weighted average KNCF for
the portfolio is 2.4% 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 36.6% less than third party appraisal values. The
weighted average KBRA capitalization rate for the transaction is 8.5%. 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 on the analysis, please see our Presale Report, FREMF
2012-K23, published today at www.krollbondratings.com.
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 2012-K23
Class Rating Balance
A-1 AAA (sf) $202,136,000
A-2 AAA (sf) $944,939,000
X1* AAA (sf) $1,147,075,000
X2-A* AAA (sf) $1,147,075,000
X2-B* AAA (sf) $222,566,927
B A(sf) $85,602,000
C BBB+(sf) $34,241,000
Preliminary Ratings Assigned: Freddie Mac Structured
Pass-Through Certificates, Series K23
Class Rating Balance
A-1 AAA $202,136,000
A-2 AAA $944,939,000
X1* AAA $1,147,075,000
Rule 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 2012-K23 17g-7 Disclosure Report.
Related publications (available at www.krollbondratings.com):
CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012
CMBS Property Evaluation Guidelines, published June 10, 2011
About Kroll Bond Rating Agency
Kroll Bond Rating Agency, Inc. (www.krollbondratings.com) is registered with
the SEC as a nationally recognized statistical rating organization (NRSRO).
Kroll Bond Rating Agency was established in 2010 to restore trust in credit
ratings by establishing new standards for assessing risk and by offering
accurate, clear, and transparent ratings.
Kroll Bond Rating Agency
Troy Doll, 646-731-2336
Nitin Bhasin, 646-731-2334
Leo Jacobo, 646-731-2325
Pramit Sheth, 646-731-2330
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