Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to nine classes of FREMF Series 2019-K102 mortgage pass-through certificates and five classes of Freddie Mac structured pass-through certificates (SPCs), Series K-102 (see ratings list below). FREMF Series 2019-K102 is a $1.4 billion CMBS multi-borrower transaction. Freddie Mac will guarantee six classes of certificates issued in the underlying Series 2019-K102 securitization and will deposit the guaranteed underlying certificates into a separate trust that will issue the SPCs.
The underlying transaction is collateralized by 46 fixed-rate multifamily mortgage loans. The loans have principal balances that range from $1.6 million to $121.8 million. The largest exposure is represented by Elmwood Village Apartments (8.9%), a 666-unit, Class-B, garden-style multifamily complex located in Elmwood Park, New Jersey, approximately fifteen miles northwest of New York City. The five largest loans represent 26.9% of the cut-off date balance and also include Centric (4.9%), Park Place Baton Rouge (4.4%), Los Robles (4.3%), and Place One Apartment Homes (4.3%). The assets are located in 21 states, with the three largest concentrations in Texas (18.7%), California (15.9%), and New Jersey (12.9%).
KBRAs 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 KBRAs estimate of sustainable net cash flow (KNCF) and KBRA value using our U.S. CMBS Property Evaluation Methodology. KBRAs weighted average KNCF for the portfolio is 2.9% less than the issuers NCF. KBRA capitalization rates were applied to each assets KNCF to derive individual property values that, on an aggregate basis, were 43.7% less than third-party appraisal values. The weighted average KBRA capitalization rate for the transaction is 8.54%. 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-K102, published at www.kbra.com. 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.
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- FREMF 2019-K102 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
- Global Structured Finance Counterparty Methodology
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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. KBRA is also 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.
Patrick Skowronski, Senior Analyst
Yee Cent Wong, Senior Managing Director
Dayna Carley, Senior Director
Michele Patterson, Managing Director