Rating Action: Moody's assigns a provisional rating to one class of notes to be issued by MF1 2022-FL8 Ltd.Global Credit Research - 04 Jan 2022New York, January 04, 2022 -- Moody's Investors Service ("Moody's") has assigned a provisional rating to one class of notes to be issued by MF1 2022-FL8 Ltd. (the "Issuer"):Moody's rating action is as follows:Cl. A, Assigned (P)Aaa (sf)The Cl. A notes are referred to herein as the "Rated Notes."RATINGS RATIONALEThe rationale for the rating is based on our methodology and considers all relevant risks, particularly those associated with the CRE CLO's portfolio and structure.MF1 2022-FL8 Ltd. is a managed cash flow commercial real estate CLO ("CRE CLO"). The transaction has a 2-year reinvestment period, which includes a 120-day ramp-up acquisition period, ending in January 2024. At the closing date, approximately 99.20% of target pool assets are closed, and the additional 0.80% consisting of identified delayed-close loans that are expected to close by the transaction effective date. The initial pool is expected to be collateralized by 32 commercial real estate loans on 69 properties in the forms of 22 pari-passu participations in a mortgage loan, and 10 transitional whole loans. The initial par amount is expected to be $1,819,665,392; with a total funded par amount of $2,022,000,000. The initial pool consists of 100% floating rate obligations with a 3.22% weighted average spread (WAS) and covenant spread of 2.50%. Additionally, 60.30% of the initial floating rate assets have 1-month SOFR floors with a weighted average floor of 0.09% for an effective strike price of 2.83% while the remaining 39.70% have LIBOR floors with a weighted average floor of 0.16% for an effective strike price of 2.05%. The notes on the transaction are floating rate over 1-month SOFR. Moody's considered this in its analysis. The transaction is subject to a series of tests and eligibility criteria during the reinvestment and amortization periodsThe transaction provides for one or more criteria-based loan modifications that is in effect during both the reinvestment and amortization periods. However, the modifications are limited to eight modifications during the life of the transaction. The criteria-based loan modifications may include: (i) a change in interest rate (ii) a delay in the required timing of any payment of principal (iii) an increase in the principal balance of such Commercial Real Estate Loan that will be allocated solely to the related Companion Participation or Companion Note (iv) an increase in the mezzanine and preferred equity interests in the related borrower subject to limitations; and (iv) an increase in the weighted average life subject to limitations.The transaction is expected to close on or about January 20, 2022.The expected closing date pool has a Moody's weighted average loan-to-value (LTV) ratio of 135.6%. Approximately 53.6% of the pool were acquisition financing loans and 46.4% were refinancing loans. The property type exposures are multifamily (including 26.5% of High-Rise, 17.4% of Mid-Rise, and 53.8% of Garden) at 97.7% and manufactured housing at 2.3%. The top ten assets (53.4% of the initial loan pool) and their respective property type and Moody's LTV are as follows:1) Two Blue Slip -- Multifamily -- 134.7%; 2) The Franklin -- Multifamily -- 139.0%; 3) Colonnade at Sawgrass -- Multifamily -- 137.2%; 4) K3 Holdings Portfolio -- Multifamily -- 139.1%; 5) Park Portfolio -- Multifamily -- 138.9%; 6) Mosser CA Portfolio -- Multifamily -- 126.8%; 7) Mosser Swig Portfolio -- Multifamily -- 135.7%; 8) Airie Apartments -- Multifamily -- 142.9%; 9) Greybarn Phase IV-- Multifamily -- 139.0%; 10) Parkview at Collingswood -- Multifamily -- 131.2%.MF1 Collateral Manager, L.L.C ("MF1") is a multifamily lending platform led by professionals from Limekiln Real Estate ("Limekiln") and Berkshire Residential Investments ("Berkshire"), is the collateral manager and will manage the CRE CLO. MF1 is led by seasoned professionals with over 13 years of experience in the multifamily B-piece market. This is MF1's eighth securitization of transitional floating rate multifamily mortgage loans. KeyBank National Association will act as servicer, and CBRE Loan Services, Inc. will act as sub-servicer and special servicer. They will provide servicing to the collateral interests during the lifecycle of the transaction. MF1 REIT II-A, L.L.C will act as advancing agent. Wilmington Trust, National Association will serve as trustee and Computershare Trust Company, National Association will serve as note administrator and backup advancing agent on the underlying portfolio.In addition to the Rated Notes, the Issuer will issue eight classes of subordinated notes; and one class of preferred shares.The transaction incorporates par coverage tests which, if triggered, divert interest proceeds to pay down the notes in order of seniority.Moody's has identified the following parameters as key indicators of the expected loss within CRE CLO transactions: weighted average rating factor (WARF), a primary measure of credit quality with credit assessments completed for all of the collateral, weighted average life (WAL), weighted average recovery rate (WARR), number of asset obligors; and pair-wise asset correlation. These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals.For modeling purposes, Moody's used the following base-case assumptions:Par amount: $2,022,000,000Number of obligors: $225,000,000 max. loan size; 16 min. HerfWeighted Average Rating Factor (WARF): 5000Weighted Average Recovery Rate (WARR): 57.50%Weighted Average Life (WAL): 5.5 yearsWeighted Average Spread (WAS): 1-month LIBOR/SOFR + min. 2.50%Weighted Average Coupon (WAC): n/aPair-wise asset correlation: 35.0%Methodology Underlying the Rating Action:The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in June 2021 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1286508. Alternatively, please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.Factors That Would Lead to an Upgrade or Downgrade of the Rating:The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes.Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base-case.Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment.Further details regarding Moody's analysis of this transaction may be found in a related pre-sale report, soon to be available on Moodys.com.REGULATORY DISCLOSURESFor further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody's Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1315309.The analysis relies on a Monte Carlo simulation that generates a large number of collateral loss or cash flow scenarios, which on average meet key metrics Moody's determines based on its assessment of the collateral characteristics. Moody's then evaluates each simulated scenario using model that replicates the relevant structural features and payment allocation rules of the transaction, to derive losses or payments for each rated instrument. The average loss a rated instrument incurs in all of the simulated collateral loss or cash flow scenarios, which Moody's weights based on its assumptions about the likelihood of events in such scenarios actually occurring, results in the expected loss of the rated instrument.Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.The rating has been disclosed to the rated entity or its designated agent (s) and issued with no amendment resulting from that disclosure.This rating is solicited. Please refer to Moody's Policy for Designating and Assigning Unsolicited Credit Ratings available on its website www.moodys.com.Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.Moody's general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288235.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the EU and is endorsed by Moody's Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322, Germany, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody's office that issued the credit rating is available on www.moodys.com.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the UK and is endorsed by Moody's Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the law applicable to credit rating agencies in the UK. Further information on the UK endorsement status and on the Moody's office that issued the credit rating is available on www.moodys.com.Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating. Jaroslaw Jake Wakuluk Associate Analyst Structured Finance Group Moody's Investors Service, Inc. 250 Greenwich Street New York, NY 10007 U.S.A. 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