NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 12 classes of FirstKey Homes 2020-SFR2 Trust (FKH 2020-SFR2) single-family rental pass-through certificates.
FKH 2020-SFR2 is a single-borrower, single-family rental (SFR) securitization that will be collateralized by a $2.5 billion loan secured by first priority mortgages on 14,288 income-producing single-family homes. The fixed-rate loan will require interest-only payments and have a five-year term. FKH 2020-SFR2 will be the second securitization issued by FirstKey Homes and the largest securitization issued in the SFR sector to date.
The underlying single-family rental properties are located in or near 41 core-based statistical areas (CBSAs) across 15 states. The top three CBSAs represent 36.1% of the portfolio and include Miami (14.7%), Atlanta (11.5%), and Indianapolis (9.8%). The aggregate BPO value of the underlying homes is $2.8 billion yielding an LTV of 90.0%. KBRA adjusted BPO value is at $2.6 billion. This represents a 7.3% haircut to the nominal BPO value. The resulting LTV based on KBRA’s adjusted BPO value is 97.0%.
KBRA utilized 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.
- SFR KBRA Comparative Analytic Tool (SFR KCAT)
- U.S. Single-Family Rental Securitization Methodology
- FirstKey Homes 2020-SFR2 Representations & Warranties Disclosure
- Global Structured Finance Counterparty Methodology
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 U.S. Information Disclosure Form 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 U.S. Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.
KBRA is a full-service credit rating agency registered as an NRSRO with the U.S. Securities and Exchange Commission. 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) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe is registered with ESMA as a CRA.
John Ahern, Analyst (Lead Analyst)
+1 (646) 731-3313
Anshul Manglani, Associate
+1 (646) 731-2366
Akshay Maheshwari, Director
+1 (646) 731-2394
Daniel Tegen, Senior Director
+1 (646) 731-2429
Nitin Bhasin, Senior Managing Director (Rating Committee Chair)
+1 (646) 731-2334
Business Development Contact
Michele Patterson, Managing Director
+1 (646) 731-2397