NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to two classes of Silver Hill Trust 2019-SBC1 (SHF 2019-SBC1) mortgage-backed securities.
SHF 2019-SBC1 is a $451.4 million small balance commercial securitization, which is collateralized by 1,003 first mortgage loans secured by commercial real estate (CRE) or residential rental properties. The pool is comprised of 798 hybrid adjustable rate mortgages (82.0% of the total pool balance) and 205 fixed rate mortgages (18.0%). The loans have an average outstanding principal balance of $450,008 which range from $98,543 (0.02%) to $2.5 million (0.6%). The weighted average adjusted appraisal loan-to-value ratio (LTV) and FICO score for the pool are 67.6% and 729, respectively.
The underlying properties are located in or near 128 Core Based Statistical Areas (CBSAs) across 35 states and the District of Columbia. The top-three CBSAs represent 20.1% of the pool and include New York-Newark-Jersey City, NY-NJ (7.2%), Miami-Fort Lauderdale-West Palm Beach, FL (6.8%), and Los Angeles-Long Beach-Anaheim, CA (6.1%). The three largest state exposures represent 36.5% of the portfolio and consist of Florida (16.4%), California (12.3%), and New York (7.8%).
Owing to the nature of the underlying loan collateral, for the purposes of its analysis and presentation, KBRA divided the pool into two distinct loan groupings. Sub-pool 1 (CRE, 878 loans, 93.5%) is comprised of loans collateralized by commercial real estate properties, and multifamily properties with five or more units. CMBS methodologies were used to analyze these assets. Sub-pool 2 (residential / investor 1-4, 125 loans, 6.5%) is comprised of residential rental properties with four or less units, as well as loans secured by bulk residential contiguous or non-contiguous rental properties. RMBS methodologies were relied upon to analyze this sub-pool.
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 commercial (sub-pool 1: 878 loans, 93.5%) and residential (sub-pool 2: 125 loans, 6.5% of the total pool balance) analyses. KBRA determined losses at each rating category for each of the sub-pools which were combined to reflect the quality of the collateral, diligence, and information quality relative to typical RMBS and CMBS transactions.
For complete details on the analysis, please see our pre-sale report, Silver Hill Trust 2019-SBC1 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: Silver Hill Trust 2019-SBC1 |
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Class |
Initial Class Balance1 |
Expected KBRA Rating |
A |
$287,740,000 |
AAA (sf) |
A1-IO |
$287,740,000 |
AAA (sf) |
A2 |
$15,121,000 |
NR |
A2-IO |
$15,121,000 |
NR |
M1 |
$10,833,000 |
NR |
M1-IO |
$10,833,000 |
NR |
M2 |
$13,089,000 |
NR |
M2-IO |
$13,089,000 |
NR |
M3 |
$22,117,000 |
NR |
M3-IO |
$22,117,000 |
NR |
B1 |
$52,357,000 |
NR |
B1-IO |
$52,357,000 |
NR |
B2 |
$9,479,000 |
NR |
B2-IO |
$9,479,000 |
NR |
B3 |
$18,054,000 |
NR |
B4 |
$22,568,379 |
NR |
1 Principal or notional amount, as applicable. |
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To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- Silver Hill 2019-SBC1 Pre-Sale Report
- U.S. RMBS Rating Methodology
- Residential Mortgage Default and Loss Model
- U.S. CMBS Property Evaluation Methodology
- U.S. CMBS Multi-Borrower Rating Methodology
- Methodology for Rating Interest-Only Certificates in CMBS Transactions
- Global Structured Finance Counterparty Methodology
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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. KBRA is also 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.
