S&P: Three Ratings Raised On FREMF 2011-K701 Mortgage Trust
The upgrades on the principal - and interest-paying certificates follow our analysis of the transaction, primarily using our criteria for rating U. S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining loans in the pool, the transaction's structure, and the liquidity available to the trust. The raised ratings also reflect our expectation of the available credit enhancement for these classes, which we believe is greater than our most recent estimate of the necessary credit enhancement for the respective rating levels, our views regarding the collateral's current and future performance, and the magnitude of defeased loans (22 loans; $567.7 million, 59.9%) in the transaction.
We raised our rating on the class X2 interest-only (IO) certificates based on our criteria for rating IO securities, under which the rating on the IO securities would not be higher than the lowest referenced class. Class X2's notional amount equals the principal balances of the class A-1 and A-2 certificates. Since we no longer rate these certificates, the upgrade is basedon the credit assessment we performed on these certificates, which indicated available credit enhancement commensurate with the higher rating.
As of the Aug. 25, 2016, trustee remittance report, the collateral pool balance was $947.5 million, which is 93.2% of the pool balance at issuance. The pool currently includes 44 loans (the same as at issuance), all of which mature in 2017. Excluding the 22 defeased loans, all of the remaining loans are secured by multifamily properties and none are with the special servicer or on the master servicer's watchlist. The master servicer, Wells Fargo Bank N. A., reported year-end 2015 financial information for 100.0% of the nondefeased loans in the pool.
Excluding the defeased loans, we calculated a 1.66x S&P Global Ratings weighted average debt service coverage (DSC) and a 72.2% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 6.84% S&P Global Ratings weighted average capitalization rate for the remaining loans in the pool. The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $258.9 million (27.3%). Using adjusted servicer-reported numbers, we calculated an S&P Global Ratings weighted average DSC and LTV of 1.73x and 72.8%, respectively, for the top 10 nondefeased loans.
To date, the transaction has experienced no principal losses.