DBRS Morningstar Assigns Provisional Ratings to MF1 2022-B1 LLC

DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the following classes of notes to be issued by MF1 2022-B1 LLC (the Issuer):

-- Class A Notes at AAA (sf)
-- Class B Notes at AAA (sf)
-- Class C Notes at A (high) (sf)
-- Class D Notes at A (low) (sf)
-- Class E Notes at BBB (high) (sf)
-- Class F Notes at BBB (low) (sf)
-- Class G Notes at BB (high) (sf)
-- Class G-E Notes at BB (high) (sf)
-- Class G-X Notes at BB (high) (sf)
-- Class H Notes at BB (low) (sf)
-- Class H-E Notes at BB (low) (sf)
-- Class H-X Notes at BB (low) (sf)
-- Class I Notes at B (low) (sf)
-- Class I-E Notes at B (low) (sf)
-- Class I-X Notes at B (low) (sf)

All trends are Stable.

The transaction was initially privately placed with an optional upsize contemplated in the structure, allowing the deal balance to increase by up to an aggregate amount of $850.0 million. The optional upsize allowed Noteholders to contribute additional funds to the Issuer in the aggregate amount of up to $850.0 million in exchange for a corresponding pro rata increase in the aggregate outstanding amount of each class of notes (Optional Upsize). The Issuer could use amounts received in connection with this Optional Upsize to acquire collateral interests that satisfy the eligibility criteria, acquisition criteria, and acquisition and disposition requirements. As part of the Optional Upsize, DBRS Morningstar would review any new collateral added to the trust as part of the Optional Upsize, and the Issuer would provide DBRS Morningstar appropriate time to review new loans or loan pools. In addition, the investor in the transaction would run a parallel credit process and have the ability to consent, or not consent, to the pool upsize. Lastly, the loans included in the Optional Upsize would be reviewed by the Issuer's legal counsel to ensure appropriate disclosures are made and an audited data tape would be made available.

The Issuer, in conjunction with the noteholders, upsized the deal by $350.0 million for a corresponding pro rata increase in the aggregate amount of each class of notes subject to the eligibility criteria. As of the date of the Optional Upsize, the pool consists of 21 loans (65.6% of the pool balance) that were included in the original, privately placed transaction; nine loans (21.9% of the pool balance) added since November 2022; and three new loans (12.5% of the pool balance) added as part of the Optional Upsize.

The collateral consists of 33 floating-rate mortgage loans secured by 76 transitional multifamily, senior housing, student housing, mixed-use, and manufactured housing properties, totaling approximately $1.625 billion (61.5% of the total fully funded balance), excluding $151.0 million (5.7% of the total fully funded balance) of future funding commitments, $861.5 million (32.8% of the total fully funded balance) of pari passu debt held outside of the trust, and approximately $10 million of cash.

The loans are secured by cash flowing assets, many of which are in a period of transition with plans to stabilize and improve the asset value. In total, 25 loans, representing 77.4% of the pool, have remaining future funding participations totaling $151.0 million, which the Issuer may acquire in the future.

The managed transaction includes a 24-month reinvestment period. 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 collateral interests and funded companion participations. The eligibility criteria indicate that future collateral interests can be secured only by multifamily, manufactured housing, student housing, and senior living property types during the stated reinvestment period. Additionally, the eligibility criteria establish minimum debt service coverage ratios, loan-to-value ratios, and Herfindahl scores. 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 all collateral interests.

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 https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings (May 17, 2022).

All ratings are subject to surveillance, which could result in 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 Multi-Borrower Rating Methodology (March 16, 2023; https://www.dbrsmorningstar.com/research/410913/north-american-cmbs-multi-borrower-rating-methodology).

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

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 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 rating was initiated at the request of the rated entity.

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

This is a solicited credit rating.

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

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

DBRS, Inc.
22 West Washington Street
Chicago, IL 60602 USA
Tel. +1 312 332-3429

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

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

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

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

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

North American CMBS Insight Model v 1.1.0.0
https://www.dbrsmorningstar.com/research/410913