KBRA assigns preliminary ratings to 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 announce the award of preliminary ratings to four classes of FREMF Series 2021-K744 Mortgage Transfer Certificates and three classes of Freddie Structured Transfer Certificates- Mac (SPC), K-744 series. FREMF 2021-K744 is a $ 780.4 million CMBS multi-borrower transaction. Freddie Mac will guarantee six classes of certificates issued under the underlying securitization Series 2021-K744 and deposit the underlying guaranteed certificates in a separate trust that will issue the SPCs.
The underlying transaction is secured by 29 multi-family fixed rate mortgages. The loans have principal balances ranging from $ 2.6 million to $ 66.9 million. The largest exhibit is represented by Riverstone Apartments (8.6%), secured by a garden-style multi-family complex located in Illinois. The top five loans represent 37.3% of the balance at the due 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 located 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 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. KBRA’s Sustainable Net Cash Flow (KNCF) and KBRA’s Value. using our methodology for evaluating CMBS properties in the United States. 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 obtain individual real estate values which, on an aggregate basis, were 46.5% lower than third party appraised values. KBRA’s weighted average capitalization rate for the transaction is 8.26%. 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.
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Further information on key credit considerations, sensitivity analyzes which examine the factors that may affect these credit ratings and how they might lead to an improvement or a downgrade, and ESG factors (when they are a factor). key to the change in credit rating or rating outlook) can be found in the full assessment report mentioned 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 the relevant key rating assumptions, if any) used to determine The credit rating is available in the Information Disclosure Form (s) located here.
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Further information relating to this rating measure is available in the information disclosure form (s) referenced above. Additional information regarding KBRA’s policies, methodologies, rating scales and disclosures are available 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 shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider.
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Keith Kockenmeister, Senior Managing Director (Chairman of the Rating Committee)
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Dayna Carley, Senior Director
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Michèle Patterson, Executive Director
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