KBRA Assigns Preliminary Ratings to 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 credit groups: Sub-pool 1 (341 loans, 53.7% of the total pool balance) consists of investor loans secured by residential properties with four or fewer units. Sub-pool 2 (200 loans, 46.3%) consists of commercial real estate assets. This subpool is essentially made up of mixed-use properties (70 assets, 29.4% of the CRE), industrial / warehouse (23 assets, 21.8%), apartment buildings with five or more units (34 assets, 18.1%) , Retail (44 assets) combined, 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 property type commercial condominiums. 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 were then incorporated 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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Disclosure
Learn more about key credit considerations, sensitivity research that takes into account what factors may affect these 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 material material sources used in establishing the credit rating and information about the methodology (s) (including any material models and sensitivity analyzes of the relevant material rating assumptions, if any) that were used in determining the credit rating is available Information Disclosure Form (s) can be found 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. For more information on KBRA policies, methods, rating scales and indications, visit www.kbra.com.
About KBRA
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 with the UK Financial Conduct Authority as a CRA under the temporary registration system. 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.