S&P: Rating Raised On Class B From FREMF 2011-K11 Mortgage Trust
Our rating action follows our analysis of the transaction, primarily using ourcriteria for rating U. S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction's structure, and the liquidity available to the trust.
The upgrade reflects our expectation that the available credit enhancement forthis class is greater than our most recent estimate of the necessary credit enhancement for the rating level. The upgrade also follows our views regardingthe current and future performance of the transaction's collateral and available liquidity support.
As of the Aug. 25, 2016, trustee remittance report, the collateral pool balance was $1.08 billion, which is 91.0% of the pool balance at issuance. Thepool currently includes 75 loans, down from 76 loans at issuance. No loans arewith the special servicer, 16 ($201.0 million, 18.6%) are defeased, and three ($65.8 million, 6.1%) are on the master servicer's watchlist. The master servicer, Wells Fargo Bank N. A., reported financial information for 100.0% of the nondefeased loans in the pool, of which 97.6% was year-end 2015 data, and the remainder was partial-year 2016 data.
We calculated a 1.44x S&P Global Ratings' weighted average debt service coverage (DSC) and a 75.1% S&P Global Ratings' weighted average loan-to-value (LTV) ratio using a 7.07% S&P Global Ratings' weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the 16 defeased loans. The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $397.3 million (36.8%). Using adjusted servicer-reportednumbers, we calculated an S&P Global Ratings' weighted average DSC and LTV of 1.48x and 71.4%, respectively, for the top 10 nondefeased loans.
To date, the transaction has experienced no principal losses.