DBRS Morningstar Confirms Ratings on All Classes of Arbor Multifamily Mortgage Securities Trust 2022-MF4

DBRS Limited (DBRS Morningstar) confirmed its ratings on the Multifamily Mortgage Pass-Through Certificates, Series 2022-MF4 issued by Arbor Multifamily Mortgage Securities Trust 2022-MF4 as follows:

-- Class A1 at AAA (sf)
-- Class A2 at AAA (sf)
-- Class A3 at AAA (sf)
-- Class A5 at AAA (sf)
-- Class ASB at AAA (sf)
-- Class AS at AAA (sf)
-- Class B at AAA (sf)
-- Class XA at AAA (sf)
-- Class C at AA (low) (sf)
-- Class D at A (low) (sf)
-- Class XD at A (low) (sf)
-- Class E at BBB (high) (sf)

All trends are Stable. The ratings confirmations reflect minimal changes to the overall performance of the underlying collateral, which remains in line with DBRS Morningstar’s expectations since issuance.

The subject transaction is composed of 30 loans secured by 40 multifamily properties, which remains unchanged from issuance. Given the recent vintage and limited seasoning, there has been negligible collateral reduction as all loans but one have partial- or full-term interest-only (IO) periods. At issuance, the pool had a DBRS Morningstar weighted-average debt service coverage ratio (DSCR) and a loan-to-value ratio of 1.62 times (x) and 68.9%, respectively.

Per the June 2023 reporting, there are no specially serviced, delinquent, or defeased loans; however, there are four loans (10.1% of the pool) on the servicer’s watchlist. The two largest loans (6.7% of the pool) on the watchlist are being monitored for items of deferred maintenance, while the two smaller loans, 107 New Street (Prospectus ID #17, 1.9% of the pool) and Yonkers Portfolio (Prospectus ID#22, 1.5% of the pool), are being monitored for low DSCRs and/or delinquent payments. According to the servicer’s commentary for the Yonkers Portfolio loan, the borrower is in the process of improving the quality of the tenancy, which has led to increased vacancy and increased leasing expenses stemming from eviction activity. For these loans, along with any other loans exhibiting increased risk from issuance expectations, DBRS Morningstar applied a slightly elevated probability of default in its analysis, resulting in a weighted-average expected loss that was more than double the pool average.

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

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 (July 4, 2023) https://www.dbrsmorningstar.com/research/416784.

Classes XA and XD are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall.

All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by DBRS Morningstar.

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

The principal methodology is North American CMBS Surveillance Methodology (March 16, 2023; https://www.dbrsmorningstar.com/research/410912).

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

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.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at info@dbrsmorningstar.com.

The credit rating was initiated at the request of the rated entity.

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

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

This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

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

North American CMBS Multi-Borrower Rating Methodology (March 16, 2023)/North American CMBS Insight Model v 1.1.0.0 (https://www.dbrsmorningstar.com/research/410913)

Rating North American CMBS Interest-Only Certificates (December 19, 2022; https://www.dbrsmorningstar.com/research/407577)

DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria (September 12, 2022; https://www.dbrsmorningstar.com/research/402646)

North American Commercial Mortgage Servicer Rankings (September 8, 2022; https://www.dbrsmorningstar.com/research/402499)

Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023; https://www.dbrsmorningstar.com/research/415687)

Legal Criteria for U.S. Structured Finance (December 7, 2022; https://www.dbrsmorningstar.com/research/407008)

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.