Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X, A-11-X, A-11-AI, A-11-BI, A-X-1, A-X-2, A-X-3, and A-X-4 are interest-only certificates. The class balances represent notional amounts.
Classes A-1, A-1-A, A-2, A-2-A, A-2-B, A-3, A-3-A, A-3-B, A-3-X, A-4, A-4-A, A-4-B, A-4-X, A-5, A-5-A, A-5-X, A-6, A-6-B, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-11-A, A-11-AI, A-11-B, A-11-BI, A-11-C, A-12, A-13, A-14, A-16, A-17, A-X-2, and A-X-3 are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates.
Classes A-2, A-2-A, A-2-B, A-3, A-3-A, A-3-B, A-4, A-4-A, A-4-B, A-5, A-5-A, A-6, A-6-A, A-6-B, A-7, A-7-A, A-8, A-8-A, A-9, A-9-A, A-10, A-10-A, A-11, A-11-A, A-11-B, A-11-C, A-12, and A-13 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-14 and A-15) with respect to loss allocation.
The
Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction.
This is a securitization of a portfolio of first-lien, fixed-rate prime conventional investment-property residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,094 loans with a total principal balance of approximately
MELLO 2022-INV2 is the sixth prime securitization composed of fully amortizing fixed-rate mortgages on non-owner occupied residential investment properties issued under the MELLO shelf. The portfolio consists of conforming mortgages with original terms to maturity of primarily 30 years, which were underwritten by loanDepot using an automated underwriting system (AUS) designated by
For this transaction, the servicing fee comprises three separate components: the aggregate base servicing fee, the aggregate delinquent servicing fee, and the aggregate additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities.
The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure.
Coronavirus Disease (COVID-19) Pandemic Impact
The coronavirus pandemic and the resulting isolation measures caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many residential mortgage-backed securities (RMBS) asset classes shortly after the onset of the pandemic.
Such mortgage delinquencies were mostly in the form of forbearances, generally short-term payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forebear mortgage payments was widely available, and it drove forbearances to a very high level. When the dust settled, coronavirus-induced forbearances in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios, and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as the forbearance period comes to an end for many borrowers.
For more information regarding rating methodologies and the coronavirus, please see the following DBRS Morningstar commentary: Baseline Macroeconomic Scenarios For Rated Sovereigns -
The ratings reflect transactional strengths that include high-quality credit attributes, well-qualified borrowers, structural enhancements, a satisfactory third-party due-diligence review, and 100% current loans.
The ratings reflect transactional weaknesses that include loans that are 100% investor properties and certain borrowers with multiple mortgages in the securitized pool, certain aspects of the representations and warranties framework, and the servicer's financial capabilities.
The full description of the strengths, challenges, and mitigating factors is detailed in the related Rating Report.
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.
Notes:
All figures are in
The principal methodology is RMBS Insight 1.3:
The DBRS
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.
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.
Tel. +1 212 806-3277
Ratings
Date Issued Debt Rated Action Rating Trend Attributesi
US = Lead Analyst based in USA
CA = Lead Analyst based in
EU = Lead Analyst based in EU
E = EU endorsed
U =
Unsolicited Participating With Access
Unsolicited Participating Without Access
Unsolicited Non-participating
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-1 Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-1-A Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-10 Provis.-FinalAAA (sf) -- US
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31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-11-A Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-11-AI Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-11-B Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-11-BI Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-11-C Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-11-X Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-12 Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-13 Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-14 Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-15 Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-16 Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-17 Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-2 Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-2-A Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-2-B New RatingAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-3 Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-3-A Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-3-B Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-3-X Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-4 Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-4-A Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-4-B Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-4-X Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-5 Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-5-A Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-5-X Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-6 Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-6-A Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-6-B Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-6-X Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-7 Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-7-A Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-7-X Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-8 Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-8-A Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-8-X Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-9 Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-9-A Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-9-X Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-X-1 Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-X-2 Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-X-3 Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class A-X-4 Provis.-FinalAAA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class B-1 Provis.-Final AA (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class B-2 Provis.-Final A (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class B-3 Provis.-Final BBB (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class B-4 Provis.-Final BB (sf) -- US
31-Mar-22 Mortgage Pass-Through Certificates, Series 2022-INV2, Class B-5 Provis.-Final B (low) (sf) -- US
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