The Freddie Mac Structured Pass-Through Certificates, Series K-132, or FREMF 2021-K132, is preparing to issue $1.2 billion to the debt markets, in the form of beneficial ownership of 53 loans secured by 53 commercial properties.
Citibank N.A., is slated to act as trustee and certificate administrator on the deal. Multifamily properties and manufactured housing secure the underlying loans, accounting for 95.7% and 2.6% of the pool, respectively. Also, healthcare properties account for 1.7% of the underlying loans, according to Fitch Ratings.
The deal has a couple of credit positive attributes. FREMF 2021-K132 has a below-average weighted average (WA) volatility score of 2.82. On a year-to-date basis for 2021 and 2020, 10-year Freddie Mac deals had WA volatility scores of 3.17. Also, the transaction has no exposure to Libor, as the loans are all fixed-rate, Fitch said.
About 72.5% of the pool had a volatility score of ‘3’; 21.6% had a volatility score of ‘2’; and 5.9% of the pool had a score of 4, according to Fitch observations.
Yet the trust has concentration issues. The top 10 loans in the deal account for 45.9% of the pool balance. The average loan size in the deal is $22.8 million, with a WA mortgage rate of 3.13%.
J.P. Morgan Chase Commercial Mortgage Securities is the depositor.
Fitch notes that in determining the quality of the pool, it was able to inspect one property, due to COVID-related social distancing requirements. That property was a top 10 loan, and represented 8.3% of the pool. It received a ‘B’ quality grade.
Fitch expects to assign ‘AAA’ ratings to the $83 million class A-1 notes and the $896 million A-2 notes, as well as other notes throughout the deal. The notes are expected to mature in August 2054.
