DBRS Morningstar Takes Rating Actions on Three U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 22 classes from three U.S. single-family rental transactions. Of the 22 classes reviewed, DBRS Morningstar upgraded five ratings, confirmed 14, and discontinued three because of full repayment of the outstanding bond balances.

B2R Mortgage Trust 2015-1
-- B2R 2015-1, Class A-2 confirmed at AAA (sf)
-- B2R 2015-1, Class B confirmed at AA (high) (sf)
-- B2R 2015-1, Class C confirmed at AA (low) (sf)
-- B2R 2015-1, Class D confirmed at BBB (high) (sf)
-- B2R 2015-1, Class E confirmed at BBB (sf)
-- B2R 2015-1, Class F confirmed at BB (high) (sf)
-- B2R 2015-1, Class G confirmed at B (high) (sf)
-- B2R 2015-1, Class X-A confirmed at AAA (sf)
-- B2R 2015-1, Class X-B confirmed at BBB (sf)

B2R Mortgage Trust 2015-2
-- B2R 2015-2, Class B discontinued due to repayment
-- B2R 2015-2, Class C upgraded to AAA (sf) from A (low) (sf)
-- B2R 2015-2, Class D upgraded to A (high) (sf) from BBB (sf)
-- B2R 2015-2, Class E confirmed at BBB (low) (sf)
-- B2R 2015-2, Class F confirmed at B (high) (sf)
-- B2R 2015-2, Class X-B discontinued due to repayment

B2R Mortgage Trust 2016-1
-- B2R 2016-1, Class B discontinued due to repayment
-- B2R 2016-1, Class C upgraded to AAA (sf) from A (high) (sf)
-- B2R 2016-1, Class D upgraded to A (high) (sf) from BBB (sf)
-- B2R 2016-1, Class E confirmed at BBB (low) (sf)
-- B2R 2016-1, Class F confirmed at BB (low) (sf)
-- B2R 2016-1, Class G confirmed at B (low)
-- B2R 2016-1, Class X-B upgraded to AAA (sf) from A (high) (sf)

The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings.

DBRS Morningstar’s rating actions are based on key performance measures as reflected in month-over-month changes in vacancy and delinquency, the quarterly analysis of the actual expenses, credit enhancement increases since deal inception, and bond paydown factors.

The ratings assigned to the securities listed below differ from the ratings implied by the single-family rental subordination model. DBRS Morningstar considers this difference to be a material deviation; however, in this case, the ratings on the subject securities may either reflect additional seasoning being warranted to substantiate a further upgrade or actual deal/tranche performance that is not fully reflected in the projected cash flows/model output.

-- B2R Mortgage Trust 2015-1 Single-Family Rental Pass-Through Certificates Classes C, D, E, and X-B

-- B2R Mortgage Trust 2015-2 Single-Family Rental Pass-Through Certificates Class D

-- B2R Mortgage Trust 2016-1 Single-Family Rental Pass-Through Certificates Class D, E, F, and X-B

ESG CONSIDERATIONS
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:
The principal methodology is 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.

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

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