Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of
preliminary ratings to nine classes of FREMF Series 2019-K91 mortgage
pass-through certificates and five classes of Freddie Mac structured
pass-through certificates (SPCs), Series K-091 (see ratings list below).
FREMF Series 2019-K91 is a $1.4 billion CMBS multi-borrower transaction.
Freddie Mac will guarantee six classes of certificates issued in the
underlying Series 2019-K91 securitization and will deposit the
guaranteed underlying certificates into a separate trust that will issue
The underlying transaction is collateralized by 61 fixed-rate
multifamily mortgage loans. The loans have principal balances that range
from $1.2 million to $142.0 million. The largest exposure is represented
by Square Station (10.3%), a 710-unit, Class-A, high-rise multifamily
complex located in Miami, Florida, approximately two miles north of the
city’s CBD. The five largest loans represent 26.8% of the cut-off date
balance and also include Shadow Oaks Apartments (4.8%), MHC Crossed
Loans Portfolio (4.3%), Riverpark Towers & River’s Edge Student
Apartments (4.0%), and Wimbledon Square (3.5%). The assets are located
in 31 states, with the three largest concentrations in Florida (18.0%),
California (14.0%), and North Carolina (9.4%).
KBRA’s analysis of the underlying transaction incorporated our CMBS
Multi-Borrower rating process that begins with our analysts' evaluation
of the underlying collateral properties' financial and operating
performance, which is used to determine KBRA’s estimate of sustainable
net cash flow (KNCF) and KBRA value using our U.S.
CMBS Property Evaluation Methodology. KBRA’s weighted
average KNCF for the portfolio is 3.3% less than the issuer’s NCF. KBRA
capitalization rates were applied to each asset’s KNCF to derive
individual property values that, on an aggregate basis, were 41.9% less
than third-party appraisal values. The weighted average KBRA
capitalization rate for the transaction is 8.58%. The KBRA credit model
deploys rent and occupancy stresses, probability of default regressions,
and loss-given default calculations to determine losses for each
collateral loan, which are then used to assign our credit ratings.
For complete details of the analysis, please see our pre-sale report, FREMF
2019-K91, published at www.kbra.com.
The report includes our KBRA
Comparative Analytic Tool (KCAT). KCAT is an easy to use,
Excel-based workbook that provides the following information:
KBRA Deal Tape – contains KBRA loan level details for every loan in
the pool, and the ability for users to input adjustments to KNCF and
KBRA Cap Rates and see the related impact on key deal metrics.
KBRA Credit Metrics Comparison Tool – Enables the user to compare the
subject transaction to a user-defined transaction comp set.
Excel based property cash flow statements for the top 20 loans.
The preliminary ratings are based on information known to KBRA at the
time of this publication. Information received subsequent to this
release could result in the assignment of final ratings that differ from
the preliminary ratings.
Preliminary Ratings Assigned: FREMF 2019-K91
Class Balance (US$)
Expected KBRA Rating
Preliminary Ratings Assigned: Freddie Mac Structured Pass-Through
Certificates, Series K-091
Class Balance (US$)
Expected KBRA Rating
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
2019-K91 Pre-Sale Report
CMBS Multi-Borrower Rating Methodology
CMBS Property Evaluation Methodology
for Rating Interest-Only Certificates in CMBS Transactions
the iOS AppYouTube
About KBRA and KBRA Europe
KBRA is a full-service credit rating agency registered with the U.S.
Securities and Exchange Commission as an NRSRO. In addition, KBRA is
designated as a designated rating organization by the Ontario Securities
Commission for issuers of asset-backed securities to file a short form
prospectus or shelf prospectus, is recognized by the National
Association of Insurance Commissioners as a Credit Rating Provider, and
is a certified Credit Rating Agency (CRA) by the European Securities and
Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is
registered with ESMA as a CRA.
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