Federal Mortgage: Fitch Assigns Final Ratings to FREMF 2021-K132 Multifamily Mtg PT Ctfs & Freddie Mac SPC Ser K-132

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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 Rating		AAA(EXP)sf

A-1

ULT	AAAsf 	New Rating		AAA(EXP)sf

A-2

LT	AAAsf 	New Rating		AAA(EXP)sf

A-2

ULT	AAAsf 	New Rating		AAA(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 Rating		AAA(EXP)sf

X1

ULT	AAAsf 	New Rating		AAA(EXP)sf

X2-A

LT	AAAsf 	New Rating		AAA(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

Freddie mac 2021-K132

A-1

LT	AAAsf 	New Rating		AAA(EXP)sf

A-1

ULT	AAAsf 	New Rating		AAA(EXP)sf

A-2

LT	AAAsf 	New Rating		AAA(EXP)sf

A-2

ULT	AAAsf 	New Rating		AAA(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 Rating		AAA(EXP)sf

X-1

ULT	AAAsf 	New Rating		AAA(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):

83 trillion dollars class A-1 “AAAsf”; Outlook stable;

$ 896,036 trillion class A-2 “AAAsf”; Outlook stable;

$ 979,036, 000ab class X1 ‘AAAsf’; Outlook stable;

$ 979,036, 000a class X2-A ‘AAAsf’; Stable outlook.

In addition, Fitch has issued unimproved ratings, which reflect the underlying creditworthiness in the absence of Freddie mac guarantee as well as the rating outlook according to FREMF 2021-K132 of “AAAsf” / Outlook Stable for classes A-1, A-2 and X1. Fitch did not give unimproved grades to class X2-A because this class is not guaranteed by Freddie mac and the long-term “AAAsf” / Outlook Stable rating already reflects the underlying creditworthiness in the absence of collateral.

Freddie Mac Structured Direct Certificates, Series K-132 (Freddie mac SPC K-132):

83 trillion dollars class A-1 “AAAsf”; Outlook stable;

$ 896,036 trillion class A-2 “AAAsf”; Outlook stable;

$ 979,036, 000ab class X1 ‘AAAsf’; Stable outlook.

Fitch has also issued unimproved ratings, which reflect the underlying creditworthiness in the absence of Freddie mac guarantee as well as the prospects of Freddie mac SPC K-132 from ‘AAAsf’ / Outlook Stable for classes A-1, A-2 and X1.

(a) Notional amount and interest only (IO).

(b) Guaranteed by Freddie mac.

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 Freddie mac to deposit in the Freddie mac The confidence of SPC K-132 to support the Freddie mac SPC K-132 certificates. The ratings for classes A-1, A-2 and X1 take into account the Freddie mac collateral and the underlying solvency of the collateral. Freddie mac is currently classified ‘AAA“https://www.marketscreener.com/”F1+’/Outlook negative.

Fitch does not assess the following classes of FREMF 2021-K132: $ 230,992,666 class IO X2-B; $ 170,491,000 class AM; $ 170,491,000 XAM class IO; $ 60,501,666 class IO X3 and $ 60,501,666 class D. In addition, Fitch does not evaluate the classes of Freddie mac SPC K-132: $ 170,491,000 class AM; $ 170,491,000 XAM class IO; $ 60,501,666 Class IO X3. These ratings and un-upgraded Ratings are based on information provided by the issuer to the October 14, 2021.

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 $ 1.15 billion from the deadline. Freddie mac SPC K-132 represents a pass-through interest in the corresponding category of securities issued by FREMF 2021-K132. Each Freddie mac The SPC K-132 title has the same designation as its underlying class FREMF 2021-K132. All loans have been issued specifically for Freddie mac by authorized repairers. Certificates follow a sequential payment structure.

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, Freddie mac transactions of 1.03x and 1.02x, respectively. Pool LTV is lower than average LTV for fiscal year 2021 Freddie mac transactions of 135.5% and slightly above the 2020 average of 129.4%.

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 Freddie mac transactions of 7.5% and 8.4%, respectively. Within the pool, 25 loans (61.6%) are term entry-exit and 27 loans (37.7%) are partial entry-exit. The remaining seven loans (0.7%) are amortizable balloon loans.

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 Freddie mac averages of 92.9% and 94.8%, respectively. There are no loans guaranteed exclusively by student housing. Healthcare properties have a higher probability of default in Fitch’s multi-borrower model than traditional multi-family property types.

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 PricewaterhouseCoopers LLP. The third party due diligence described in Form 15E focused on a comparison and recalculation of certain characteristics relating to each of the mortgages. Fitch factored this information into his analysis and it had no effect on Fitch’s analysis or conclusions.

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. Jan 22, 2020)

Credit Officer Rating Criteria (pub. 08 Feb 2020)

Criteria for rating single and multiple name credit ratings (ad. 12 feb. 2021) (including the sensitivity of rating assumptions)

Global structured finance rating criteria (pub. March 24, 2021) (including the sensitivity of rating assumptions)

North America and Asia-Pacific CMBS Multi-Borrower Monitoring Criteria (ad. 08 Apr 2021) (including the sensitivity of rating assumptions)

we and Canadian Multi-Borrower CMBS Rating Criteria (pub. 08 Apr 2021) (including the sensitivity of rating assumptions)

Exposure Draft: Counterparty Rating Criteria for Structured Finance and Covered Bonds (pub. Sep 21, 2021)

APPLICABLE MODELS

The numbers in parentheses accompanying the applicable model (s) contain hyperlinks to criteria providing a description of the model (s).


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