KBRA Affirms All Ratings for FRR 2018-C1
23 Aug 2024 | New York
KBRA affirms all of its outstanding ratings for FRR 2018-C1, currently a re-securitization of one principal-only and two interest-only certificates (the collateral) from one securitization issued in conjunction with the Federal Home Loan Mortgage Corporation’s (Freddie Mac) K-Deal program. At re-securitization, the deal consisted of four underlying trusts: FREMF 2013-K32, FREMF 2015-K720, FREMF 2015-K43 and FREMF 2017-K725. FREMF 2013-K32 and FREMF 2015-K720 were repaid in full, and the corresponding classes related to FREMF 2015-K725 were repaid in full, leaving FREMF 2015-K43 as the underlying trust for FRR 2018-C1. The affirmations follow a surveillance review of the underlying trust, which has exhibited stable pool performance since KBRA's last review. The review was conducted using data from the July 2024 remittance report for the underlying trust, borrower financial statements, rent rolls, and market information provided from REIS.
In the FREMF 2015-K43 underlying trust, as of the July 2024 remittance period, none of the loans are specially serviced or delinquent. However, six loans (7.9%) were identified as K-LOCs. In addition, 40 loans (49.6% of the K43 pool balance) are fully defeased and all remaining loans are scheduled to pay off within five months. The WA KLTV is 90.1%, compared to 93.3% at KBRA's last review and 115.4% at re-securitization. The KDSC is 2.07x, compared to 1.83x at KBRA's last review and 1.54x at re-securitization. For information on the FREMF 2015-K43 underlying trust, which is KBRA-rated, please refer to the FREMF 2015-K43 August 2024 Surveillance Report.
Rating Sensitivities
Future ratings actions will be dependent upon the ability of the remaining loans to pay off as the loans in the transaction are approaching their maturity in the near term. However, rating changes can occur for a variety of reasons that are not dependent upon maturity defaults and subsequent losses. For example, unforeseen trust expenses that cause recurring interest shortfalls to the securities could prompt negative rating changes.
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