A pool of more than 1,000 single-family rental properties across 14 states will provide collateral for the AMSR 2023-SFR1 Trust, which is expected to close on $412.1 million in residential mortgage-backed securities this week.
All of those homes are actually financed by one mortgage, which Amherst Single Family Residential Partners VI, sponsored and extended to BAF Assets 6. Amherst indirectly owns the majority of and controls the limited liability company interests of the equity owner, according to a pre-sale report from Moody's Investors Service.
Deutsche Bank Securities is among a group of managers in the deal, which includes Goldman Sachs, KeyBanc Capital Markets, Morgan Stanley and Nomura Securities International, according to the Asset Securitization Report deal database.
ASMR 2023-SFR1's notes are benchmarked to the interpolated yield curve, according to the database.
The notes will be issued from a multi-tier debt service coverage ratio (DSCR) and a payment-in-kind (PIK) feature for class E-1, class E-2 and class F. Those PIK certificates can receive partial interest payment before the onset of the multi-tier DSCR test. Moody's did note that the multi-tier DSCR test, with the PIK feature is a potential credit negative.
"This structure is slightly credit negative because in several scenarios, available funds in the cash collateral can be lower," according to Moody's. "In an event of default, funds in this account can act as additional credit enhancement to the certificates."
The deal's multiple-property loan is a potential credit strength, because those types of loans benefit from cash flow volatility because excess cash flow from one property can augment the cash flow of another to meet the deal's debt service requirements, according to Moody's. Another credit-positive aspect is an equity pledge. In that arrangement, the borrower's direct parent has pledged 100% of its direct ownership interests in the borrower as additional security for the loan. This is in addition to the borrower's first-mortgage lien on the properties, the rating agency said.
Moody's intends to assign ratings of 'Aaa' to the class A notes; 'Aa3' to the B notes; 'A3' to the C notes and 'Baa3' to the D notes, according to Moody's.
Morningstar | DBRS also assigns ratings to the notes: 'AAA' on the class A notes; 'AA' on notes from classes B and C; 'A' on class D notes; 'BBB' on classes E-1 and E-2; and 'BB' on the class F notes.
