KBRA Assigns Preliminary Ratings to VCC 2018-2
NEW YORK--(BUSINESS WIRE)--Oct 5, 2018--Kroll Bond Rating Agency (KBRA) has assigned preliminary ratings to 18 classes of Velocity Commercial Capital Loan Trust 2018-2 (VCC 2018-2) mortgage-backed certificates.
VCC 2018-2 is a $324.2 million securitization collateralized by 944 commercial loans secured by mortgages on 944 small balance residential rental and commercial real estate (CRE) properties. The pool consists of adjustable-rate, full recourse loans, all of which fully amortize over their respective terms. The weighted average appraisal loan-to-value ratio (LTV) and FICO score for the pool are 63.3% and 709, respectively.
The underlying properties are located in or near 123 Core Based Statistical Areas (CBSAs) across 33 states and the District of Columbia. The top-three CBSAs represent 51.5% of the portfolio and include New York-Newark-Jersey City, NY-NJ (32.0%), Los Angeles-Long Beach-Anaheim, CA (12.7%), and Miami-Fort Lauderdale-West Palm Beach, FL (6.8%). The three largest state exposures represent 57.9% of the portfolio and consist of New York (24.0%), California (22.3%), and Florida (11.6%).
The residential assets are comprised of 1-4 unit rental properties (555 assets, 49.2% of the total pool balance). The commercial properties are largely comprised of mixed use (106 assets, 26.5% of CRE), multifamily (96 assets, 23.6%), retail (71 assets, 18.3%) and office (47 assets, 11.2%) properties. The remaining commercial properties (69 assets, 20.4% of CRE) include industrial/warehouse, auto service centers, manufactured housing and self storage properties. The issuer assigned 21 assets a property type of commercial condominium. The loans have principal balances ranging from $73,500 (0.02%) to $2.7 million (0.9%), with an average cut-off date balance of $343,430.
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: 555 loans, 49.2% of the total pool balance) and commercial (sub-pool 2: 389 loans, 50.8%) analyses, which are hereafter referred to as the investor 1-4 unit residential and CRE buckets, respectively. KBRA determined losses at each rating category for each of the sub-pools, assuming a straight sequential payment structure, 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, published today at . 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.
Representations & Warranties Disclosure
All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report available .
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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, is 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.
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CONTACT: Kroll Bond Rating Agency
Ravish Kamath, 646-731-2328
Kristymarie Cariello, 646-731-2494
Pramit Sheth, 646-731-2330
Jack Kahan, 646-731-2486
KEYWORD: UNITED STATES NORTH AMERICA NEW YORK
INDUSTRY KEYWORD: PROFESSIONAL SERVICES FINANCE INSURANCE
SOURCE: Kroll Bond Rating Agency
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PUB: 10/05/2018 01:46 PM/DISC: 10/05/2018 01:46 PM