KBRA Assigns Preliminary Ratings to CoreVest American Finance 2019-2

NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to nine classes of certificates issued in the CoreVest American Finance 2019-2 (CAF 2019-2) securitization. This transaction will be the thirteenth multi-borrower, single-family rental (SFR) securitization issued in the U.S. to date and the ninth issued by CoreVest American Finance (formerly Colony American Finance).

CAF 2019-2 is a $242.4 million multi-borrower SFR securitization that will be collateralized by 83 fixed-rate loans secured by first priority mortgages on 2,873 rental units in 2,286 income-producing single-family, 2-4 family, and multifamily properties. The properties are located in 24 states, with the largest five exposures comprised of New Jersey (18.3%), California (15.8%), Texas (13.5%), Ohio (11.3%), and Arizona (5.5%). The loans have principal balances ranging from $0.4 million to $37.0 million for the largest loan in the pool. The five largest loans represent 30.9% of the initial pool balance, while the ten largest loans represent 44.7%.

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 2019-2 Pre-Sale Report, which is published at www.kbra.com.

Class

Rating

Balance (USD)

Rating Action

A

AAA (sf)

$156,036,000

Preliminary

X-A

AAA (sf)

$156,036,0001

Preliminary

X-B

AAA (sf)

$58,173,0001

Preliminary

B

AA- (sf)

$26,360,000

Preliminary

C

A- (sf)

$17,573,000

Preliminary

D

BBB (sf)

$14,240,000

Preliminary

E

BB+ (sf)

$6,969,000

Preliminary

F2

BB- (sf)

$6,362,000

Preliminary

G2

B- (sf)

$4,242,000

Preliminary

H2

NR

$10,604,438

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)

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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. KBRA is also 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.

Contacts

Analytical:
Kenneth Kor, Associate Director
(646) 731-2339
kkor@kbra.com
Daniel Tegen, Senior Director
(646) 731-2429
dtegen@kbra.com
Akshay Maheshwari, Associate Director
(646) 731-2394
amaheshwari@kbra.com
Nitin Bhasin, CFA, Senior Managing Director
(646) 731-2334
nbhasin@kbra.com

Contacts

Analytical:
Kenneth Kor, Associate Director
(646) 731-2339
kkor@kbra.com
Daniel Tegen, Senior Director
(646) 731-2429
dtegen@kbra.com
Akshay Maheshwari, Associate Director
(646) 731-2394
amaheshwari@kbra.com
Nitin Bhasin, CFA, Senior Managing Director
(646) 731-2334
nbhasin@kbra.com