KBRA Assigns Preliminary Ratings to FREMF 2019-K91 and Freddie Mac Structured Pass-Through Certificates K-091

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 citys 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 & Rivers 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%).

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 3.3% 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 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.

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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)

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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.

Analytical Contacts:

Teena Andrade, Associate
(646) 731-3387
[email protected]

Yee Cent Wong, Senior Managing Director
(646) 731-2374
[email protected]

Patrick McQuinn, Director
(646) 731-2445
[email protected]

Sean Kane, Senior Analyst
(646) 731-3355
[email protected]