KBRA Assigns Preliminary Ratings to FREMF 2017-K727 and Freddie Mac Structured Pass-Through Certificates K-0727

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of
preliminary ratings to nine classes of FREMF Series 2017-K727 mortgage
pass-through certificates and five classes of Freddie Mac structured
pass-through certificates (SPCs), Series K-0727(see ratings list below).
FREMF Series 2017-K727 is a $1.4 billion CMBS multi-borrower
transaction. Freddie Mac will guarantee six classes of certificates
issued in the underlying Series 2017-K727 securitization and will
deposit the guaranteed underlying certificates into a separate trust
that will issue the SPCs.

The underlying transaction is collateralized by 51 fixed-rate
multifamily mortgage loans. The loans have principal balances that range
from $5.0 million to $113.8 million. The largest exposure is represented
by The Point At Pine Ridge (8.0%), a 450-unit, Class-A, garden- and
townhouse-style multifamily complex located in Coram, New York,
approximately 60 miles east of Manhattan. The five largest loans
represent 28.8% of the cut-off date balance and also include The
Hamptons At Town Center (6.4%), San Merano At Mirasol (4.9%), Harrison
Station 330 (4.7%), and 525 Avalon Park (4.7%). The assets are located
in 21 states, with the three largest concentrations in Texas (15.3%),
Florida (13.3%), and New York (12.5%).

KBRA’s analysis of the underlying transaction incorporated our CMBS
Multi-Borrower rating process that begins with our analysts’ evaluation
of the underlying collateral properties’ financial and operating
performance, which is used to determine KBRA’s estimate of sustainable
net cash flow (KNCF) and KBRA value using our CMBS
Property Evaluation Methodology
. KBRA’s weighted average KNCF
for the portfolio is 3.5% 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 41.0% less
than third party appraisal values. The weighted average KBRA
capitalization rate for the transaction is 8.69%. 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 of the analysis, please see our pre-sale Report, FREMF
2017-K727
, published today at www.kbra.com.
The report includes our KBRA Comparative Analytic Tool (KCAT). KCAT is
an easy to use, Excel-based workbook that provides the following
information:

  • KBRA Deal Tape – contains KBRA loan level details for every loan in
    the pool, and the ability for users to input adjustments to KNCF and
    KBRA Cap Rates and see the related impact on key deal metrics.
  • KBRA Credit Metrics Comparison Tool – Enables the user to compare the
    subject transaction to a user-defined transaction comp set.
  • Excel based property cash flow statements for the top 20 loans.

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 2017-K727

Class

 

 

 

Class Balance (US$)

 

 

 

Expected KBRA Rating

A-1

 

 

 

$72,500,000

 

 

 

AAA(sf)

A-2

 

 

 

$1,089,310,000

 

 

 

AAA(sf)

A-M

 

 

 

$62,271,000

 

 

 

AA-(sf)

X1

 

 

 

$1,161,810,000*

 

 

 

AAA(sf)

XAM

 

 

 

$62,271,000*

 

 

 

AAA(sf)

X2-A

 

 

 

$1,161,810,000*

 

 

 

AAA(sf)

X2-B

 

 

 

$261,541,141*

 

 

 

AAA(sf)

B

 

 

 

$56,935,000

 

 

 

BBB+(sf)

C

 

 

 

$35,583,000

 

 

 

BBB(sf)

X3

 

 

 

$199,270,141*

 

 

 

NR

D

 

 

 

$106,752,141

 

 

 

NR

*Notional balance

Preliminary Ratings Assigned: Freddie Mac Structured
Pass-Through Certificates,

Series K-0727

Class

 

 

 

Class Balance (US$)

 

 

 

Expected KBRA Rating

A-1

 

 

 

$72,500,000

 

 

 

AAA(sf)

A-2

 

 

 

$1,089,310,000

 

 

 

AAA(sf)

A-M

 

 

 

$62,271,000

 

 

 

AA-(sf)

X1

 

 

 

$1,161,810,000*

 

 

 

AAA(sf)

XAM

 

 

 

$62,271,000*

 

 

 

AAA(sf)

X3

 

 

 

$199,270,141*

 

 

 

NR

*Notional balance

Representations Warranties Disclosure

All Nationally Recognized Statistical Rating Organizations are required,
pursuant to SEC Rule 17g-7, to provide a description of a transaction’s
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
2017-K727 Representations Warranties Disclosure Report
.

Related Publications: (available
at www.kbra.com)

CONNECT WITH KBRA

Twitter

LinkedIn

Download
the iOS App

YouTube

About Kroll Bond Rating Agency

KBRA is registered with the U.S. Securities and Exchange Commission as a
Nationally Recognized Statistical Rating Organization (NRSRO). In
addition, KBRA is recognized by the National Association of Insurance
Commissioners (NAIC) as a Credit Rating Provider (CRP).


Comments are closed.