DBRS Morningstar Finalizes Provisional Ratings on FirstKey Homes 2021-SFR1 Trust

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the Single-Family Rental Pass-Through Certificates (the Certificates) issued by FirstKey Homes 2021-SFR1 Trust:

-- $867.9 million Class A at AAA (sf)
-- $183.9 million Class B at AA (sf)
-- $143.7 million Class C at A (sf)
-- $166.7 million Class D at BBB (high) (sf)
-- $126.4 million Class E1 at BBB (sf)
-- $97.7 million Class E2 at BBB (low) (sf)
-- $103.5 million Class F1 at BB (sf)
-- $57.5 million Class F2 at BB (sf)
-- $46.0 million Class F3 at BB (low) (sf)
-- $46.0 million Class G at B (high) (sf)
-- $224.1 million Class E at BBB (low) (sf)
-- $206.9 million Class F at BB (low) (sf)

The AAA (sf) rating on the Class A Certificates reflects 58.1% of credit enhancement provided by subordinated notes in the pool. The AA (sf), A (sf), BBB (high) (sf), BBB (sf), BBB (low) (sf), BB (sf), BB (low) (sf), and B (high) (sf) ratings reflect 49.2%, 42.2%, 34.2%, 28.1%, 23.3%, 15.6%, 13.3%, and 11.1% of credit enhancement, respectively.

Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction.

The Certificates are supported by the income streams and values from 9,238 rental properties. The properties are distributed across 16 states and 42 metropolitan statistical areas (MSAs) in the U.S. DBRS Morningstar maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by broker price opinion value, 56.5% of the portfolio is concentrated in three states: Florida (29.0%), Georgia (16.2%), and North Carolina (11.3%). The average value is $248,858. The average age of the properties is roughly 30 years. The majority of the properties have three or more bedrooms. The Certificates represent a beneficial ownership in an approximately five-year, fixed-rate, interest-only loan with an initial aggregate principal balance of approximately $2.1 billion.

DBRS Morningstar finalized the provisional ratings for each class of Certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses DBRS Morningstar’s single-family rental subordination model and is based on DBRS Morningstar’s published criteria. DBRS Morningstar developed property-level stresses for the analysis of single-family rental assets. DBRS Morningstar assigned the provisional ratings to each class based on the level of stresses each class can withstand and whether such stresses are commensurate with the applicable rating level. DBRS Morningstar's analysis includes estimated base-case net cash flows (NCFs) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The DBRS Morningstar NCF analysis resulted in a minimum debt service coverage ratio of higher than 1.0 times.

Furthermore, DBRS Morningstar reviewed the third-party participants in the transaction, including the property manager, servicer, and special servicer. These transaction parties are acceptable to DBRS Morningstar. DBRS Morningstar also conducted a legal review and found no material rating concerns.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is the U.S. Single-Family Rental Securitization Ratings Methodology (May 28, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at [email protected].

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277