NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following rating to VFC 2013-1 LLC notes:
--$185,500,000 notes 'BBB-sf'; Outlook Stable.
The certificates represent the beneficial ownership in the trust, primary assets of which are 1,323 performing and nonperforming loans. The collateral also includes ownership interests in the special-purpose vehicles holding the REO properties, the grantor trust certificate, rights under the mortgage documents, all accounts, and any and all proceeds and the rights to receive payments thereunder.
Fitch sampled 56.1% of the transaction collateral, including site inspections on 44.4% of the pool.
KEY RATING DRIVERS
Nature/Performance Characteristics of the Collateral: The collateral consists of primarily nonperforming loans (NPLs), performing loans and REO assets that were acquired by the sponsor at a significant discount to the unpaid principal balance. The underlying properties consist of commercial and multifamily properties, residential and commercial land and single-family residences; non-real estate secured and unsecured loans represent 4% of the assets.
Liquidating Vehicle Structure: Unlike traditional CMBS transactions, all collections are aggregated and applied to a single waterfall, and no proceeds will be distributed to the equity until the notes are paid in full. Additionally, there are no principal and interest advancing requirements.
Limited Data versus Typical CMBS Transactions: Fitch was provided with a full-level loan tape, business plans for the sampled assets and third-party reports for most assets. For many assets, detailed historical performance, operating statements and rent rolls were not available; thus, Fitch relied heavily on third-party data in its recovery estimates and inspected a significant portion of the assets.
Fitch's stressed recovery estimates are sufficient to repay the notes of $185,500,000 in full, based on stressed modeling assumptions, in a 'BBB-sf' stress. The notes represent an advance rate of 58% to the issuers' basis, 41% of the issuers' expected recovery amount, and 52% of Fitch's base case recovery estimates.
For 'BBB-sf' ratings, MVDs of generally 52.5% were applied to base case values. If actual recoveries reflect value declines greater than the assumed stressed MVDs, the notes may not be repaid in full. For this transaction, performance-related downgrades would most likely be predicated on deterioration in the OC due to lower or slower than expected collections.
The presale report is available at 'www.fitchratings.com'.
Additional information is available at 'www.fitchratings.com'.