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

DBRS, Inc. (DBRS Morningstar) reviewed 51 classes from six U.S. single-family rental transactions. Of the 51 classes reviewed, DBRS Morningstar upgraded 11 ratings, confirmed 37 ratings, and discontinued three ratings as a result of full repayment of the outstanding bond balances.

Colony American Finance 2016-2 Trust
-- Class A discontinued as a result of full repayment
-- Class B upgraded to AAA (sf) from AA (high) (sf)
-- Class C upgraded to AAA (sf) from A (high) (sf)
-- Class D upgraded to A (high) (sf) from BBB (high) (sf)
-- Class E upgraded to BBB (sf) from BBB (low) (sf)
-- Class F upgraded to BB (high) (sf) from BB (sf)
-- Class G upgraded to B (high) (sf) from B (sf)

CoreVest American Finance 2017-1 Trust
-- Class A discontinued as a result of full repayment
-- Class B upgraded to AAA (sf) from AA (low) (sf)
-- Class C upgraded to AA (sf) from A (sf)
-- Class D upgraded to A (low) (sf) from BBB (sf)
-- Class E upgraded to BBB (sf) from BBB (low) (sf)
-- Class F confirmed at BB (sf)
-- Class G confirmed at B (sf)
-- Class X-A discontinued as a result of full repayment
-- Class X-B upgraded to A (low) (sf) from BBB (sf)

CoreVest American Finance 2018-1 Trust
-- Class A confirmed at AAA (sf)
-- Class B confirmed at AA (low) (sf)
-- Class C confirmed at A (sf)
-- Class D confirmed at BBB (sf)
-- Class E confirmed at BB (high) (sf)
-- Class F confirmed at BB (sf)
-- Class G confirmed at B (sf)
-- Class X-A confirmed at AAA (sf)
-- Class X-B confirmed at BBB (sf)

CoreVest American Finance 2018-2 Trust
-- Class A confirmed at AAA (sf)
-- Class B confirmed at AA (low) (sf)
-- Class C confirmed at A (low) (sf)
-- Class D confirmed at BBB (low) (sf)
-- Class E confirmed at BB (high) (sf)
-- Class F confirmed at BB (sf)
-- Class G confirmed at B (sf)
-- Class X-A confirmed at AAA (sf)
-- Class X-B confirmed at BBB (low) (sf)

FirstKey Homes 2020-SFR2 Trust
-- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificate, Class B confirmed at AA (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class C confirmed at A (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class D confirmed at BBB (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E confirmed at BBB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class F1 confirmed at BB (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class F2 confirmed at BB (sf)
-- Single-Family Rental Pass-Through Certificate, Class F3 confirmed at BB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class G1 confirmed at B (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class G2 confirmed at B (high) (sf)

Progress Residential 2020-SFR3 Trust
-- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificate, Class B confirmed at AA (sf)
-- Single-Family Rental Pass-Through Certificate, Class C confirmed at A (sf)
-- Single-Family Rental Pass-Through Certificate, Class D confirmed at A (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E confirmed at BBB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class G confirmed at B (low) (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 the following analytical consideration:

-- Key performance measures as reflected in month-over-month changes in vacancy and delinquency, quarterly analysis of the actual expenses, credit enhancement increases since deal inception, and bond paydown factors.

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.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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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