Kroll Bond Rating Agency Affirms FREMF Multifamily Mortgage Pass Through Certificates, Series 2012-K20 Ratings

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NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) affirmed all of its outstanding ratings for seven classes of FREMF 2012-K20 mortgage pass-through certificates and three classes of Freddie Mac structured pass-through certificates (SPCs), Series K-20, a $1.3 billion CMBS multi-borrower transaction. The transaction is collateralized by 77 fixed-rate commercial mortgage loans that are secured by 77 multifamily properties originated in conjunction with the Federal Home Loan Mortgage Corporation's (Freddie Mac) Capital Markets Execution Program. For individual certificate ratings, please see the list below.

The transaction has exhibited stable performance since issuance. The WA KLTV (104.6%) and WA KDSC (1.39x) have improved since closing, when they were 107.1% and 1.36x, respectively. The top 10 loans, which comprise 36.3% of the pool, have generally posted stable to improving performance. As of the August 2013 pay-date, there are no specially serviced assets or delinquent loans. There are two loans on the master servicer’s watchlist (2.5% of pool), one of which (1.1%) was identified as a KBRA Loan of Concern (“K-LOC”). K-LOCs are loans that are either in default or at heightened risk of default in the near term. Forest Place Apartments is a 256-unit, garden-style apartment complex located in Little Rock, Arkansas that was impacted by several fires at the property. Additional details surrounding this are contained in the FREMF 2012-K20 surveillance report.

The review utilized property financial information obtained from the master servicer, Wells Fargo Bank, National Association (Wells Fargo). Wells Fargo provided updated financial information for 98.7% of the pool. Of this information, December 2012 data was available for 19 loans (34.2% by balance) and the remaining information was comprised of September 2012 data (one loan, 0.4%), October 2012 data (one loan, 1.8%), March 2013 data (40 loans, 46.2%) and June 2013 data (15 loans, 16.1%). KBRA generally utilized 12 months of financial information to determine KBRA Net Cash Flow (KNCF). In certain instances, KBRA annualized financial information for loans with partial year financial data. Once KNCF was determined, we conducted our credit modeling using the KBRA Multi-Borrower Model. The modeling produced credit enhancement levels that were compared to the transaction's capital structure, which resulted in the affirmation of all of the transaction's outstanding ratings. For complete details on our analysis, please refer to the surveillance report, as well as links to the publications below.

                             
Class           Rating           Current Balance (US$)           Rating Action
A-1(1)           AAA (sf)(2)           $189,221,440           Affirmed
A-2(1)           AAA (sf)(2)           $899,700,000           Affirmed
X1(1)(3)           AAA (sf)(2)           $1,088,921,440           Affirmed
X2-A(3)           AAA (sf)           $1,088,921,440           Affirmed
X2-B(3)           AAA (sf)           $201,317,111           Affirmed
B           A+           $71,435,000           Affirmed
C           A-           $32,470,000           Affirmed
D           NR           $97,412,111           NAP
X3(1)(3)           NR           $201,317,111           NAP
 

1 Freddie Mac provides a payment guarantee with respect to these underlying certificates. Freddie Mac purchased such classes and deposited them into a separate trust in exchange for the structured pass-through certificates (“SPCs”).

2 KBRA’s rating of this class was assigned without taking the Freddie Mac payment guarantee into account.

3 Notional class

Related Publications (available at https://www.krollbondratings.com):

CMBS Presale Report: FREMF 2012-K20

U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012

CMBS Property Evaluation Guidelines, published June 10, 2011