Morningstar DBRS Takes Credit Rating Actions on Eight U.S. RMBS Transactions

DBRS, Inc. (Morningstar DBRS) reviewed its credit ratings on 55 classes from eight U.S. single-family rental transactions. Of the 55 classes reviewed, Morningstar DBRS confirmed its credit ratings on 43 classes and upgraded its credit ratings on 12.

FirstKey Homes 2021-SFR1 Trust
-- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificate, Class B upgraded to AA (high) (sf) from AA (sf)
-- Single-Family Rental Pass-Through Certificate, Class C upgraded to A (high) (sf) from A (sf)
-- Single-Family Rental Pass-Through Certificate, Class D confirmed at BBB (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E1 confirmed at BBB (sf)
-- Single-Family Rental Pass-Through Certificate, Class E2 confirmed at BBB (low) (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 (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 F confirmed at BB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class G confirmed at B (high) (sf)

Invitation Homes 2018-SFR4 Trust
-- IH 2018-SFR4, Class A confirmed at AAA (sf)
-- IH 2018-SFR4, Class B confirmed at AAA (sf)
-- IH 2018-SFR4, Class C confirmed at AA (low) (sf)

New Residential Mortgage Loan Trust 2022-SFR2
-- 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 A (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E-1 confirmed at BBB (sf)
-- Single-Family Rental Pass-Through Certificate, Class E-2 confirmed at BBB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (low) (sf)

PATH 2022-1 Trust
-- Single-Family Rental Pass-Through Certificates, Class A confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificates, Class B confirmed at AA (high) (sf)
-- Single-Family Rental Pass-Through Certificates, Class C confirmed at AA (sf)
-- Single-Family Rental Pass-Through Certificates, Class D confirmed at A (sf)
-- Single-Family Rental Pass-Through Certificates, Class E-1 confirmed at BBB (high) (sf)
-- Single-Family Rental Pass-Through Certificates, Class E-2 confirmed at BBB (low) (sf)
-- Single-Family Rental Pass-Through Certificates, Class F confirmed at BB (low) (sf)
-- Single-Family Rental Pass-Through Certificates, Class G confirmed at B (sf)

Tricon American Homes 2018-SFR1 Trust
-- TAH 2018-SFR1, Class A confirmed at AAA (sf)
-- TAH 2018-SFR1, Class B upgraded to AAA (sf) from AA (high) (sf)
-- TAH 2018-SFR1, Class C upgraded to AA (low) from A (high) (sf)
-- TAH 2018-SFR1, Class D upgraded to A (sf) from A (low) (sf)
-- TAH 2018-SFR1, Class E upgraded to A (low) (sf) from BBB (high) (sf)

Tricon American Homes 2019-SFR1 Trust
-- TAH 2019-SFR1, Class A confirmed at AAA (sf)
-- TAH 2019-SFR1, Class B confirmed at AAA (sf)
-- TAH 2019-SFR1, Class C upgraded to AAA (sf) from AA (high) (sf)
-- TAH 2019-SFR1, Class D upgraded to AA (low) (sf) from A (high) (sf)
-- TAH 2019-SFR1, Class E upgraded to A (low) (sf) from BBB (high) (sf)
-- TAH 2019-SFR1, Class F confirmed at BBB (low) (sf)

Tricon American Homes 2020-SFR2 Trust
-- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificate, Class B upgraded to AA (high) (sf) from AA (sf)
-- Single-Family Rental Pass-Through Certificate, Class C upgraded to A (high) (sf) from A (sf)
-- Single-Family Rental Pass-Through Certificate, Class D upgraded to A (low) from BBB (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E-1 confirmed at BBB (sf)
-- Single-Family Rental Pass-Through Certificate, Class E-2 confirmed at BBB (low) (sf)

Tricon Residential 2021-SFR1 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 AA (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class D confirmed at A (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E-1 confirmed at BBB (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E-2 confirmed at BBB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (sf)
-- Single-Family Rental Pass-Through Certificate, Class G confirmed at B (high) (sf)

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

Morningstar DBRS’ credit rating actions are based on the following analytical considerations:

-- 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.

Morningstar DBRS’ long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at (January 23, 2024), https://dbrs.morningstar.com/research/427030.

Notes:
The principal methodology applicable to the credit ratings is Rating and Monitoring U.S. Single-Family Rental Securitizations (November 23, 2022; https://dbrs.morningstar.com/research/405662).

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit ratings were initiated at the request of the rated entities.

The rated entity or its related entities did participate in the credit rating process for these credit rating actions.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with these credit rating actions.

These are solicited credit ratings.

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

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023), https://dbrs.morningstar.com/research/415687
-- Legal Criteria for U.S. Structured Finance (December 7, 2023), https://dbrs.morningstar.com/research/425081
-- Operational Risk Assessment for U.S. RMBS Originators (August 31, 2023), https://dbrs.morningstar.com/research/420106
-- Operational Risk Assessment for U.S. RMBS Servicers (August 31, 2023), https://dbrs.morningstar.com/research/420107

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.