Federal Mortgage: Fitch Assigns Final Ratings to FREMF 2021-K132 Multifamily Mtg PT Ctfs & Freddie Mac SPC Ser K-132
Fitch Ratings has assigned the following ratings and rating outlook to FREMF 2021-K132 Multi-Family Mortgage Certificates and Freddie Mac Structured Intercom Certificates, Series K-132.
RATING ACTIONSENTITY/DEBT RATING PRIOR
FREMF 2021-K132
A-1
LT AAAsf New RatingAAA (EXP)sf
A-1
ULT AAAsf New RatingAAA (EXP)sf
A-2
LT AAAsf New RatingAAA (EXP)sf
A-2
ULT AAAsf New RatingAAA (EXP)sf
A M
LT NRsf New Rating NR(EXP)sf
A M
ULT NRsf New Rating NR(EXP)sf
D
LT NRsf New Rating NR(EXP)sf
X1
LT AAAsf New RatingAAA (EXP)sf
X1
ULT AAAsf New RatingAAA (EXP)sf
X2-A
LT AAAsf New RatingAAA (EXP)sf
X2-B
LT NRsf New Rating NR(EXP)sf
X3
LT NRsf New Rating NR(EXP)sf
X3
ULT NRsf New Rating NR(EXP)sf
XAM
LT NRsf New Rating NR(EXP)sf
XAM
ULT NRsf New Rating NR(EXP)sf
A-1
LT AAAsf New RatingAAA (EXP)sf
A-1
ULT AAAsf New RatingAAA (EXP)sf
A-2
LT AAAsf New RatingAAA (EXP)sf
A-2
ULT AAAsf New RatingAAA (EXP)sf
A M
LT NRsf New Rating NR(EXP)sf
A M
ULT NRsf New Rating NR(EXP)sf
X-1
LT AAAsf New RatingAAA (EXP)sf
X-1
ULT AAAsf New RatingAAA (EXP)sf
X-3
LT NRsf New Rating NR(EXP)sf
X-3
ULT NRsf New Rating NR(EXP)sf
XAM
LT NRsf New Rating NR(EXP)sf
XAM
ULT NRsf New Rating NR(EXP)sf
SEE ADDITIONAL EVALUATION DETAILS
FREMF 2021-K132 Multi-Family Mortgage Transfer Certificates (FREMF 2021-K132):
In addition, Fitch has issued unimproved ratings, which reflect the underlying creditworthiness in the absence of
Freddie Mac Structured Direct Certificates, Series K-132 (
Fitch has also issued unimproved ratings, which reflect the underlying creditworthiness in the absence of
(a) Notional amount and interest only (IO).
(b) Guaranteed by
The FREMF 2021-K132 trust consists of guaranteed and unsecured certificates. The underlying guaranteed certificates consist of classes A-1, A-2, AM, X1, XAM and X3. These certificates will be purchased by
Fitch does not assess the following classes of FREMF 2021-K132:
summary of transactions
The certificates represent the beneficial ownership interest in the trust. The main assets of the trust are 53 loans secured by 53 properties with an aggregate principal balance of approximately
Fitch reviewed a full sample of the collateral for the transaction, including a 73.5% pool cash flow analysis and 100% pool asset summary reviews.
MAIN RATING FACTORS
Fitch’s leverage is slightly lower than in recent transactions: Debt Service Coverage Ratio (DSCR) and Loan-to-Value Ratio (LTV) of the pool are respectively 1.11 x and 130.6 %. The pool’s DSCR is higher than the average for YTD 2021 and 2020.Rated Fitch, 10 years old,
Below-average pool amortization: The pool is expected to amortize 4.2% of the initial pool balance prior to maturity, which is lower than the average noted by Fitch for fiscal year 2021 and 2020
Traditional multi-family exposure: The pool is 95.7% guaranteed by traditional multi-family properties, 2.6% by prefabricated housing communities (MHC) and there is a loan representing 1.7% of the pool which is guaranteed by a health care property. The traditional multi-family pool concentration is higher than the current year 2021 and 2020 Fitch-rated, 10 years
RATING SENSITIVITIES
Factors which could, individually or collectively, lead to a negative rating action / downgrade:
Lower cash flow decreases the property’s value and its ability to meet its debt service obligations. The list below indicates the sensitivity of the model’s implicit notation to changes in a variable, Fitch NCF:
Original rating: “AAAsf”;
10% decrease in NCF: “AA + sf”;
20% decrease in NCF: “A + sf”;
30% decrease in NCF: “BBB + sf”.
Factors which could, individually or collectively, lead to a positive rating action / improvement:
Fitch did not consider implementing positive constraints for this transaction as the rated classes are at the highest rating level and cannot be upgraded further. The pre-sale report includes a detailed explanation of additional constraints and sensitivities on page 10.
Best / Worst Case Assessment Scenario
International credit ratings of structured finance transactions have an optimal rating uptake scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon ; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in the negative direction) of seven notches over three years. The full range of best and worst case credit scores for all rating categories ranges from “AAAsf” to “Dsf”. Best and worst case credit ratings are based on historical performance. For more information on the methodology used to determine industry-specific best and worst case credit scores, visit https://www.fitchratings.com/site/re/10111579.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch received form ABS Due Diligence-15E (Form 15E) prepared by
REFERENCES FOR THE ESSENTIALLY MATERIAL SOURCE CITED AS THE MAIN RATING DRIVER
The main sources of information used in the analysis are described in the applicable criteria.
DECLARATIONS, GUARANTEES AND ENFORCEMENT MECHANISMS
A description of the Trade Representations, Guarantees and Execution Mechanisms (RW&E) which are disclosed in the Offer Document and which relate to the underlying asset pool is available by clicking on the link to the Annex. The appendix also contains a comparison of these RW&E with those that Fitch considers typical for the asset class, as detailed in the special report titled “Representations, Guarantees and Execution Mechanisms in Global Structured Financial Transactions”.
ESG considerations
Unless otherwise specified in this section, the highest ESG credit relevance level is a score of “3”. This means that ESG matters are credit neutral or have minimal impact on the credit of the entity, either because of their nature or how they are managed by the entity. For more information on Fitch’s ESG relevance scores, visit www.fitchratings.com/esg
Further information is available at www.fitchratings.com
PARTICIPATION STATUS
The rated entity (and / or its agents) or, in the case of structured finance, one or more parties to the transaction participated in the rating process, except that the following issuer (s), if any, have not participated in the rating process, or provide additional information, beyond the publicly available information of the issuer.
APPLICABLE CRITERIA
Assessment Criteria for North American Commercial Mortgage Agents (pub.
Credit Officer Rating Criteria (pub.
Criteria for rating single and multiple name credit ratings (ad.
Global structured finance rating criteria (pub.
Exposure Draft: Counterparty Rating Criteria for Structured Finance and Covered Bonds (pub.
APPLICABLE MODELS
The numbers in parentheses accompanying the applicable model (s) contain hyperlinks to criteria providing a description of the model (s).