DBRS Confirms All Classes of FREMF 2011-K15 Mortgage Trust, Series 2011-K15

DBRS Limited (DBRS) confirmed the ratings on all classes of the Multifamily Mortgage Pass-Through Certificates Series 2011-K15 (the Certificates) issued by FREMF 2011-K15 Mortgage Trust, Series 2011-K15 as follows:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class X1 at AAA (sf)
-- Class X2 at AA (high) (sf)
-- Class B at AA (sf)

All trends remain Stable.

These rating actions, as well as the upgrades to the Class B and Class X2 Certificates by DBRS at last review in August 2017, reflect the overall strong performance of the transaction since issuance. The collateral for this transaction consists of 91 fixed-rate loans secured by 91 multifamily properties. As at the February 2018 remittance, there has been a collateral reduction of 9.9% since issuance, with a current trust balance of $1,049 million. Thirteen loans representing 8.7% of the pool balance have been fully defeased and one loan has been paid in full.

All non-defeased loans in the current pool balance reported YE2016 cash flow figures, with a weighted-average (WA) debt service coverage ratio (DSCR) and debt yield of 1.64 times (x) and 12.4%, respectively, compared with the WA DBRS Term DSCR of 1.40x and DBRS Debt Yield of 9.2% derived at issuance. Sixty-seven loans representing 83.5% of the pool balance reported partial-year 2017 financials, with an annualized WA DSCR of 1.58x for those loans. The top 15 loans reported a WA YE2016 DSCR of 1.57x, representing a 2.3% increase in NCF year-over-year (YOY). As at the most recent 2017 reporting available, the 13 loans in the top 15 reporting partial-year 2017 financials showed a WA NCF growth of 65.5% over the DBRS issuance figures and a 9.8% NCF growth YOY, with a WA DSCR of 1.56x.

As at the February 2018 remittance, there are five loans, representing 6.2% of the pool balance, on the servicer’s watchlist. Two of the loans, representing 1.1% of the pool balance, are being monitored for outstanding deferred maintenance items. The remaining loans were flagged for monitoring following a natural disaster, with damages being either minor and/or in the process of being repaired. There are no loans in special servicing.

Class X1 is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall.

As part of this review, DBRS has provided updated analysis and in-depth commentary for the Ridgepointe At Cagan Crossings Loan (Prospectus ID #8, 2.7% of the current pool balance).

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

The principal methodology is CMBS North American Surveillance, which can be found on dbrs.com under Methodologies. For a list of the Structured Finance related methodologies that may be used during the rating process, please see the DBRS Global Structured Finance Related Methodologies document on www.dbrs.com. Please note that not every related methodology listed under a principal Structured Finance asset class methodology may be used to rate or monitor an individual structured finance or debt obligation.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at info@dbrs.com.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

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