DBRS Upgrades Class B of FREMF 2011-K11 Mortgage Trust, Series 2011-K11

DBRS, Inc. (DBRS) upgraded the Class B Multifamily Mortgage Pass-Through Certificates Series 2011-K11 issued by FREMF 2011-K11 Mortgage Trust, Series 2011-K11 (the Trust) to AAA (sf) from AA (high) (sf).

The Class B upgrade reflects the increased credit support to the transaction as a result of a high concentration of the pool being secured by defeasance collateral in combination with the continued strong performance of the remaining collateral. As of the January 2019 remittance, 36 loans, representing 50.3% of the outstanding pool balance, were defeased. There has been a collateral reduction of 17.1% since issuance, with 73 of the original 76 loans outstanding and a current trust balance of $984.9 million.

Based on the most recent year-end reporting, the non-defeased loans reported a weighted-average (WA) debt service coverage ratio (DSCR) of 1.95 times (x) and a WA debt yield of 13.3%. In-place cash flows for these loans are reflective of a WA improvement of 37.0% over DBRS issuance figures and are up 0.3% year over year.

As of the January 2019 remittance, there were four loans on the servicer’s watchlist, representing 3.9% of the pool balance. Two loans are being monitored for non-performance-related issues limited to deferred maintenance, while the other two loans are being monitored for low occupancy.

At issuance, DBRS shadow-rated three loans investment grade: Regency Park Apartments (Prospectus ID#12, 2.0% of the pool balance), Oasis at Springtree (Prospectus ID#27, 1.3% of the pool balance) and Lake Park Village (Prospectus ID#74, 0.2% of the pool balance). DBRS has confirmed that the performance of the Regency Park Apartments loan and the Lake Park Village loan remains consistent with investment-grade loan characteristics. DBRS has removed the shadow rating for the Oasis at Springtree loan, as the loan has been fully defeased.

All ratings are subject to surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed or discontinued by DBRS.

DBRS provides updated analysis and in-depth commentary in the DBRS Viewpoint platform for the following loans in the transaction:

-- Prospectus ID#12 – Regency Park Apartments (2.0% of the pool)
-- Prospectus ID#23 – Harbor Cove (1.5% of the pool)
-- Prospectus ID#12 – Lake Park Village Apartments (0.2% of the pool)

For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrs.com. The platform includes issuer and servicer data for most outstanding CMBS transactions (including non-DBRS rated), as well as loan-level and transaction-level commentary for most DBRS-rated and -monitored transactions.

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

The principal methodology is North American CMBS Surveillance Methodology, which can be found on dbrs.com under Methodologies & Criteria. 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, which can be found on www.dbrs.com in the Commentary tab under Regulatory Affairs. 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 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.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process. Please note a sensitivity analysis is not performed for CMBS bonds rated CCC or lower. The DBRS long-term rating scale definition indicates that ratings of CCC or lower are assigned when the bond is highly likely to default or default is imminent, thereby prevailing over a sensitivity analysis.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

DBRS, Inc.
333 West Wacker Drive, Suite 1800
Chicago, IL 60606 USA