DBRS Morningstar Assigns Provisional Ratings to MF1 2022-FL8 Ltd.
CMBSDBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the following classes of notes to be issued by MF1 2022-Fl8 Ltd. (the Issuer or the Trust):
-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class G at BB (low) (sf)
-- Class H at B (low) (sf)
All trends are Stable.
The initial collateral consists of 32 floating-rate mortgage loans secured by 69 transitional multifamily properties and one manufactured housing community property, totaling $1.8 billion (77.0% of the total fully funded balance), excluding $152.6 million of future funding commitments and $392.1 million of pari passu debt. One loan, Two Blue Slip (Prospectus ID#1, representing 12.4% of the initial pool balance), is contributing both senior and mezzanine loan components that will both be held in the trust. One loan, SF Multifamily Portfolio IV (Prospectus ID#24, 2.0%), allows the borrower to acquire and bring properties into the trust post-closing through future funding up to a maximum whole-loan amount of $100.0 million, which is accounted for in figures and metrics throughout the report. Additionally, one loan, Mosser CA Portfolio (Prospectus ID#6, 4.1%), has delayed-close mortgage assets, which are identified in the data tape and included in the DBRS Morningstar analysis. The Issuer has 45 days post-closing to acquire the delayed-close assets.
The transaction is a managed vehicle that includes a 24-month reinvestment period. As part of the reinvestment period, the transaction includes a 120-day ramp-up acquisition period that will be used to increase the trust balance by $202,334,608 to a total target collateral principal balance of $2,022,000,000. DBRS Morningstar assessed the ramp loans using a conservative pool construct and, as a result, the ramp loans have expected losses above the pool WA loan expected losses. Reinvestment of principal proceeds during the reinvestment period is subject to eligibility criteria, which, among other criteria, includes a no-downgrade rating agency confirmation (RAC) by DBRS Morningstar for all new mortgage assets and funded companion participations exceeding $0. If a delayed-close asset is not expected to close or fund prior to the purchase termination date, the Issuer may acquire any delayed-closed collateral interest at any time during the ramp up acquisition period. The eligibility criteria indicates that only multifamily, manufactured housing, student housing, and senior housing properties can be brought into the pool during the stated ramp-up acquisition period. Additionally, the eligibility criteria establishes minimum DSCR, LTV, and Herfindahl requirements. Furthermore, certain events within the transaction require the Issuer to obtain RAC. DBRS Morningstar will confirm that a proposed action or failure to act or other specified event will not, in and of itself, result in the downgrade or withdrawal of the current rating. The Issuer is required to obtain RAC for acquisitions of companion participations in excess of $0.
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.
All ratings are subject to surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by DBRS Morningstar.
For supporting data and more information on this transaction, please log into www.viewpoint.dbrsmorningstar.com. DBRS Morningstar provides analysis and in-depth commentary in the DBRS Viewpoint platform.
Notes:
All figures are in U.S. dollars unless otherwise noted.
With regard to due diligence services, DBRS Morningstar was provided with the Form ABS Due Diligence-15E (Form-15E), which contains a description of the information that a third party reviewed in conducting the due diligence services and a summary of the findings and conclusions. While due diligence services outlined in Form-15E do not constitute part of DBRS Morningstar’s methodology, DBRS Morningstar used the data file outlined in the independent accountant’s report in its analysis to determine the ratings referenced herein.
The principal methodology is North American CMBS Multi-Borrower Rating Methodology (March 26, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria. For a list of the structured-finance-related methodologies that may be used during the rating process, please see the DBRS Morningstar Global Structured Finance Related Methodologies document, which can be found on dbrsmorningstar.com in the Commentary tab under Regulatory Affairs. Please note that not every related methodology listed under a principal structured finance asset class methodology may be used to rate or monitor an individual structured finance or debt obligation.
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.
Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process. Please note a sensitivity analysis is not performed for CMBS bonds rated CCC or lower. The DBRS Morningstar long-term rating scale definition indicates that ratings of CCC or lower are assigned when the bond is highly likely to default or default is imminent, thereby prevailing over a sensitivity analysis.
The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrsmorningstar.com.
For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.
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