KBRA Assigns Preliminary Ratings to FREMF 2019-K91 and Freddie Mac Structured Pass-Through Certificates K-091
April 15 2019 - 9:15AM
Business Wire
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 SPCs.
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 Class Balance (US$) Expected
KBRA Rating A-1 $83,637,000 AAA (sf) A-2
$1,053,600,000 AAA (sf) A-M $53,659,000 AA
(sf) B $55,391,000 A- (sf) C $34,619,000
BBB (sf) D $103,857,565 NR X1
$1,137,237,000* AAA (sf) XAM $53,659,000* AAA
(sf) X2-A $1,137,237,000* AAA (sf) X2-B
$247,526,565* AAA (sf) X3 $193,867,565* NR
*Notional Balance
Preliminary Ratings Assigned: Freddie Mac Structured
Pass-Through Certificates, Series K-091
Class Class Balance (US$) Expected
KBRA Rating A-1 $83,637,000 AAA (sf) A-2
$1,053,600,000 AAA (sf) A-M $53,659,000 AA
(sf) X1 $1,137,237,000* AAA (sf) XAM
$53,659,000* AAA (sf) X3 $193,867,565* NR
*Notional Balance
To access ratings, reports and disclosures, click
here.
Related Publications:
(available at www.kbra.com)
- FREMF 2019-K91 Pre-Sale
Report
- U.S. CMBS Multi-Borrower Rating
Methodology
- U.S. CMBS Property Evaluation
Methodology
- Methodology for Rating Interest-Only
Certificates in CMBS Transactions
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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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version on businesswire.com: https://www.businesswire.com/news/home/20190415005549/en/
Analytical Contacts:
Teena Andrade, Associate(646) 731-3387tandrade@kbra.com
Yee Cent Wong, Senior Managing Director(646)
731-2374ywong@kbra.com
Patrick McQuinn, Director(646) 731-2445pmcquinn@kbra.com
Sean Kane, Senior Analyst(646) 731-3355skane@kbra.com