NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to six classes of certificates issued in the CoreVest American Finance 2018-2 (CAF 2018-2) securitization. This transaction will be the tenth multi-borrower, single-family rental (SFR) securitization issued in the U.S. to date and the seventh issued by CoreVest American Finance (formerly Colony American Finance).
CAF 2018-2 will initially be collateralized by 104 mortgage loans with an aggregate principal balance of $190.9 million and $35.2 million of cash collateral can be used to acquire 17 additional pre-identified post-closing mortgage loans within 90 days following the closing date of the securitization. Including the acquisition of the 17 post-closing mortgage loans, the transaction is expected to be collateralized by 121 mortgage loans with an aggregate balance of $226.1 million.
The underlying properties are located in 32 states, with the largest five exposures comprised of New Jersey (12.9%), Florida (12.8%), Pennsylvania (7.5%), Missouri (5.7%), and Indiana (5.6%). The loans have principal balances ranging from $0.4 million to $10.4 million for the largest loan in the pool. The five largest loans represent 18.2% of the initial pool balance, while the ten largest loans represent 30.5%.
KBRA used its U.S. 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.
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.
For further details on KBRA’s analysis, please see our pre-sale report, entitled CoreVest American Finance 2018-2 Pre-Sale Report, which is published at www.kbra.com.
| Class | Rating | Balance (USD) | Rating Action | |||||||||
| A | AAA (sf) | $148,691,000 | Preliminary | |||||||||
| X-A | AAA (sf) | $148,691,0001 | Preliminary | |||||||||
| X-B | AAA (sf) | $55,688,0001 | Preliminary | |||||||||
| B | AA- (sf) | $22,332,000 | Preliminary | |||||||||
| C | A- (sf) | $16,113,000 | Preliminary | |||||||||
| D | BBB- (sf) | $17,243,000 | Preliminary | |||||||||
| E | NR | $3,280,000 | N/A | |||||||||
| F2 | NR | $8,876,000 | N/A | |||||||||
| G2 | NR | $3,109,000 | N/A | |||||||||
| H2 | NR | $6,502,000 | N/A |
| 1 Notional balance. |
| 2 To satisfy the US risk retention requirements, the transaction sponsor will retain an “eligible horizontal residual interest” consisting of the Class F, Class G, and Class H certificates, representing at least 5.0% of the fair value of all non-residual interests issued on the closing date. |
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- CoreVest American Finance 2018-2 Pre-Sale Report
- Representations and Warranties Disclosure
- U.S. Single-Family Rental Securitization Methodology
- Methodology for Rating Interest-Only Certificates in CMBS Transactions
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About KBRA and KBRA Europe
KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. 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, is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is 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.
