KBRA assigns preliminary ratings to Velocity Commercial Capital 2021-4
NEW YORK–(COMMERCIAL THREAD) – Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 15 classes of mortgage-backed certificates Velocity Commercial Capital 2021-4 (VCC 2021-4).
VCC 2021-4 is a $ 319.1 million securitization secured by 851 low balance commercial loans secured by 948 residential rental or commercial real estate (CRE) properties. The pool includes 514 fixed rate mortgages (71.7% of the total pool) and 337 variable rate mortgages (28.3%). The loans have an average outstanding principal balance of $ 374,990, which ranges from $ 1,445 (0.005%) to $ 6.2 million (1.9%). The weighted average loan to appraisal (LTV) ratio and FICO score for the pool are 59.5% and 720, respectively.
The underlying properties are located in or near 139 Central Statistical Areas (CBSAs) in 39 states. The top three CBSAs represent 43.9% of the portfolio and include New York-Newark-Jersey City, NY-NJ (23.2%), Los Angeles-Long Beach-Anaheim, CA (11.9%) and Miami-Fort Lauderdale-West Palm Beach, Florida (8.8%). The three largest state exposures represent 58.9% of the portfolio and consist of California (25.9%), New York (18.7%) and Florida (14.2%).
KBRA relied on its RMBS and CMBS methodologies to analyze the transaction. In doing so, KBRA has divided the pool into two separate loan groups, as follows: Sub-pool 2 (355 loans, 47.1%) consists of commercial real estate assets. This sub-pool is largely made up of mixed-use buildings (106 assets, 24.5% of CRE), commercial buildings (63 assets, 22.8%), multi-family buildings with five or more dwellings. (56 assets, 16.1%), warehouses (31 assets, 12.6%), office buildings (43 assets, 11.3%), commercial condominiums (30 assets, 6.0%) and automotive services (23 workers, 5.6%). KBRA has reclassified the types of mixed-use and commercial condominiums to represent each asset’s respective primary use.
The results of the RMBS and CMBS portfolio credit models were combined, on a WA basis, to determine KBRA’s modeled expected losses for each rating category and to reflect the quality of collateral, due diligence and quality of the credit. information on typical RMBS and CMBS transactions. The losses were then incorporated into our cash flow modeling, which was used to assess the credit enhancement levels of the transaction in the context of its modified pro rata structure.
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Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a credit rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a credit rating agency with the UK Financial Conduct Authority under the temporary registration regime. In addition, KBRA is appointed as the designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider.