KBRA assigns preliminary ratings to nine classes of certificates issued in the CoreVest American Finance 2022-1 (CAF 2022-1) securitization. This is the eighteenth such transaction issued by CoreVest American Finance.

CAF 2022-1 is a $313.4 million multi-borrower securitization collateralized by 82 single-family rental (SFR) and traditional multifamily loans. The loans are secured by mortgages on 2,958 rental units in 1,794 single-family, 2-4 family, and multifamily properties. The subject pool includes 171 multifamily properties (1,003 units), which represent 33.7% of the total pool balance.

Overall, the underlying properties are located in or near 66 Core Based Statistical Areas (CBSAs) across 24 states. The top-three CBSA exposures account for 36.4% of the pool balance and consist of New York-Newark-Jersey City, NY-NJ-PA (18.3%), Tampa-St. Petersburg-Clearwater, FL (9.6%), and Corpus Christi, TX (8.6%). The loans have principal balances ranging from $0.4 million (0.1%) to $30.6 million (9.7%) for the largest loan in the pool. The five largest loans represent 27.3% of the initial pool balance, while the 10 largest loans account for 44.7% 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 (1,623 properties, 66.3%). Sub-pool 2 (multifamily) is comprised of properties that consist of five or more units (171 properties, 33.7%). 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.

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Related Publications

• 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

Disclosures

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 Information Disclosure Form(s) 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 Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. 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.

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