Kroll Bond Ratings issued mainly AAA preliminary ratings to seven classes of FREMF 2012-K23 mortgage pass-through certificates and three classes of Freddie Mac structured pass-through certificates, Series K23.

The commercial mortgage backed security multi-borrower transaction was $1.37 billion and is collateralized by 76 commercial mortgagee loans originated in conjunction with Freddie Mac’s Capital Markets Execution program.

Analysts looked at more than 11,000 Freddie Mac loans not originated for the CME program between 1994 and the second quarter of this year. The default rate was 0.84% during 2Q12.

Kroll found it "significantly below" industry-wide defaults rates, which exceed 17% for multifamily loans bundled into commercial mortgage bonds.

More than half of the pool — 64 loans, 60.8% — are comprised of loans that account for less than 2% of the aggregate transaction balance individually. Only six loans have individual balances in excess of 3% of the pool, balances ranging from 3.5% to 5.2%. 

Properties underlying the security are dispersed throughout 26 states total. 

The three largest concentrations are in California with 18.3%, Florida with 12.5% and Maryland with 12.4%. no other state individually represents more than 10% of the total pool balance.

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