Fitch Ratings has issued a presale report on FREMF 2021-K129 Multifamily Mortgage Pass-Through Certificates and Freddie Mac Structured Pass-Through Certificates, Series K-129.
RATING ACTIONSENTITY/DEBT RATING
A-1
LTAAA (EXP)sf Expected Rating
A-1
ULTAAA (EXP)sf Expected Rating
A-2
LTAAA (EXP)sf Expected Rating
A-2
ULTAAA (EXP)sf Expected Rating
A-M
LT NR(EXP)sf Expected Rating
A-M
ULT NR(EXP)sf Expected Rating
X1
LTAAA (EXP)sf Expected Rating
X1
ULTAAA (EXP)sf Expected Rating
X3
LT NR(EXP)sf Expected Rating
X3
ULT NR(EXP)sf Expected Rating
XAM
LT NR(EXP)sf Expected Rating
XAM
ULT NR(EXP)sf Expected Rating
FREMF 2021-K129
A-1
LTAAA (EXP)sf Expected Rating
A-1
ULTAAA (EXP)sf Expected Rating
A-2
LTAAA (EXP)sf Expected Rating
A-2
ULTAAA (EXP)sf Expected Rating
A-M
LT NR(EXP)sf Expected Rating
A-M
ULT NR(EXP)sf Expected Rating
D
LT NR(EXP)sf Expected Rating
X1
LTAAA (EXP)sf Expected Rating
X1
ULTAAA (EXP)sf Expected Rating
X2-A
LTAAA (EXP)sf Expected Rating
X2-B
LT NR(EXP)sf Expected Rating
X3
LT NR(EXP)sf Expected Rating
X3
ULT NR(EXP)sf Expected Rating
XAM
LT NR(EXP)sf Expected Rating
XAM
ULT NR(EXP)sf Expected Rating
VIEW ADDITIONAL RATING DETAILS
FREMF 2021-K129 Multifamily Mortgage Pass-Through Certificates (FREMF 2021-K129):
In addition, Fitch has issued expected Unenhanced Ratings, which reflect the underlying creditworthiness absent of the
Fitch has also issued Unenhanced Ratings, which reflect the underlying creditworthiness absent of the
(a) Notional amount and interest only (IO).
(b) Guaranteed byFreddie Mac .
The FREMF 2021-K129 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 expect to rate the following classes of FREMF 2021-K129:
Additionally, Fitch does not expect to rate the following classes of
TRANSACTION SUMMARY
The certificates represent the beneficial ownership interest in the trust. The trust's primary assets are 59 loans secured by 59 properties with an aggregate principal balance of approximately
Fitch reviewed a comprehensive sample of the transaction's collateral, including cash flow analysis of 67.3% of the pool and asset summary reviews of 100% of the pool.
Coronavirus: The ongoing containment effort related to the coronavirus pandemic may have an adverse impact on near-term revenues (i.e. bad debt exposure) and operating expenses (sanitation costs) for some properties in the pool. Delinquencies may occur in the coming months as forbearance programs are put in place, although the ultimate impact on credit losses will depend heavily on the severity and duration of the negative economic impact of the coronavirus pandemic and to what degree fiscal interventions by the
As of
KEY RATING DRIVERS
Fitch Leverage Slightly Lower Compared to Recent Transactions: The pool's Fitch debt service coverage ration (DSCR) and loan to value (LTV) ratio are 1.04x and 131.6%, respectively. The pool's DSCR is slightly above the average for YTD 2021 and 2020 Fitch rated 10-year
Property Type Concentration: The pool is secured by 92.4% traditional multifamily properties, 4.1% manufactured housing communities (MHCs) and 3.5% health care properties. One loan (3.5% of pool balance) is secured by an independent-living facility. Health care properties have a higher probability of default in Fitch's multiborrower model. There are no student housing properties in the pool. The pool exhibits consistent property concentration as the averages for Fitch-rated YTD 2021, 10-year,
Below-Average Pool Amortization: The pool is scheduled to amortize by 6.6% of the initial pool balance prior to maturity, which is below the Fitch-rated average for YTD 2021 and 2020
RATING SENSITIVITIES
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.
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 net cash flow (NCF):
Original Rating: 'AAAsf';
10% NCF decline: 'AAsf';
20% NCF decline: 'Asf';
30% NCF decline: 'BBBsf'.
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
DATA ADEQUACY
Fitch received information in accordance with its published criteria, available at www.fitchratings.com. Sufficient data, including asset summaries, three years of property financials, when available, and third-party reports on the properties were received from the issuer. Ongoing performance monitoring, including the data provided, is described in the Surveillance section of the presale report.
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
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