NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to nine classes of certificates issued in the CoreVest American Finance 2020-4 (CAF 2020-4) securitization. This will be the fourteenth such transaction issued by CoreVest American Finance.
CAF 2020-4 is a $274.7 million multi-borrower securitization collateralized by 94 single-family rental (SFR) and traditional multifamily loans. The loans are secured by mortgages on 3,328 rental units in 2,348 single-family, 2-4 family, and multifamily properties. The subject pool includes 32 multifamily properties (597 units), which represent 19.0% of the total pool balance. Overall, the properties are located in 28 states, with the largest three exposures comprised of Florida (19.6%), Pennsylvania (10.4%), and New Jersey (8.6%). The loans have principal balances ranging from $0.2 million (0.1%) to $17.5 million (6.4%) for the largest loan in the pool. The five largest loans represent 26.9% of the initial pool balance, while the 10 largest loans represent 40.5% of the pool.
For the purposes of facilitating the analysis, KBRA divided the underlying properties into two distinct sub-pools by property type. Sub-pool 1 (1-4 units) is primarily comprised of single-family rental homes and 2-4 unit properties (2,316 properties, 81.0%). Sub-pool 2 (multifamily) is comprised of properties that consist of five or more units (32 properties, 19.0%), which also includes three multifamily properties (13.7%) that are similar to multifamily assets found in traditional CMBS securitizations. KBRA used its U.S. Single-Family Rental Securitization Methodology to evaluate sub-pool 1, whereas sub-pool 2 was analyzed in a manner that is generally consistent with KBRA’s approach discussed in our U.S. CMBS Property Evaluation Methodology and U.S. CMBS Multi-Borrower Rating Methodology. The results of these analyses were then blended, and pool level concentration and qualitative adjustments were then applied to determine KBRA’s credit enhancement levels for the subject pool. The results of this analysis were then compared to the issuer’s proposed capital structure to assign ratings.
- CoreVest American Finance 2020-4 Representations and Warranties Disclosure
- U.S. Single-Family Rental Securitization Methodology
- 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
Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.
A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the U.S. Information Disclosure Form located here.
Information on the meaning of each rating category can be located here.
Further disclosures relating to this rating action are available in the U.S. Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.
KBRA is a full-service credit rating agency registered as an NRSRO with the U.S. Securities and Exchange Commission. 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) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe is registered with ESMA as a CRA.
James Choi, Analyst (Lead Analyst)
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Akshay Maheshwari, Director
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Dayna Carley, Senior Director
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Nitin Bhasin, CFA, Senior Managing Director (Rating Committee Chair)
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