DBRS Finalizes Ratings to FREMF 2011-K11 Mortgage Trust, Series 2011-K11

DBRS has today assigned final ratings to the following classes of FREMF 2011-K11 Mortgage Trust, Series 2011-K11. The trends are Stable.

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at A (high) (sf)
-- Class C at NR
-- Class X1 at AAA (sf)
-- Class X2 at NR
-- Class X3 at NR

Freddie Mac guarantees (i) timely payment of interest, (ii) payment of related principal on the distribution date following the maturity date of each mortgage loan to the extent such principal would have been distributed to the underlying Class A-1 and A-2 certificates, (iii) reimbursement of any realized losses and additional trust fund expenses allocated to the Underlying Guaranteed Certificates and (iv) ultimate payment of principal by the assumed final distribution date for the underlying Class A-1 and A-2 certificates. The ratings assigned by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets without regard to the Freddie Mac Guarantee. The ratings for Classes A-1, A-2 and X1 will be finalized as of, and only as of, the date of issuance and will not be subject to on-going monitoring, upgrades, downgrades or any further assessment by DBRS after the date of issuance. Class B will be monitored by DBRS as long as the classes are outstanding.

The collateral consists of 76 fixed-rate loans secured by 78 multifamily properties. The portfolio has a balance of $1,188,025,171. The pool benefits from conservative underwriting and relatively low leverage, with no loans having a term debt service coverage ratio (DSCR) below 1.15 times (x). The pool also benefits from significant amortization as 16.6% of the pool balance will be paid down by amortization during the loan’s terms. While 46.4% of the pool has a DBRS Refi DSCR below 1.0x, the weighted-average DBRS Refi DSCR is based on a weighted-average refinance constant of 9.78%, which implies an interest rate of 9.1%, amortizing on a 30-year schedule. This represents a very significant stress of 4.5% over the weighted-average contractual interest rate of the loans in the pool. The DBRS Term DSCR is much higher at 1.37x.

DBRS shadow-rates four loans, representing 4.3% of the pool, investment grade. The investment-grade shadow rating indicates the long-term stability of the underlying asset.

Notes:
All figures are in U.S. dollars unless otherwise noted.

Classes B and C are privately placed pursuant to Rule 144A.

The applicable methodology is CMBS Rating Methodology, which can be found on our website under Methodologies.