KBRA awards preliminary assessments for FREMF 2021-K744 and Freddie Mac Structured Pass-Through Certificate Series K-744
NEW YORK, August 09, 2021– (BUSINESS WIRE) – Kroll Bond Rating Agency (KBRA) is pleased to assign preliminary ratings to four classes of FREMF Series 2021-K744 Mortgage Pass-Through Certificates and three classes of Freddie Mac Structured Passes -Through Certificates (SPCs), Series K-744. FREMF 2021-K744 is a $ 780.4 million CMBS multi-debtor transaction. Freddie Mac guarantees six classes of certificates issued in the underlying 2021-K744 series securitization and will deposit the guaranteed underlying certificates with a separate trust that will issue the SPCs.
The underlying transaction is secured by 29 multi-family mortgage loans with fixed interest rates. The loans have principal balances between $ 2.6 million and $ 66.9 million. The largest exposure is Riverstone Apartments (8.6%), secured by a garden-style apartment complex in Illinois. The five largest loans represent 37.3% of the balance sheet date and also include Riveredge Terrace (7.7%), Advenir At San Tropez (7.5%), Oceanview Terrace (7.4%) and Latitude 33 (6.1%) ). The assets are in 11 states, with the three largest concentrations in California (30.0%), Illinois (18.1%), and Florida (13.4%).
KBRA’s analysis of the underlying transaction included our CMBS multi-borrower rating process, which begins with our analysts’ assessment of the financial and operational performance of the underlying collateral characteristics, which is used to produce KBRA’s sustainable net cash flow (KNCF ) and KBRA value to be determined using our US CMBS property evaluation method. KBRA’s weighted average KNCF for the portfolio is 3.0% below the issuer’s NCF. KBRA capitalization rates were applied to the KNCF of each asset to derive individual property values that, on an aggregated basis, were 46.5% lower than third party estimates. The KBRA weighted average capitalization rate for the transaction is 8.26%. The KBRA credit model uses rental and occupancy stress, probability of default regressions, and lossy default calculations to determine losses for each collateral loan, which are then used to assign our credit ratings.
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Learn more about key credit considerations, sensitivity studies that take into account what factors may affect those credit ratings and how they could lead to an upgrade or downgrade, and ESG factors (if they are a material factor in changing creditworthiness or the rating outlook). ) can be found in the full assessment report above.
A description of all material material sources used in establishing the credit rating and information on the methodology (s) (including any material models and sensitivity analyzes of the relevant material rating assumptions, if any) that were used in determining the credit rating is available on the information disclosure form (s) located here.
Information on the meaning of the individual assessment categories can be found here.
Further information on this rating measure can be found in the information disclosure forms mentioned above. Further information on KBRA guidelines, methods, rating scales and indications is available at www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered as an NRSRO with the Securities and Exchange Commission. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered with the UK Financial Conduct Authority as a CRA under the temporary registration system. In addition, KBRA has been named by the Ontario Securities Commission as the designated rating organization for issuers of asset-backed securities for the submission of a short prospectus or shelf prospectus. KBRA is also recognized as a credit rating provider by the National Association of Insurance Commissioners.
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Keith Kockenmeister, Senior Managing Director (Chairman of the Evaluation Committee)
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Dayna Carley, senior director
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Michele Patterson, General Manager
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