DBRS Morningstar Confirms Ratings on All Classes of Arbor Multifamily Mortgage Securities Trust 2020-MF1

DBRS Limited (DBRS Morningstar) confirmed the ratings on all classes of Multifamily Mortgage Pass-Through Certificates, Series 2020-MF1 issued by Arbor Multifamily Mortgage Securities Trust 2020-MF1 as follows:

-- Class A-1 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class AS at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class C at AA (low) (sf)
-- Class D at A (low) (sf)
-- Class X-D at BBB (high) (sf)
-- Class E at BBB (sf)

All trends are Stable.

The rating confirmations reflect DBRS Morningstar’s overall unchanged view of this transaction since its last review, as the transaction consists primarily of loans secured by multifamily assets and has reported a strong financial performance in addition to the significant defeasance contributing to increased credit support across the bond stack.

As of the July 2023 remittance, all 40 of the original loans remain in the pool, with a marginal collateral reduction of only 0.8% from issuance, because of scheduled loan amortization, as the majority of the loans are structured with full-term or partial-term interest-only (IO) periods. The pool benefits from four loans, representing 20.6% of the pool, that have been fully defeased, unchanged since the November 2022 review. There are no loans in special servicing but 12 loans, representing 28.1% of the pool, are on the servicer’s watchlist. Four of those loans, representing 6.7% of the current pool balance, are being monitored for performance-related concerns, while the remaining loans were flagged for deferred maintenance items. The pool is primarily backed by multifamily properties, which represent 37 loans (94.3% of the pool) with the remaining three loans (5.7% of the pool) backed by mixed-use properties. Based on the most recent year-end financials, the pool reported a weighted-average debt service coverage ratio (DSCR) of 2.07 times (x), compared with the prior year DSCR of 1.90x and the DBRS Morningstar DSCR of 1.46x.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors 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 (July 4, 2023) https://www.dbrsmorningstar.com/research/416784.

Classes X-A and X-D are interest-only (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 the 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 [email protected].

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)

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://www.dbrsmorningstar.com/research/417279.

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