NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 18 classes of Velocity Commercial Capital 2019-2 (VCC 2019-2) mortgage-backed certificates.
VCC 2019-2 is a $217.9 million securitization collateralized by 619 small balance commercial loans secured by 634 residential rental or commercial real estate (CRE) properties. With the exception of 20 fixed-rate loans (2.1% of the total pool balance), the pool is comprised of adjustable rate mortgages. The loans have an average outstanding principal balance of $352,054, which range from $60,689 (0.03%) to $2.2 million (1%). The weighted average appraisal loan-to-value ratio (LTV) and FICO score for the pool are 64.1% and 708, respectively.
The underlying properties are located in or near 101 Core Based Statistical Areas (CBSAs) across 37 states and the District of Columbia. The top-three CBSAs represent 48.2% of the portfolio and include New York-Newark-Jersey City, NY-NJ (30.7%), Los Angeles-Long Beach-Anaheim, CA (10.1%), and Miami-Fort Lauderdale-West Palm Beach, FL (7.5%). The three largest state exposures represent 55.5% of the portfolio and consist of New York (22.2%), California (18.2%), and Florida (15.1%).
The residential assets are comprised of 1-4 unit rental properties (360 assets, 48.7% of the total pool balance). The commercial properties are largely comprised of mixed use (80 assets, 26.7% of CRE), multifamily (48 assets, 20.1%), industrial/warehouse (35 assets, 16.5%), retail (39 assets, 13.9%) and office (38 assets, 13.2%) properties. The remaining commercial properties (19 assets, 9.5% of CRE) include auto service centers, daycare facilities and a manufactured housing community. The issuer assigned 25 assets (6.8% of CRE) a property type of commercial condominium. However, KBRA reclassified this property type as industrial/warehouse, office or retail, which represents each asset’s core use.
KBRA relied on its RMBS and CMBS methodologies in order to analyze the transaction. In doing so, KBRA divided the pool into two distinct loan groupings to which we applied residential (sub-pool 1: 360 loans, 48.7% of the total pool balance) and commercial (sub-pool 2: 259 loans, 51.3%) analyses. KBRA determined losses at each rating category for each of the sub-pools which were combined to reflect the quality of the collateral, diligence, and information quality relative to typical RMBS and CMBS transactions. The losses were subsequently incorporated into our cash flow modeling, which was used to evaluate the transaction’s credit enhancement levels in the context of its modified pro rata structure.
For complete details on the analysis, please see our pre-sale report, Velocity Commercial Capital 2019-2 published at www.kbra.com. The preliminary ratings are based on information known to KBRA at the time of publication. Information received subsequent to this release could result in the assignment of ratings that differ from the preliminary ratings.
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- Velocity Commercial Capital 2019-2 Pre-Sale Report
- U.S. RMBS Rating Methodology
- Residential Mortgage Default and Loss Model
- U.S. CMBS Property Evaluation Methodology
- U.S. CMBS Multi-Borrower Rating Methodology
- Methodology for Rating Interest-Only Certificates in CMBS Transactions
- Global Structured Finance Counterparty Methodology
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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.
Teena Andrade, Associate
Ravish Kamath, Director
Fei Han, Analyst
Jack Kahan, Senior Managing Director