NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to seven classes of AMSR 2016-SFR1 single-family rental pass-through certificates.
AMSR 2016-SFR1 is a single-borrower, single-family rental (SFR) securitization that will be collateralized by a $489.3 million loan secured by first priority mortgages on 4,262 income-producing single-family properties. The floating-rate loan will require interest-only payments and have a two-year term (25 months) with three 12-month extension options. The mortgage loan was originated by affiliates of Amherst Holdings, LLC (Amherst), the securitization sponsor, as seller financing in connection with the acquisition of the underlying properties by an indirect wholly owned subsidiary of Altisource Residential Corporation (the borrower’s ultimate parent). AMSR 2016-SFR1 will be the first single-family rental securitization sponsored by Amherst.
The underlying properties are single-family homes located in 14 states, with the three largest state exposures representing 67.3% of the aggregate broker price opinion (BPO) value of the portfolio: Texas (32.1%), Tennessee (22.1%), and Georgia (13.1%). The aggregate BPO value of the underlying homes was $614.6 million, yielding an LTV of 79.6%. KBRA adjusted the BPOs, which yielded an aggregate value of $550.2 million. This represents a 10.5% haircut to the nominal BPO value. The resulting LTV based on KBRA’s adjusted BPO value was 88.9%.
KBRA utilized its Single-Family Rental Securitization Methodology to evaluate the transaction. The methodology leverages elements of KBRA’s commercial mortgage-backed securities (CMBS) and residential mortgage-backed securities (RMBS) 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 (PD). To determine loss given default (LGD), KBRA assumed the underlying collateral properties would be liquidated in the residential property market.
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 ratings that differ from the preliminary ratings.
1 Notional class
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 set forth in the offering documents that are available to investors when issuing credit ratings. KBRA’s disclosure for this transaction can be found here.
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About Kroll Bond Rating Agency
KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).