Kroll Bond Rating Agency (KBRA) is pleased to announce four classes of FREMF Mortgage Transfer Certificates Series 2021-K126 and three classes of Structured Pass-Through Certificates (SPCs) Freddie -Mac, K-126 series. FREMF 2021-K126 is a $ 1.3 billion CMBS multi-borrower transaction. Freddie Mac will guarantee six classes of certificates issued under the underlying Series 2021-K126 securitization and deposit the underlying guaranteed certificates in a separate trust that will issue the SPCs.
The underlying transaction is secured by 49 multi-family fixed rate mortgages. The loans have principal balances ranging from $ 1.2 million to $ 116.1 million. The largest exhibit is represented by Vue 22 Apartments (8.8%), a mid-size 452 unit multi-family complex located in Bellevue, Washington. The top five loans represent 34.0% of the balance at the due date and also include the multi-family cross-loan portfolio (7.6%), Renaissance Hills (7.2%), Atkins Circle (5.2%) and Christopher Wren (5.2%). The assets are located in 21 states, with the three largest concentrations in New York (13.7%), Pennsylvania (12.6%) and North Carolina (11.2%).
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 KBRA’s estimate of sustainable net cash flow (KNCF) and 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 4.7% below the issuer’s NCF. KBRA cap rates were applied to the KNCF of each asset to derive individual real estate values which, on an aggregate basis, were 45.8% lower than third party appraised values. KBRA’s weighted average capitalization rate for the transaction is 8.36%. 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 viewed in the full rating 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 are available in the information disclosure form (s) located here.
Information about 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) referenced 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.
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Sean Kane, Analyst (Senior Analyst)
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Patrick McQuinn, Senior Director
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Nitin Bhasin, Senior Managing Director (Chairman of the Rating Committee)
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