KBRA issues preliminary ratings for Velocity Commercial Capital 2021-2
NEW YORK–(BUSINESS WIRE) – Kroll Bond Rating Agency (KBRA) issues preliminary ratings for 18 classes of mortgage-backed certificates from Velocity Commercial Capital 2021-2 (VCC 2021-2).
VCC 2021-2 is a $ 205.2 million securitization backed by 541 small commercial loans backed by 615 residential or commercial real estate (CRE). The pool consists of 531 fixed rate mortgages (98.1% of the total pool) and 10 adjustable rate mortgages (1.9%). The loans have an average principal balance of $ 379,256, which ranges from $ 54,750 (0.03%) to $ 4.4 million (2.1%). The weighted average loan-to-value ratio (LTV) and FICO score for the pool are 67.3% and 726, respectively.
The underlying properties are located in or near 125 Core Based Statistical Areas (CBSAs) in 35 states and the District of Columbia. The top 3 CBSAs represent 46.6% of the portfolio and include New York-Newark-Jersey City, NY-NJ (23.5%), Miami-Fort Lauderdale-West Palm Beach, FL (12.4%) and Los Angeles-Long Beach -Anaheim, CA (10.7%). The three largest government exposures represent 61.2% of the portfolio and consist of California (24.5%), Florida (18.7%) and New York (18.0%).
KBRA relied on its RMBS and CMBS methods to analyze the transaction. KBRA divided the pool into two different loan groups: Sub-pool 1 (341 loans, 53.7% of the total pool balance) comprises investor loans that are secured by residential rental properties with four or fewer units. Sub-pool 2 (200 loans, 46.3%) consists of commercial real estate assets. This sub-pool essentially consists of mixed-use properties (70 assets, 29.4% of commercial properties), industry / warehouses (23 assets, 21.8%), apartment buildings with five or more units (34 assets, 18.1%), Retail (44 assets, 15.0%), office real estate (24 assets, 9.0%) and automotive real estate (six assets, 3.5%). The issuer assigned 11 assets (3.2% of CRE) to the commercial condominium property type. However, KBRA has reclassified this property type to industrial / warehouse, office or retail, which is the core use of any asset.
The results of the RMBS and CMBS portfolio credit models were combined on a WA basis to determine the expected losses modeled by KBRA in each rating category and to reflect the quality of collateral, diligence and quality of information compared to typical RMBS and CMBS transactions. The losses then flowed into our cash flow modeling, which was used to assess the credit improvement levels of the transaction as part of the modified pro rata structure.
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Learn more about key credit considerations, sensitivity studies that take into account what factors may affect those credit ratings and how they could lead to an upgrade or downgrade, and ESG factors (if they are a material factor in changing creditworthiness or the rating outlook). ) can be found in the full assessment report above.
A description of all the materially significant sources used in establishing the credit rating and information about the methodology (s) (including any material models and sensitivity analyzes of the relevant key assumptions for the rating, if any) that were used in determining the credit rating , are available on the information disclosure form (s) located here.
Information on the meaning of the individual assessment categories can be found here.
Further information on this rating measure can be found in the information disclosure forms mentioned above. Further information on KBRA policies, methods, rating scales and information is available at www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered as an NRSRO with the Securities and Exchange Commission. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority under the temporary registration regime. In addition, KBRA has been named by the Ontario Securities Commission as the designated rating organization for issuers of asset-backed securities for the submission of a short prospectus or shelf prospectus. KBRA is also recognized as a credit rating provider by the National Association of Insurance Commissioners.