Fitch Ratings has assigned the following ratings and Rating Outlooks to FREMF 2021-K132 Multifamily Mortgage Pass-Through Certificates and Freddie Mac Structured Pass-Through Certificates, Series K-132.
RATING ACTIONSENTITY/DEBT RATING PRIOR
FREMF 2021-K132
A-1
LT AAAsf New RatingAAA (EXP)sf
A-1
ULT AAAsf New RatingAAA (EXP)sf
A-2
LT AAAsf New RatingAAA (EXP)sf
A-2
ULT AAAsf New RatingAAA (EXP)sf
A-M
LT NRsf New Rating NR(EXP)sf
A-M
ULT NRsf New Rating NR(EXP)sf
D
LT NRsf New Rating NR(EXP)sf
X1
LT AAAsf New RatingAAA (EXP)sf
X1
ULT AAAsf New RatingAAA (EXP)sf
X2-A
LT AAAsf New RatingAAA (EXP)sf
X2-B
LT NRsf New Rating NR(EXP)sf
X3
LT NRsf New Rating NR(EXP)sf
X3
ULT NRsf New Rating NR(EXP)sf
XAM
LT NRsf New Rating NR(EXP)sf
XAM
ULT NRsf New Rating NR(EXP)sf
A-1
LT AAAsf New RatingAAA (EXP)sf
A-1
ULT AAAsf New RatingAAA (EXP)sf
A-2
LT AAAsf New RatingAAA (EXP)sf
A-2
ULT AAAsf New RatingAAA (EXP)sf
A-M
LT NRsf New Rating NR(EXP)sf
A-M
ULT NRsf New Rating NR(EXP)sf
X-1
LT AAAsf New RatingAAA (EXP)sf
X-1
ULT AAAsf New RatingAAA (EXP)sf
X-3
LT NRsf New Rating NR(EXP)sf
X-3
ULT NRsf New Rating NR(EXP)sf
XAM
LT NRsf New Rating NR(EXP)sf
XAM
ULT NRsf New Rating NR(EXP)sf
VIEW ADDITIONAL RATING DETAILS
FREMF 2021-K132 Multifamily Mortgage Pass-Through Certificates (FREMF 2021-K132):
In addition, Fitch has issued Unenhanced Ratings, which reflect the underlying creditworthiness absent of the
Freddie Mac Structured Pass-Through Certificates, Series K-132 (
Fitch has also issued Unenhanced Ratings, which reflect the underlying creditworthiness absent of the
(a) Notional amount and interest only (IO).
(b) Guaranteed by
The FREMF 2021-K132 trust consists of both guaranteed and unguaranteed certificates. The underlying guaranteed certificates consist of the classes A-1, A-2, A-M, X1, XAM and X3. These certificates will be purchased by
Fitch does not rate the following classes of FREMF 2021-K132:
Transaction Summary
The certificates represent the beneficial ownership interest in the trust. The trust's primary assets are 53 loans secured by 53 properties with an aggregate principal balance of approximately
Fitch reviewed a comprehensive sample of the transaction's collateral, including cash flow analysis of 73.5% of the pool and asset summary reviews of 100% of the pool.
KEY RATING DRIVERS
Fitch Leverage Slightly Lower Compared to Recent Transactions: The pool's Fitch debt service coverage ratio (DSCR) and loan to value (LTV) are 1.11x and 130.6%, respectively. The pool's DSCR is above the average for YTD 2021 and 2020 Fitch-rated, 10-year,
Below-Average Pool Amortization: The pool is scheduled to amortize by 4.2% of the initial pool balance prior to maturity, which is below the Fitch-rated average for YTD 2021 and 2020
Traditional Multifamily Exposure: The pool is 95.7% secured by traditional multifamily properties, 2.6% secured by manufactured housing communities (MHCs) and there is one loan accounting for 1.7% of the pool that is secured by a health care property. The pool's traditional multifamily concentration is higher than the YTD 2021 and 2020 Fitch-rated, 10-year
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
Declining cash flow decreases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF:
Original Rating: 'AAAsf';
10% NCF decline: 'AA+sf';
20% NCF decline: 'A+sf';
30% NCF decline: 'BBB+sf'.
Factors that could, individually or collectively, lead to positive rating action/upgrade:
Fitch did not consider the implementation of positive stresses for this transaction as the rated classes are at the highest rating level and cannot be upgraded further. The presale report includes a detailed explanation of additional stresses and sensitivities on page 10.
Best/Worst Case Rating Scenario
International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING
The principal sources of information used in the analysis are described in the Applicable Criteria.
REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS
A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'.
ESG Considerations
Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg
Additional information is available on www.fitchratings.com
PARTICIPATION STATUS
The rated entity (and/or its agents) or, in the case of structured finance, one or more of the transaction parties participated in the rating process except that the following issuer(s), if any, did not participate in the rating process, or provide additional information, beyond the issuer's available public disclosure.
APPLICABLE CRITERIA
Criteria for Rating North American Commercial Mortgage Servicers (pub.
Criteria for Rating Loan Servicers (pub.
Single- and Multi-Name Credit-Linked Notes Rating Criteria (pub.
Global Structured Finance Rating Criteria (pub.
Exposure Draft: Structured Finance and Covered Bonds Counterparty Rating Criteria (pub.
APPLICABLE MODELS
Numbers in parentheses accompanying applicable model(s) contain hyperlinks to criteria providing description of model(s).
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