KBRA assigns preliminary ratings to FREMF 2021-K124 and Freddie Mac Structured Pass-Through Certificate Series K-124
NEW YORK–(COMMERCIAL THREAD) – Kroll Bond Rating Agency (KBRA) is pleased to announce the award of preliminary ratings to four classes of Mortgage Transfer Certificates of the FREMF 2021-K124 Series and three classes of Freddie-Mac Structured Transfer Certificates ( SPC), K-124 series. FREMF 2021-K124 is a $ 1.2 billion CMBS multi-borrower transaction. Freddie Mac will guarantee six classes of certificates issued under the underlying Series 2021-K124 securitization and deposit the underlying guaranteed certificates in a separate trust that will issue the SPCs.
The underlying transaction is secured by 48 multi-family fixed rate mortgages. The loans have principal balances ranging from $ 2.8 million to $ 125.0 million. The largest exposure is represented by Meridian At Mount Vernon Triangle (10.4%), a 783-unit high-rise multi-family complex located in downtown Washington, DC The top five loans account for 31.5% of the balance on the due date and also include Cross Portfolio (7.9%), Easton Commons (4.6%), Granada Villas Apartments (4.4%) and The Docks (4.2%). The assets are located in 28 states, with the three largest concentrations in Florida (13.3%), California (10.4%) and the District of Columbia (10.4%).
KBRA’s analysis of the underlying transaction has incorporated our multi-borrower CMBS rating process which begins with our analysts’ assessment of the financial and operational performance of the underlying secured properties, which is used to determine the estimate. of KBRA of Sustainable Net Cash Flow (KNCF) and the value of KBRA. using our Methodology for evaluating the properties of CMBS in the United States. KBRA’s weighted average KNCF for the portfolio is 3.5% below the issuer’s NCF. KBRA cap rates were applied to the KNCF of each asset to obtain individual real estate values which, on an aggregate basis, were 47.0% lower than third party appraised values. KBRA’s weighted average capitalization rate for the transaction is 8.50%. The KBRA credit model deploys rent and occupancy constraints, probability of default regressions, and default-on-loss calculations to determine the losses for each secured loan, which are then used to assign our credit ratings.
Further information on key credit considerations, sensitivity analyzes that examine the factors that may affect these credit ratings and how they might lead to an upgrade or downgrade, and ESG factors (when they are a key factor in changing the credit rating or rating outlook) can be found in the full rating report referenced above.
A description of all substantially significant sources that were used to prepare the credit rating and information about the method (s) (including significant models and sensitivity analyzes of relevant key rating assumptions, if any) used to determine the credit rating are available in the information disclosure form (s) located here.
Information on the meaning of each rating category can be located here.
Further information relating to this rating measure is available in the information disclosure form (s) mentioned above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures can be found at www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a credit rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a credit rating agency with the UK Financial Conduct Authority under the temporary registration regime. In addition, KBRA is appointed as the designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or a shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider.