KBRA Assigns Preliminary Ratings to VCC 2019-1

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 18
classes of Velocity Commercial Capital 2019-1 (VCC 2019-1)
mortgage-backed certificates.

VCC 2019-1 is a $248.0 million securitization collateralized by 689
commercial loans, each of which is secured by a mortgage on a small
balance residential rental or commercial real estate (CRE) property.
With the exception of two fixed-rate loans (0.01% of the total pool
balance), the pool is comprised of adjustable rate mortgages. The loans
have an average outstanding principal balance of $359,912 which range
from $73,156 (0.03%) to $3.0 million (1.2%). The weighted average
appraisal loan-to-value ratio (LTV) and FICO score for the pool are
62.3% and 704, respectively.

The underlying properties are located in or near 101 Core Based
Statistical Areas (CBSAs) across 35 states and the District of Columbia.
The top-three CBSAs represent 50.3% of the portfolio and include New
York-Newark-Jersey City, NY-NJ (25.8%), Los Angeles-Long Beach-Anaheim,
CA (18.9%), and Miami-Fort Lauderdale-West Palm Beach, FL (5.6%). The
three largest state exposures represent 60.1% of the portfolio and
consist of California (29.7%), New York (19.9%), and Florida (10.5%).

The residential assets are comprised of 1-4 unit rental properties (397
assets, 42.7% of the total pool balance). The commercial properties are
largely comprised of mixed use (93 assets, 31.5% of CRE), multifamily
(55 assets, 20.1%), retail (49 assets, 17.4%) and office (58 assets,
14.9%) properties. The remaining commercial properties (37 assets, 16.2%
of CRE) include industrial/warehouse, auto service centers,
self-storage, and a daycare facility. The issuer assigned 19 assets
(1.9%) a property type of commercial condominium. However, KBRA
reclassified this property type as office, which is 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: 397 loans, 42.7%
of the total pool balance) and commercial (sub-pool 2: 292 loans, 57.3%)
analyses. 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, Velocity
Commercial Capital 2019-1
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.

Preliminary Ratings Assigned: VCC 2019-1

Liability Structure

Class(1)(3)(4)(5)  

Initial Class
Balance(2)

  Class Type  

Credit
Enhancement

 

Expected
KBRA
Rating

 

Rated Final
Distribution
Date

A   $163,542,000   Senior/ Exchangeable/Fixed Rate   34.05%   AAA (sf)   March 2049
A-S $163,542,000 Senior/Initial Exchangeable/Fixed Rate 34.05% AAA (sf) March 2049
A-IO $163,542,000 Senior/Interest-Only/Initial Exchangeable/Fixed Rate N/A AAA (sf) March 2049
M-1 $24,550,000 Subordinate/Exchangeable/Fixed Rate 24.15% AA (sf) March 2049
M1-A $24,550,000 Subordinate/Initial Exchangeable/Fixed Rate 24.15% AA (sf) March 2049
M1-IO $24,550,000 Subordinate/Interest-Only/Initial Exchangeable/Fixed Rate N/A AA (sf) March 2049
M-2 $10,167,000 Subordinate/Exchangeable/Fixed Rate 20.05% A (sf) March 2049
M2-A $10,167,000 Subordinate/Initial Exchangeable/Fixed Rate 20.05% A (sf) March 2049
M2-IO $10,167,000 Subordinate/Interest-Only/Initial Exchangeable/Fixed Rate N/A A (sf) March 2049
M-3 $11,283,000 Subordinate/Exchangeable/Fixed Rate 15.50% BBB (sf) March 2049
M3-A $11,283,000 Subordinate/Initial Exchangeable/Fixed Rate 15.50% BBB (sf) March 2049
M3-IO $11,283,000 Subordinate/Interest-Only/Initial Exchangeable/Fixed Rate N/A BBB (sf) March 2049
M-4 $9,299,000 Subordinate/Exchangeable/Fixed Rate 11.75% BB (sf) March 2049
M4-A $9,299,000 Subordinate/Initial Exchangeable/Fixed Rate 11.75% BB (sf) March 2049
M4-IO $9,299,000 Subordinate/Interest-Only/Initial Exchangeable/Fixed Rate N/A BB (sf) March 2049
M-5 $5,208,000 Subordinate/Exchangeable/Fixed Rate 9.65% B (sf) March 2049
M5-A $5,208,000 Subordinate/Initial Exchangeable/Fixed Rate 9.65% B (sf) March 2049
M5-IO $5,208,000 Subordinate/Interest-Only/Initial Exchangeable/Fixed Rate N/A B (sf) March 2049
M-6 $11,531,000 Subordinate/Exchangeable/Fixed Rate 5.00% NR March 2049
M6-A $11,531,000 Subordinate/Initial Exchangeable/Fixed Rate 5.00% NR March 2049
M6-IO $11,531,000 Subordinate/Interest-Only/Initial Exchangeable/Fixed Rate N/A NR March 2049
M-7 $12,399,379 Subordinate/Principal-Only 0.00% NR March 2049
P $100 Prepayment Premiums N/A NR March 2049
XS N/A Monthly Excess Cashflow N/A NR March 2049
R   N/A   Residual   N/A   NR   March 2049
1 All classes shown in the table above are offered,
except Classes M-7, P, XS, and R.
2 Principal or notional amount, as applicable.
3 The Class M-7 certificates are principal-only and are
not entitled to receive distributions of interest. This class will
be retained by the depositor, the loan seller, or a majority-owned
affiliate (MOA) of the loan seller, and may, to the extent
necessary, be held in partial satisfaction of the U.S. risk
retention rules.
4 The Class P certificates are solely entitled to receive
prepayment premiums during the prepayment period plus $100 in
principal and will be retained by the loan seller or an MOA in
partial satisfaction of the U.S. risk retention rules.
5 The Class XS certificates are solely entitled to
receive monthly excess cash flow, if any, and will be retained by
the loan seller or an MOA in partial satisfaction of the U.S. risk
retention rules.
 

To access ratings, reports and disclosures, click here.

Related Publications: (available at www.kbra.com)

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About KBRA and KBRA Europe

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.

Contacts

Analytical:
Daniel Tegen,
Senior Director
(646) 731-2429
[email protected]

Kristymarie Cariello, Director
(646) 731-2494
[email protected]

Griffin Flagg, Senior Analyst
(646) 731-2433
[email protected]

Jack Kahan, Senior Managing Director
(646) 731-2486
[email protected]

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