NEW YORK–() – Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to nine classes of certificates issued under the CoreVest American Finance 2020-4 (CAF 2020-4) securitization. This will be the fourteenth such transaction issued by CoreVest American Finance.

CAF 2020-4 is a multi-borrower securitization of $ 274.7 million guaranteed by 94 traditional single-family (SFR) and multi-family rental loans. The loans are secured by mortgages on 3,328 rental units in 2,348 single-family, 2-4-family and multi-family properties. The pool in question comprises 32 multi-family properties (597 units), which represent 19.0% of the total pool balance. Overall, properties are located in 28 states, with the top three exposures being Florida (19.6%), Pennsylvania (10.4%), and New Jersey (8.6%). The loans have principal balances ranging from $ 0.2 million (0.1%) to $ 17.5 million (6.4%) for the largest loan in the group. The top five loans represent 26.9% of the initial pool balance, while the top 10 loans represent 40.5% of the pool.

In order to facilitate analysis, KBRA has divided the underlying properties into two distinct subgroups by property type. Subgroup 1 (1 to 4 units) is mainly composed of single-family rental homes and properties of 2 to 4 units (2,316 properties, 81.0%). Subgroup 2 (multifamily) includes properties composed of five or more units (32 properties, 19.0%), which also includes three multifamily properties (13.7%) that are similar to the multifamily assets found in CMBS securitizations traditional. KBRA used its Single-family rental securitization methodology in the United States to assess subgroup 1, while subgroup 2 was analyzed in a manner generally consistent with the KBRA approach discussed in our Methodology for evaluating the properties of CMBS in the United States and US CMBS multi-borrower rating methodology. The results of these analyzes were then combined, and the pool-level concentration and qualitative adjustments were then applied to determine the KBRA credit enhancement levels for the pool in question. The results of this analysis were then compared to the capital structure proposed by the issuer for assigning ratings.

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Disclosures

Further information on key credit considerations, sensitivity analyzes that examine the factors that may affect these credit ratings and how they might lead to an upgrade or downgrade, and ESG factors (when they are a key factor in changing the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially significant sources that were used to prepare the credit rating and information about the method (s) (including significant models and sensitivity analyzes of relevant key rating assumptions, if any) used to determine the credit rating is available in the United States Information Disclosure Form located here.

Information on the meaning of each rating category can be located here.

Further information relating to this rating measure is available in the US Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures can be found at www.kbra.com.

About KBRA

KBRA is a full-service credit rating agency registered as an NRSRO with the United States Securities and Exchange Commission. In addition, KBRA is appointed as the designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or a shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider and is a credit rating agency (ARC) certified with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe is registered with ESMA as a credit rating agency.



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