Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to six
classes of certificates issued in the CoreVest American Finance 2018-1
(CAF 2018-1) securitization. This transaction will be the ninth
multi-borrower, single-family rental (SFR) securitization issued in the
US to date and the sixth issued by CoreVest American Finance (formerly
Colony American Finance).
CAF 2018-1 is a $236.8 million multi-borrower SFR securitization that
will be collateralized by 117 fixed-rate loans secured by first priority
mortgages on 3,068 rental units in 2,517 income-producing single-family,
2-4 family, and multifamily properties. The properties are located in 29
states, with the largest five exposures comprised of New Jersey (16.8%),
Florida (8.8%), Texas (7.5%), Illinois (6.3%), and California (5.7%).
The loans have principal balances ranging from $0.5 million to $12.0
million for the largest loan in the pool. The five largest loans
represent 18.7% of the initial pool balance, while the ten largest loans
KBRA used its Single-Family
Rental Securitization Methodology to evaluate the transaction. The
methodology leverages elements of KBRA’s commercial mortgage-backed
securities and residential mortgage-backed securities criteria due to
the fact that the collateral underlying an SFR transaction has both
commercial and residential characteristics. As the properties generate a
cash flow stream from tenant rental payments, CMBS methodologies were
used to determine the loan’s probability of default. To determine loss
given default, KBRA assumed the underlying collateral properties would
be liquidated in the residential property market.
For further details on KBRA’s analysis, please see our pre-sale report,
American Finance 2018-1, which was published today at www.kbra.com.
The preliminary ratings are based on information known to KBRA at the
time of this publication. Information received subsequent to this
release could result in the assignment of final ratings that differ from
the preliminary ratings.
Representations & Warranties Disclosure
All Nationally Recognized Statistical Rating Organizations are required,
pursuant to SEC Rule 17g-7, to provide a description of a transaction’s
representations, warranties and enforcement mechanisms that are
available to investors when issuing credit ratings. KBRA’s disclosure
for this transaction can be found in the report available here.
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KBRA is a full service credit rating agency registered with the U.S.
Securities and Exchange Commission as an NRSRO. In addition, KBRA is
recognized by the National Association of Insurance Commissioners as a
Credit Rating Provider and 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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