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KBRA Assigns Preliminary Ratings to Silver Hill Trust 2019-SBC1

November 19, 2019 GMT

NEW YORK--(BUSINESS WIRE)--Nov 19, 2019--

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

Class

Initial Class Balance 1

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.

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. 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.

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CONTACT: Analytical Contacts:

Daniel Tegen, Senior Director

(646) 731-2429

dtegen@kbra.com

Andrew Kjorlien, Analyst

(646) 731-3362

akjorlien@kbra.com

Fei Han, Analyst

(646) 731-2342

fhan@kbra.com

Jack Kahan, Senior Managing Director

(646) 731-2486

jkahan@kbra.com

Business Development Contact:

Michele Patterson, Managing Director

(646) 731-2397

mpatterson@kbra.com

KEYWORD: NEW YORK UNITED STATES NORTH AMERICA

INDUSTRY KEYWORD: BANKING PROFESSIONAL SERVICES FINANCE

SOURCE: Kroll Bond Rating Agency

Copyright Business Wire 2019.

PUB: 11/19/2019 10:04 AM/DISC: 11/19/2019 10:04 AM

http://www.businesswire.com/news/home/20191119005714/en